Zobrazeno 1 - 10
of 134
pro vyhledávání: '"Moallemi, Ciamac C."'
Autor:
Moallemi, Ciamac C., Robinson, Dan
Milionis et al.(2023) studied the rate at which automated market makers leak value to arbitrageurs when block times are discrete and follow a Poisson process, and where the risky asset price follows a geometric Brownian motion. We extend their model
Externí odkaz:
http://arxiv.org/abs/2406.00113
This work introduces a framework for evaluating onchain order flow auctions (OFAs), emphasizing the metric of price improvement. Utilizing a set of open-source tools, our methodology systematically attributes price improvements to specific modifiable
Externí odkaz:
http://arxiv.org/abs/2405.00537
Automated market makers (AMMs) have emerged as the dominant market mechanism for trading on decentralized exchanges implemented on blockchains. This paper presents a single mechanism that targets two important unsolved problems for AMMs: reducing los
Externí odkaz:
http://arxiv.org/abs/2403.03367
We develop a general and practical framework to address the problem of the optimal design of dynamic fee mechanisms for multiple blockchain resources. Our framework allows to compute policies that optimally trade-off between adjusting resource prices
Externí odkaz:
http://arxiv.org/abs/2309.12735
We consider the impact of trading fees on the profits of arbitrageurs trading against an automated marker marker (AMM) or, equivalently, on the adverse selection incurred by liquidity providers due to arbitrage. We extend the model of Milionis et al.
Externí odkaz:
http://arxiv.org/abs/2305.14604
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 characteri
Externí odkaz:
http://arxiv.org/abs/2303.00208
This paper presents a general framework for the design and analysis of exchange mechanisms between two assets that unifies and enables comparisons between the two dominant paradigms for exchange, constant function market markers (CFMMs) and limit ord
Externí odkaz:
http://arxiv.org/abs/2302.11652
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 incurred by LPs,
Externí odkaz:
http://arxiv.org/abs/2208.06046
We consider a liquidation problem in which a risk-averse trader tries to liquidate a fixed quantity of an asset in the presence of market impact and random price fluctuations. The trader encounters a trade-off between the transaction costs incurred d
Externí odkaz:
http://arxiv.org/abs/2201.11962
We study the use of policy gradient algorithms to optimize over a class of generalized Thompson sampling policies. Our central insight is to view the posterior parameter sampled by Thompson sampling as a kind of pseudo-action. Policy gradient methods
Externí odkaz:
http://arxiv.org/abs/2006.16507