相关论文: The Pricing And Hedging Of Constant Function Marke…

This paper conducts an empirical investigation into the effects of Designated Market Makers (DMMs) on key market quality indicators, such as liquidity, bid-ask spreads, and order fulfillment ratios. Through agent-based simulations, this…

In decentralized finance ("DeFi"), automated market makers (AMMs) enable traders to programmatically exchange one asset for another. Such trades are enabled by the assets deposited by liquidity providers (LPs). The goal of this paper is to…

This paper introduces peer to peer (P2P) trading mechanisms based on decentralized Blockchain to facilitate retail electricity market for ever-increasing distributed energy resources (DERs). The Blockchain network supports fast and secure…

We study decentralized markets with the presence of middlemen, modeled by a non-cooperative bargaining game in trading networks. Our goal is to investigate how the network structure of the market and the role of middlemen influence the…

The global trend of energy deregulation has led to the market mechanism replacing some functionality of load frequency control (LFC). Accordingly, information exchange among participating generators and the market operator plays a crucial…

Automated market makers (AMMs) quote prices from pool state rather than from a limit order book. AMM pools often stay close to a reference price because arbitrageurs correct profitable mispricing. A large part of decentralized finance…

We investigate the behavior of liquidity providers (LPs) by modeling a decentralized cryptocurrency exchange (DEX) based on Uniswap v3. LPs with heterogeneous characteristics choose optimal liquidity positions subject to uncertainty…

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…

Traditional blockchain design gives miners or validators full control over transaction ordering, i.e., they can freely choose which transactions to include or exclude, as well as in which order. While not an issue initially, the emergence…

The cryptocurrency market is volatile, non-stationary and non-continuous. Together with liquid derivatives markets, this poses a unique opportunity to study risk management, especially the hedging of options, in a turbulent market. We study…

Recently, there has been growing interest in the field of cloud manufacturing (CM) amongst researchers in the manufacturing community. Cloud manufacturing is a customer-driven manufacturing model that was inspired by cloud computing, and…

Blockchain-based cryptocurrencies secure a decentralized consensus protocol by incentives. The protocol participants, called miners, generate (mine) a series of blocks, each containing monetary transactions created by system users. As…

We develop a dynamic model of the Bitcoin market where users set fees themselves and miners decide whether to operate and whom to validate based on those fees. Our analysis reveals how, in equilibrium, users adjust their bids in response to…

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…

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…

This research investigates liquidity dynamics in fractional ownership markets, focusing on illiquid alternative investments traded on a FinTech platform. By leveraging empirical data and employing agent-based modeling (ABM), the study…

The effective allocation of cross-border trading capacities is one of the central challenges for the implementation of a pan-European internal energy market. In contrast to traditional power flow-ignorant methods like net transfer…

Tradable mobility credit (TMC) schemes are an approach to travel demand management that have received significant attention in recent years. This paper proposes and analyzes alternative market models for a TMC system -- focusing on market…

Dealers in foreign exchange markets provide bid and ask prices to their clients at which they are happy to buy and sell, respectively. To manage risk, dealers can skew their quotes and hedge in the interbank market. Hedging offers certainty…

As cryptocurrency evolved, new financial instruments, such as lending and borrowing protocols, currency exchanges, fungible and non-fungible tokens (NFT), staking and mining protocols have emerged. A financial ecosystem built on top of a…