相关论文: Implementing Automated Market Makers with Constant…
We design a prediction market to recover a complete and fully general probability distribution over a random variable. Traders buy and sell interval securities that pay \$1 if the outcome falls into an interval and \$0 otherwise. Our market…
This paper develops a robust mathematical framework for Constant Function Market Makers (CFMMs) by transitioning from traditional token reserve analyses to a coordinate system defined by price and intrinsic liquidity. We establish a…
Automated market makers with concentrated liquidity capabilities are programmable at the tick level. The maximization of earned fees, plus depreciated reserves, is a convex optimization problem whose vector solution gives the best provision…
In an observed generalized semi-Markov regime, estimation of transition rate of regime switching leads towards calculation of locally risk minimizing option price. Despite the uniform convergence of estimated step function of transition…
In this study, we developed a computational framework for simulating large-scale agent-based financial markets. Our platform supports trading multiple simultaneous assets and leverages distributed computing to scale the number and…
This paper studies the question whether automated market maker protocols such as Uniswap can sustainably retain a portion of their trading fees for the protocol. We approach the problem by modelling how to optimally choose a pool's take…
In a typical quantum circuit, nonlocal quantum gates are applied to nonproximal qubits. If the underlying physical interactions are short-range (e.g., exchange interactions between spins), intermediate swap operations must be introduced,…
We focus on the problem of market making in high-frequency trading. Market making is a critical function in financial markets that involves providing liquidity by buying and selling assets. However, the increasing complexity of financial…
Due to the evergrowing blockchain ecosystem, interoperability has become a matter of great importance. Atomic swaps allow connecting otherwise isolated blockchains while adhering to the core principles of censorship resistance and…
It was recently demonstrated that a simple Monte Carlo (MC) algorithm involving the swap of particle pairs dramatically accelerates the equilibrium sampling of simulated supercooled liquids. We propose two numerical schemes integrating the…
Centralized monetary policy, leading to persistent inflation, is often inconsistent, untrustworthy, and unpredictable. Algorithmic stablecoins enabled by blockchain technology are promising in solving this problem. Algorithmic stablecoins…
Multiple Constant Multiplication (MCM) over integers is a frequent operation arising in embedded systems that require highly optimized hardware. An efficient way is to replace costly generic multiplication by bit-shifts and additions, i.e.…
We consider a prediction market in which all aspects are controlled by market forces, in particular the correct outcomes of events are decided by the market itself rather than by trusted arbiters. This kind of a decentralized prediction…
We present a new type of spin market model, populated by hierarchical agents, represented as configurations of sites and arcs in an evolving network. We describe two analytic techniques for investigating the asymptotic behavior of this…
Decentralized exchanges are revolutionizing finance. With their ever-growing increase in popularity, a natural question that begs to be asked is: how efficient are these new markets? We find that nearly 30% of analyzed trades are executed…
We present an experimental study of decentralized two-sided matching markets with no transfers. Experimental participants are informed of everyone's preferences and can make arbitrary non-binding match offers that get finalized when a…
Cross-chain swaps enable exchange of different assets that reside on different blockchains. Several protocols have been proposed for atomic cross-chain swaps. However, those protocols are not fault-tolerant, in the sense that if any party…
The embedding problem of Markov transition matrices into continuous-time Markov semigroups is a classic problem that regained a lot of impetus and activities in recent years. We consider it here for the following generalisation of the…
Correct swap action can be realized via the control of the anisotropic Heisenberg interaction in solid-state quantum systems. The conditions of performing a swap are derived by the dynamics of arbitrary bipartite pure state. It is found…
We construct realistic spot and equity option market simulators for a single underlying on the basis of normalizing flows. We address the high-dimensionality of market observed call prices through an arbitrage-free autoencoder that…