4 papers
Risk-Based Auto-Deleveraging
Steven Campbell, Natascha Hey, Ciamac C. Moallemi +1
Auto-deleveraging (ADL) mechanisms are a critical yet understudied component of risk management on cryptocurrency futures exchanges. When available margin and other loss-absorbing…
Optimal Fees for Liquidity Provision in Automated Market Makers
Steven Campbell, Philippe Bergault, Jason Milionis +1
Passive liquidity providers (LPs) in automated market makers (AMMs) face losses due to adverse selection (LVR), which static trading fees often fail to offset in practice. We study…
Randomization in Optimal Execution Games
Steven Campbell, Marcel Nutz
We study optimal execution in markets with transient price impact in a competitive setting with traders. Motivated by prior negative results on the existence of pure Nash equil…
Optimal Execution among Traders with Transient Price Impact
Steven Campbell, Marcel Nutz
We study -player optimal execution games in an Obizhaeva--Wang model of transient price impact. When the game is regularized by an instantaneous cost on the trading rate, a uniq…