2 citations · 6 across the 20 of their papers we have counts for
6 papers · 1 filter
Optimal Exit Time for Liquidity Providers in Automated Market Makers
Philippe Bergault, Sébastien Bieber, Leandro Sánchez-Betancourt
We study the problem of optimal liquidity withdrawal for a representative liquidity provider (LP) in an automated market maker (AMM). LPs earn fees from trading activity but are ex…
Martingale Posterior Neural Networks for Fast Sequential Decision Making
Gerardo Duran-Martin, Leandro Sánchez-Betancourt, Álvaro Cartea +1
We introduce scalable algorithms for online learning of neural network parameters and Bayesian sequential decision making. Unlike classical Bayesian neural networks, which induce p…
Optimal Dynamic Fees in Automated Market Makers
Leonardo Baggiani, Martin Herdegen, Leandro Sánchez-Betancourt
Automated Market Makers (AMMs) are emerging as a popular decentralised trading platform. In this work, we determine the optimal dynamic fees in a constant function market maker. We…
Equilibrium Reward for Liquidity Providers in Automated Market Makers
Alif Aqsha, Philippe Bergault, Leandro Sánchez-Betancourt
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…
A Simple Strategy to Deal with Toxic Flow
Álvaro Cartea, Leandro Sánchez-Betancourt
We model the trading activity between a broker and her clients (informed and uninformed traders) as an infinite-horizon stochastic control problem. We derive the broker's optimal d…
Market Making with Fads, Informed, and Uninformed Traders
Emilio Barucci, Adrien Mathieu, Leandro Sánchez-Betancourt
We characterise the solution to a continuous-time optimal liquidity provision problem in a market populated by informed and uninformed traders. In our model, the asset price exhibi…