Related papers: A Dynamic Equilibrium Model for Automated Market M…
As consumer flexibility becomes expected, it is important that the market mechanisms which attain that flexibility are perceived as fair. We set out fairness issues in energy markets today, and propose a market design to address them.…
Large language model (LLM)-based agents are increasingly expected to negotiate, coordinate, and transact autonomously, yet existing benchmarks lack principled settings for evaluating language-mediated economic interaction among multiple…
This paper introduces a trade ordering rule that aims to reduce intra-block price volatility in Automated Market Maker (AMM) powered decentralized exchanges. The ordering rule introduced here, Clever Look-ahead Volatility Reduction (CLVR),…
The Fisher market is one of the most fundamental models for resource allocation problems in economic theory, wherein agents spend a budget of currency to buy goods that maximize their utilities, while producers sell capacity constrained…
Decentralized exchanges using automated market makers create arbitrage opportunities with centralized exchanges, where gas fees and transaction ordering are critical. Existing models largely overlook competition among arbitrageurs, despite…
We consider Geometric Mean Market Makers -- a special type of Decentralized Exchange -- with two types of users: liquidity takers and arbitrageurs. Liquidity takers trade at prices that can create arbitrage opportunities, while arbitrageurs…
We propose a heterogeneous agent market model (HAM) in continuous time. The market is populated by fundamental traders and chartists, who both use simple linear trading rules. Most of the related literature explores stability, price…
We present our Agent-Based Market Microstructure Simulation (ABMMS), an Agent-Based Financial Market (ABFM) that captures much of the complexity present in the US National Market System for equities (NMS). Agent-Based models are a natural…
Market equilibria of matching markets offer an intuitive and fair solution for matching problems without money with agents who have preferences over the items. Such a matching market can be viewed as a variation of Fisher market, albeit…
Constant function market makers (CFMMs) such as Uniswap have facilitated trillions of dollars of digital asset trades and have billions of dollars of liquidity. One natural question is how to optimally route trades across a network of CFMMs…
Geometric mean market makers (G3Ms), such as Uniswap and Balancer, comprise a popular class of automated market makers (AMMs) defined by the following rule: the reserves of the AMM before and after each trade must have the same (weighted)…
Peer-to-peer (P2P) trading is increasingly recognized as a key mechanism for decentralized market regulation, yet existing approaches often lack robust frameworks to ensure fairness. This paper presents FairMarket-RL, a novel hybrid…
We formulate an equilibrium model of intraday trading in electricity markets. Agents face balancing constraints between their customers consumption plus intraday sales and their production plus intraday purchases. They have continuously…
The Dynamic Function Market Maker (DFMM) introduced a fully automated framework for operating a multi-asset market, wherein an algorithmic accounting asset was used to connect different liquidity pools and ensure efficient rebalancing of…
The asset trading volume on blockchain-based exchanges (DEX) increased substantially since the advent of Automated Market Makers (AMM). Yet, AMMs and their forks compete on the same blockchain, incurring unnecessary network and block-space…
The standard approach for compensating liquidity providers on many decentralized exchanges (DEX) for serving as counter-party to swaps is through charging a small percentage of fees. The expected payoff from the cash flow of this mode of…
We envision a marketplace where diverse entities offer specialized "modules" through APIs, allowing users to compose the outputs of these modules for complex tasks within a given budget. This paper studies the market design problem in such…
We present a mathematical formulation of liquidity provision in decentralized exchanges. We focus on constant function market makers of utility indifference type, which include constant product market makers with concentrated liquidity as a…
In decentralized finance (DeFi), designing fixed-income lending automated market makers (AMMs) is extremely challenging due to time-related complexities. Moreover, existing protocols only support single-maturity lending. Building upon the…
This paper presents the results of a comprehensive empirical study of losses to arbitrageurs (following the formalization of loss-versus-rebalancing by [Milionis et al., 2022]) incurred by liquidity providers on automated market makers…