4 papers
The Viability of Blockchain Markets under Discrete Clearing and Paid Priority
Agostino Capponi, Ãlvaro 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…
Decentralised Finance and Automated Market Making: Execution and Speculation
Ãlvaro Cartea, Fayçal Drissi, Marcello Monga
Automated market makers (AMMs) are a new prototype of decentralised exchanges which are revolutionising market interactions. The majority of AMMs are constant product markets (CPMs…
A Simple Strategy to Deal with Toxic Flow
Ãlvaro 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…
Optimal execution and speculation with trade signals
Peter Bank, Ãlvaro Cartea, Laura Körber
We propose a price impact model where changes in prices are purely driven by the order flow in the market. The stochastic price impact of market orders and the arrival rates of lim…