2 citations · 6 across the 20 of their papers we have counts for
5 papers · 1 filter
Competition between DEXs through Dynamic Fees
Leonardo Baggiani, Martin Herdegen, Leandro Sanchez-Betancourt
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 equilibriu…
Market Making with Exogenous Competition
Robert Boyce, Martin Herdegen, Leandro Sánchez-Betancourt
We study liquidity provision in the presence of exogenous competition. We consider a `reference market maker' who monitors her inventory and the aggregated inventory of the competi…
Information-Based Trading
George Bouzianis, Lane P. Hughston, Leandro Sánchez-Betancourt
We consider a pair of traders in a market where the information available to the second trader is a strict subset of the information available to the first trader. The traders make…
Pricing with Variance Gamma Information
Lane P. Hughston, Leandro Sánchez-Betancourt
In the information-based pricing framework of Brody, Hughston and Macrina, the market filtration is generated by an information process $\{ ξ_t\}_{t\g…
Lévy-Ito Models in Finance
George Bouzianis, Lane P. Hughston, Sebastian Jaimungal +1
We present an overview of the broad class of financial models in which the prices of assets are Lévy-Ito processes driven by an -dimensional Brownian motion and an independent P…