Can I read Price-Aware Automated Market Makers: Models Beyond Brownian Prices and Static Liquidity on EtoBox?

Price-Aware Automated Market Makers: Models Beyond Brownian Prices and Static Liquidity by Bergault, Philippe; Bertucci, Louis; Bouba, David; Guéant, Olivier; Guilbert, Julien is a scholarly article available to read on EtoBox.

What is Price-Aware Automated Market Makers: Models Beyond Brownian Prices and Static Liquidity about?

In this paper, we introduce a suite of models for price-aware automated market making platforms willing to optimize their quotes. These models incorporate advanced price dynamics, including stochastic volatility, jumps, and microstructural price models based on Hawkes processes. Additionally, we address the variability in demand from liquidity takers through models that employ either Hawkes or Markov-modulated Poisson processes. Each model is analyzed with particular emphasis placed on the complexity of the numerical methods required to compute optimal quotes.

Author

Bergault, Philippe; Bertucci, Louis; Bouba, David; Guéant, Olivier; Guilbert, Julien

Published

2024

Language

EN