Related papers: A Dynamic Equilibrium Model for Automated Market M…
We consider the dynamics and the interactions of multiple reinforcement learning optimal execution trading agents interacting with a reactive Agent-Based Model (ABM) of a financial market in event time. The model represents a market ecology…
Traditional market makers are losing their importance as automated systems have largely assumed the role of liquidity provision in markets. We update the model of Glosten and Milgrom (1985) to analyze this new world: we add multiple…
We postulates, and then show experimentally, that liquidity deficit is the driving force of the markets. In the first part of the paper a kinematic of liquidity deficit is developed. The calculus-like approach, which is based on…
Agent-based models (ABMs) highlight the importance of simulation validation, such as qualitative face validation and quantitative empirical validation. In particular, we focused on quantitative validation by adjusting simulation input…
We find an approximate Nash equilibrium in a game between decentralized exchanges (DEXs) that compete for order flow by setting dynamic trading fees. We characterize the equilibrium via a coupled system of partial differential equations and…
While score-based generative models have emerged as powerful priors for solving inverse problems, directly integrating them into optimization algorithms such as ADMM remains nontrivial. Two central challenges arise: i) the mismatch between…
Constant function market makers (CFMMs) such as Uniswap, Balancer, Curve, and mStable, among many others, make up some of the largest decentralized exchanges on Ethereum and other blockchains. Because all transactions are public in current…
We develop a new type of automated market maker (AMM) that helps to maintain stability and long-term viability in a stablecoin. This primary market AMM (P-AMM) is an autonomous mechanism for pricing minting and redemption of stablecoins in…
The limit order book mechanism has been the core trading mechanism of the modern financial market. In the cryptocurrency market, centralized exchanges also adopt this limit order book mechanism and a centralized matching engine dynamically…
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…
This work studies equilibrium problems under uncertainty where firms maximize their profits in a robust way when selling their output. Robust optimization plays an increasingly important role when best guaranteed objective values are to be…
We study overpricing in a repeated game between two representative agents: a market maker, who controls market liquidity, and a market taker, who chooses trade quantities. Market prices evolve through the endogenous price impact of trades…
An effective distribution electricity market (DEM) is required to manage the rapidly growing small-scale distributed energy resources (DERs) in distribution systems (DSs). This paper proposes a day-ahead DEM clearing and pricing mechanism…
Concentrated-liquidity automated market makers (CLAMMs), as exemplified by Uniswap v3, are now a common primitive in decentralized finance frameworks. Their design combines continuous trading on constant-function curves with discrete tick…
We represent the functioning of the housing market and study the relation between income segregation, income inequality and house prices by introducing a spatial Agent-Based Model (ABM). Differently from traditional models in urban…
We introduce a new framework for optimal routing and arbitrage in AMM driven markets. This framework improves on the original best-practice convex optimization by restricting the search to the boundary of the optimal space. We can…
We propose a novel approach to the statistical analysis of stochastic simulation models and, especially, agent-based models (ABMs). Our main goal is to provide fully automated, model-independent and tool-supported techniques and algorithms…
Volume imbalance in a limit order book is often considered as a reliable indicator for predicting future price moves. In this work, we seek to analyse the nuances of the relationship between prices and volume imbalance. To this end, we…
Financial markets are inherently non-stationary, driven by complex interactions among macroeconomic regimes, microstructural frictions, and behavioral dynamics. Building quantitative strategies that remain profitable demands the continuous…
Agent-Based Models (ABM) are computational scenario-generators, which can be used to predict the possible future outcomes of the complex system they represent. To better understand the robustness of these predictions, it is necessary to…