Related papers: Automated Market Making for Goods with Perishable …
The programmable and composable nature of smart contract protocols has enabled the emergence of novel market structures and asset classes that are architecturally frictional to implement in traditional financial paradigms. This fluidity has…
In this paper we formulate the fixed budget resource allocation game to understand the performance of a distributed market-based resource allocation system. Multiple users decide how to distribute their budget (bids) among multiple machines…
This article explores the optimisation of trading strategies in Constant Function Market Makers (CFMMs) and centralised exchanges. We develop a model that accounts for the interaction between these two markets, estimating the conditional…
We present a market-based approach to the Air Traffic Flow Management (ATFM) problem. The goods in our market are delays and buyers are airline companies; the latter pay money to the FAA to buy away the desired amount of delay on a per…
We provide an explicit characterization of the optimal market making strategy in a discrete-time Limit Order Book (LOB). In our model, the number of filled orders during each period depends linearly on the distance between the fundamental…
We show an auction-based algorithm to compute market equilibrium prices in a production model, where consumers purchase items under separable nonlinear utility concave functions which satisfy W.G.S(Weak Gross Substitutes); producers produce…
Combinatorial Auctions are a central problem in Algorithmic Mechanism Design: pricing and allocating goods to buyers with complex preferences in order to maximize some desired objective (e.g., social welfare, revenue, or profit). The…
In this work, we present an application of the probabilistic weak formulation of mean field games (MFG) for modeling liquidity pools in a constant product automated market maker (AMM) protocol in the context of decentralized finance. Our…
We study a novel automated market maker design: the function maximizing AMM (FM-AMM). Our central assumption is that trades are batched before execution. Because of competition between arbitrageurs, the FM-AMM eliminates arbitrage profits…
We find the equilibrium contract that an automated market maker (AMM) offers to their strategic liquidity providers (LPs) in order to maximize the order flow that gets processed by the venue. Our model is formulated as a leader-follower…
This paper studies an open question in the warehouse problem where a merchant trading a commodity tries to find an optimal inventory-trading policy to decide on purchase and sale quantities during a fixed time horizon in order to maximize…
We consider the social welfare that can be facilitated by a constant function market maker (CFMM). When there is sufficient liquidity available to the CFMM, it can approximate the optimal social welfare when all users transactions are…
Increased uptake of variable renewable generation and further electrification of energy demand necessitate efficient coordination of flexible demand resources to make most efficient use of power system assets. Flexible electrical loads are…
We apply Reinforcement Learning algorithms to solve the classic quantitative finance Market Making problem, in which an agent provides liquidity to the market by placing buy and sell orders while maximizing a utility function. The optimal…
Automated market makers (AMMs) are smart contracts that automatically trade electronic assets according to a mathematical formula. This paper investigates how an AMM's formula affects the interests of liquidity providers, who endow the AMM…
Decentralized Finance (DeFi) has revolutionized financial markets by enabling complex asset-exchange protocols without trusted intermediaries. Automated Market Makers (AMMs) are a central component of DeFi, providing the core functionality…
We introduce a modular framework for market making. It combines cost-function based automated market makers with bandit algorithms. We obtain worst-case profits guarantee's relative to the best in hindsight within a class of natural…
Prediction markets are powerful mechanisms for information aggregation, but existing designs are optimized for single-event contracts. In practice, traders frequently express beliefs about joint outcomes - through parlays in sports,…
We analyze the efficiency of markets with friction, particularly power markets. We model the market as a dynamic system with $(d_t;\,t\geq 0)$ the demand process and $(s_t;\,t\geq 0)$ the supply process. Using stochastic differential…
In uniform-price markets, suppliers compete to supply a resource to consumers, resulting in a single market price determined by their competition. For sufficient flexibility, producers and consumers prefer to commit to a function as their…