相关论文: The Geometry of Constant Function Market Makers

In this article, we derive a common fixed point result for a pair of single valued and set-valued mappings on a metric space having graphical structure. In this case, the set-valued map is assumed to be closed valued instead of closed and…

We introduce a formal framework for analyzing trades in financial markets. These days, all big exchanges use computer algorithms to match buy and sell requests and these algorithms must abide by certain regulatory guidelines. For example,…

Transaction fee mechanism design is a new decentralized mechanism design problem where users bid for space on the blockchain. Several recent works showed that the transaction fee mechanism design fundamentally departs from classical…

The role of a market maker is to simultaneously offer to buy and sell quantities of goods, often a financial asset such as a share, at specified prices. An automated market maker (AMM) is a mechanism that offers to trade according to some…

The convex feasibility problem (CFP) is to find a feasible point in the intersection of finitely many convex and closed sets. If the intersection is empty then the CFP is inconsistent and a feasible point does not exist. However,…

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…

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…

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…

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…

Financial markets have been extensively studied as highly complex evolving systems. In this paper, we quantify financial price fluctuations through a coupled dynamical system composed of phase oscillators. We find a Financial Coherence and…

Maximal Extractable Value (MEV) refers to excess value captured by miners (or validators) from users in a cryptocurrency network. This excess value often comes from reordering users' transactions to maximize fees or from inserting new…

Multimodular functions, primarily used in the literature of queueing theory, discrete-event systems, and operations research, constitute a fundamental function class in discrete convex analysis. The objective of this paper is to clarify the…

Many automated market makers can be understood through the geometry of their trading orbits, the sets of states reachable from one another through swaps. In prominent designs, this geometry is captured by a simple closed-form invariant such…

This paper proposes a method of transferring physical continuous and switching/converter circuits working in continuous conduction mode (CCM) and discontinuous conduction mode (DCM) to graph representation, independent of the connection or…

The price volatility of cryptocurrencies is often cited as a major hindrance to their wide-scale adoption. Consequently, during the last two years, multiple so called stablecoins have surfaced---cryptocurrencies focused on maintaining…

Geometric properties of the fixed point set $Fix(f)$ of a self-mapping $f$ on a metric or a generalized metric space is an attractive issue. The set $Fix(f)$ can contain a geometric figure (a circle, an ellipse, etc.) or it can be a…

This paper initiates a study into the century-old issue of market predictability from the perspective of computational complexity. We develop a simple agent-based model for a stock market where the agents are traders equipped with simple…

Collateralization with daily margining has become a new standard in the post-crisis market. Although there appeared vast literature on a so-called multi-curve framework, a complete picture of a multi-currency setup with cross-currency basis…

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…

Non-Fungible Tokens (NFTs) are crypto assets with a unique digital identifier for ownership, powered by blockchain technology. Technically speaking, anything digital could be minted and sold as an NFT, which provides proof of ownership and…