2 papers
q-fin.TR2024
DEX Specs: A Mean Field Approach to DeFi Currency Exchanges
Erhan Bayraktar, Asaf Cohen, April Nellis
We investigate the behavior of liquidity providers (LPs) by modeling a decentralized cryptocurrency exchange (DEX) based on Uniswap v3. LPs with heterogeneous characteristics choos…
q-fin.PR2013
A note on the Fundamental Theorem of Asset Pricing under model uncertainty
Erhan Bayraktar, Yuchong Zhang, Zhou Zhou
We show that the results of ArXiv:1305.6008 on the Fundamental Theorem of Asset Pricing and the super-hedging theorem can be extended to the case in which the options available for…