4 papers
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…
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…