31 citations · 109 across the 28 of their papers we have counts for
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q-fin.TR2021
Automated Market-Making for Fiat Currencies
Alex Lipton, Artur Sepp
We present an automated market-making (AMM) cross-settlement mechanism for digital assets on interoperable blockchains, focusing on central bank digital currencies (CBDCs) and stab…
q-fin.TR2013★ 26 cited
Trade arrival dynamics and quote imbalance in a limit order book
Alexander Lipton, Umberto Pesavento, Michael G Sotiropoulos
We examine the dynamics of the bid and ask queues of a limit order book and their relationship with the intensity of trade arrivals. In particular, we study the probability of pric…