Related papers: TradeMech: A Method to Multilaterally Net Trades W…
The combination of the network theoretic approach with recently available abundant economic data leads to the development of novel analytic and computational tools for modelling and forecasting key economic indicators. The main idea is to…
In this paper, we present a new model and two mechanisms for auctions in two-sided markets of buyers and sellers, where budget constraints are imposed on buyers. Our model incorporates polymatroidal environments, and is applicable to a wide…
We study the power of price discrimination via an intermediary in bilateral trade, when there is a revenue-maximizing seller selling an item to a buyer with a private value drawn from a prior. Between the seller and the buyer, there is an…
In this article we consider combinatorial markets with valuations only for singletons and pairs of buy/sell-orders for swapping two items in equal quantity. We provide an algorithm that permits polynomial time market-clearing and -pricing.…
Pair trading is one of the most effective statistical arbitrage strategies which seeks a neutral profit by hedging a pair of selected assets. Existing methods generally decompose the task into two separate steps: pair selection and trading.…
Interaction nets are a form of restricted graph rewrite system that can serve as a graphical or textual programming language. As such, benefits include one-step confluence, ease of parallelism and explicit garbage collection. However, some…
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,…
Bilateral trade is a fundamental economic scenario comprising a strategically acting buyer and seller, each holding valuations for the item, drawn from publicly known distributions. A mechanism is supposed to facilitate trade between these…
We study a new "laminated" queueing model for orders on batched trading venues such as decentralised exchanges. The model aims to capture and generalise transaction queueing infrastructure that has arisen to organise MEV activity on public…
Market manipulation is a strategy used by traders to alter the price of financial securities. One type of manipulation is based on the process of buying or selling assets by using several trading strategies, among them spoofing is a popular…
Deep hedging uses recurrent neural networks to hedge financial products that cannot be fully hedged in incomplete markets. Previous work in this area focuses on minimizing some measure of quadratic hedging error by calculating pathwise…
We propose a decentralized market model in which agents can negotiate bilateral contracts. This builds on a similar, but centralized, model of trading networks introduced by Hatfield et al. in 2013. Prior work has established that…
In this paper, we introduce a novel framework to model the exchange rate dynamics between two intrinsically linked cryptoassets, such as stablecoins pegged to the same fiat currency or a liquid staking token and its associated native token.…
The implementation of electricity markets based on locational marginal pricing in a multi-settlement process has allowed wholesale competition, with pricing mechanisms that incentivize the optimal allocation of generation, transmission, and…
This paper introduces and analyzes \emph{defensive rebalancing}, a novel mechanism for protecting constant-function market makers (CFMMs) from value leakage due to arbitrage. A \emph{rebalancing} transfers assets directly from one CFMM's…
Many-to-many matching with contracts is studied in the framework of revealed preferences. All preferences are described by choice functions that satisfy natural conditions. Under a no-externality assumption individual preferences can be…
Barter exchange studies the setting where each agent owns a good, and they can exchange with each other if that gives them more preferred goods. This exchange will give better outcomes if there are more participants. The challenge here is…
We study the ever more integrated and ever more unbalanced trade relationships between European countries. To better capture the complexity of economic networks, we propose two global measures that assess the trade integration and the trade…
This paper develops a diversity-multiplexing tradeoff (DMT) over a bidirectional random relay set in a wireless network where the distribution of all nodes is a stationary Poisson point process. This is a nontrivial extension of the DMT…
Human societies engage in a number of games which use tokens as a means to allocate, issue and access gated resources and property rights: The notion of exchanging tokens that represent and carry value from the past into the future to…