6 papers
Avellaneda-Stoikov and Cartea-Jaimungal as One Framework: A Forced Uniqueness Theorem for Inventory Market Making
Frank M. V. Feys
In inventory market making, the running-penalty coefficient of the Cartea-Jaimungal framework and the risk-aversion parameter of the Avellaneda-Stoikov framework are typi…
Axiomatic Market Making
Frank M. V. Feys
This paper axiomatizes the bid-ask market maker's quoting rule. A quoting rule maps the maker's state, namely inventory, belief, variance, trade intensity, and informed-trader frac…
Fairness and Strategy-Proofness in Automated Market Makers
Frank M. V. Feys
No deployed automated market maker lets its liquidity providers vote on the trading function. We show this is structural, not an oversight. On the weighted-product family with $n \…
The Geometry of Cooperative Game Solutions: Stratified Egalitarian Shapley Values
Frank M. V. Feys
The space L of linear value maps on a finite-player cooperative game G^N is finite-dimensional, and admits a canonical inner product induced by the Harsanyi-dividend decomposition…
An Axiomatic Theory of Tie-Breaking: Impossibility, Characterization, and Decomposition
Frank M. V. Feys
We develop an abstract axiomatic theory of tie-breaking. A tie-breaking input consists of a finite set N of players, a weak order on N representing the standings to be refined, and…
The Arithmetic of Chess Piece Strength on the n x n Board
Frank M. V. Feys
On the n x n chessboard, the move totals of distinct pieces satisfy a small number of striking arithmetic identities. The total diagonal mobility of the bishop and the total 8-neig…