4 papers
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…
Equilibrium Liquidity and Risk Offsetting in Decentralised Markets
Fayçal Drissi, Xuchen Wu, Sebastian Jaimungal
We study the economic viability of liquidity provision in decentralised exchanges (DEXs) within a structural framework in which market outcomes are endogenous. We formulate strateg…
Strategic Learning and Trading in Broker-Mediated Markets
Alif Aqsha, Fayçal Drissi, Leandro Sánchez-Betancourt
We study strategic interactions in a broker-mediated market in which agents learn and exploit each other's private information. A broker provides liquidity to an informed trader an…
Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics
Philippe Bergault, Fayçal Drissi, Olivier Guéant
In recent years, academics, regulators, and market practitioners have increasingly addressed liquidity issues. Amongst the numerous problems addressed, the optimal execution of lar…