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We investigate the market microstructure of Automated Market Makers (AMMs), the most prominent type of blockchain-based decentralized exchanges. We show that the order execution mechanism yields token value loss for liquidity providers if…

Passive liquidity providers (LPs) in automated market makers (AMMs) face losses due to adverse selection (LVR), which static trading fees often fail to offset in practice. We study the key determinants of LP profitability in a dynamic…

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…

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 article explores the optimisation of trading strategies in Constant Function Market Makers (CFMMs) and centralised exchanges. We develop a model that accounts for the interaction between these two markets, estimating the conditional…

With the emergence of decentralized finance, new trading mechanisms called Automated Market Makers have appeared. The most popular Automated Market Makers are Constant Function Market Makers. They have been studied both theoretically and…

In most OTC markets, a small number of market makers provide liquidity to other market participants. More precisely, for a list of assets, they set prices at which they agree to buy and sell. Market makers face therefore an interesting…

Automated market makers (AMMs) are pricing mechanisms utilized by decentralized exchanges (DEX). Traditional AMM approaches are constrained by pricing solely based on their own liquidity pool, without consideration of external markets or…

To trade tokens in cryptoeconomic systems, automated market makers (AMMs) typically rely on liquidity providers (LPs) that deposit tokens in exchange for rewards. To profit from such rewards, LPs must use effective liquidity provisioning…

As the FX markets continue to evolve, many institutions have started offering passive access to their internal liquidity pools. Market makers act as principal and have the opportunity to fill those orders as part of their risk management,…

Automated marker makers (AMMs) are a class of decentralized exchanges that enable the automated trading of digital assets. They accept deposits of digital tokens from liquidity providers (LPs); tokens can be used by traders to execute…

Market makers provide liquidity to other market participants: they propose prices at which they stand ready to buy and sell a wide variety of assets. They face a complex optimization problem with both static and dynamic components. They…

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…

Concentrated Liquidity Market Makers (CLMMs) represent a fundamental innovation in market microstructure, transforming liquidity provision from passive portfolio allocation to active risk management. This evolution creates significant…

Market makers play a key role in financial markets by providing liquidity. They usually fill order books with buy and sell limit orders in order to provide traders alternative price levels to operate. This paper focuses precisely on the…

Data-driven machine learning (ML) has witnessed great successes across a variety of application domains. Since ML model training are crucially relied on a large amount of data, there is a growing demand for high quality data to be collected…

The intermittent nature of renewable energy resources creates extra challenges in the operation and control of the electricity grid. Demand flexibility markets can help in dealing with these challenges by introducing incentives for…

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…

Automated market makers (AMMs) allocate fee revenue \textit{proportional} to the amount of liquidity investors deposit. In this paper, we study the economic consequences of the competition between passive liquidity providers (LPs) caused by…

An automated market maker (AMM) provides a method for creating a decentralized exchange on the blockchain. For this purpose, individual investors lend liquidity to the AMM pool in exchange for a stream of fees earned from its operations as…