2 papers
q-fin.GN2026
The Viability of Blockchain Markets under Discrete Clearing and Paid Priority
Agostino Capponi, Álvaro Cartea, Fayçal Drissi
This paper develops a model to evaluate the viability of blockchain markets as the sole venue for price formation. Blockchains clear at discrete intervals called block time, and tr…
q-fin.TR2025
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…