相关论文: Optimal Dynamic Fees in Automated Market Makers

We compare optimal static and dynamic solutions in trade execution. An optimal trade execution problem is considered where a trader is looking at a short-term price predictive signal while trading. When the trader creates an instantaneous…

This paper introduces a trade ordering rule that aims to reduce intra-block price volatility in Automated Market Maker (AMM) powered decentralized exchanges. The ordering rule introduced here, Clever Look-ahead Volatility Reduction (CLVR),…

We study a novel automated market maker design: the function maximizing AMM (FM-AMM). Our central assumption is that trades are batched before execution. Because of competition between arbitrageurs, the FM-AMM eliminates arbitrage profits…

We consider the market microstructure of automated market makers (AMMs) from the perspective of liquidity providers (LPs). Our central contribution is a ``Black-Scholes formula for AMMs''. We identify the main adverse selection cost…

This paper studies how to maximize a spectrum database operator's expected revenue in sharing spectrum to secondary users, through joint pricing and admission control of spectrum resources. A unique feature of our model is the consideration…

This work's purpose is to understand the dynamics of limit order books in order-driven markets. We try to illustrate a dynamical trading mechanism attached to the microstructure of limit order markets. We capture the iterative nature of…

This paper studies four trading algorithms of a professional trader at a multilateral trading facility, observing a realistic two-sided limit order book whose dynamics are driven by the order book events. The identity of the trader can be…

Automated Market Makers (AMMs) are used to provide liquidity for combinatorial prediction markets that would otherwise be too thinly traded. They offer both buy and sell prices for any of the doubly exponential many possible securities that…

Constant function market makers(CFMMS) are a popular market design for decentralized exchanges(DEX). Liquidity providers(LPs) supply the CFMMs with assets to enable trades. In exchange for providing this liquidity, an LP receives a token…

This paper studies spatiotemporal pricing and fleet management for autonomous mobility-on-demand (AMoD) systems while taking elastic demand into account. We consider a platform that offers ride-hailing services using a fleet of autonomous…

We find the equilibrium contract that an automated market maker (AMM) offers to their strategic liquidity providers (LPs) in order to maximize the order flow that gets processed by the venue. Our model is formulated as a leader-follower…

We demonstrate the application of an algorithmic trading strategy based upon the recently developed dynamic mode decomposition (DMD) on portfolios of financial data. The method is capable of characterizing complex dynamical systems, in this…

This paper studies optimal market making for large-tick assets in the presence of latency. We consider a random walk model for the asset price, and formulate the market maker's optimization problem using Markov Decision Processes (MDP). We…

We find an approximate Nash equilibrium in a game between decentralized exchanges (DEXs) that compete for order flow by setting dynamic trading fees. We characterize the equilibrium via a coupled system of partial differential equations and…

Mobility systems often suffer from a high price of anarchy due to the uncontrolled behavior of selfish users. This may result in societal costs that are significantly higher compared to what could be achieved by a centralized system-optimal…

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…

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…

This paper studies optimal pricing and rebalancing policies for Autonomous Mobility-on-Demand (AMoD) systems. We take a macroscopic planning perspective to tackle a profit maximization problem while ensuring that the system is…

Multi-agent distributed consensus optimization problems arise in many signal processing applications. Recently, the alternating direction method of multipliers (ADMM) has been used for solving this family of problems. ADMM based distributed…

We consider dynamic pricing schemes in online settings where selfish agents generate online events. Previous work on online mechanisms has dealt almost entirely with the goal of maximizing social welfare or revenue in an auction settings.…