相关论文: Optimal Dynamic Fees in Automated Market Makers

A recent approach to automated mechanism design, differentiable economics, represents auctions by rich function approximators and optimizes their performance by gradient descent. The ideal auction architecture for differentiable economics…

The always-available liquidity of automated market makers (AMMs) has been one of the most important catalysts in early cryptocurrency adoption. However, it has become increasingly evident that AMMs in their current form are not viable…

Batch auctions are a classical market microstructure, acclaimed for their fairness properties, and have received renewed interest in the context of blockchain-based financial systems. Constant function market makers (CFMMs) are another…

In an electric power system, demand fluctuations may result in significant ancillary cost to suppliers. Furthermore, in the near future, deep penetration of volatile renewable electricity generation is expected to exacerbate the variability…

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…

Participation in permissionless blockchains results in competition over system resources, which needs to be controlled with fees. Ethereum's current fee mechanism is implemented via a first-price auction that results in unpredictable fees…

We study a dynamic asset pricing problem in which a representative agent is ambiguous about the aggregate endowment growth rate and trades a risky stock, human capital, and a risk-free asset to maximize her preference value of consumption…

This thesis presents a fundamental rethink of electricity market design at the wholesale and balancing layers. Rather than treating markets as static spot clearing mechanisms, it reframes them as a continuously online, event driven…

In decentralized finance, any individual can pool their assets into an automated market maker (AMM) -- herein we focus on the constant product market maker (CPMM) -- in exchange for a claim on a fraction of future pool assets and fees…

Constant function market makers (CFMMs) are the most popular type of decentralized trading venue for cryptocurrency tokens. In this paper, we give a very general geometric framework (or 'axioms') which encompass and generalize many of the…

This study explores the design of an efficient rebate policy in auction markets, focusing on a continuous-time setting with competition among market participants. In this model, a stock exchange collects transaction fees from auction…

We consider the problem of optimally executing an order involving multiple crypto-assets, sometimes called tokens, on a network of multiple constant function market makers (CFMMs). When we ignore the fixed cost associated with executing an…

We consider dynamic pricing algorithms as applied to the online set cover problem. In the dynamic pricing framework, we assume the standard client server model with the additional constraint that the server can only place prices over the…

Automated Market Makers (AMMs), as a core infrastructure of decentralized finance (DeFi), uniquely drive on-chain asset pricing through a deterministic reserve ratio mechanism. Unlike traditional markets, AMM price dynamics is triggered…

We consider the problem of max-min beamforming (MMB) for cell-free massive multi-input multi-output (MIMO) systems, where the objective is to maximize the minimum achievable rate among all users. Existing MMB methods are mainly based on…

Automated Market Maker (AMM)-based Decentralized Exchanges (DEXs) are crucial in Decentralized Finance (DeFi), but Ethereum implementations suffer from high transaction costs and price synchronization challenges. To address these…

The Maker Protocol is a decentralized finance application that enables collateralized lending. The application uses open-bid, second-price auctions to complete its loan liquidation process. In this paper, we develop a bidding function for…

We investigate whether the fee income from trades on the CFM is sufficient for the liquidity providers to hedge away the exposure to market risk. We first analyse this problem through the lens of continuous-time financial mathematics and…

This paper studies self-sustained dynamic multiagent systems (MAS) for decentralized resource allocation operating at a competitive equilibrium over a finite horizon. The utility of resource consumption, along with the income from resource…

Renewable energy brings huge uncertainties to the power system, which challenges the traditional power system operation with limited flexible resources. One promising solution is to introduce dynamic pricing to more consumers, which, if…