Price-Aware Automated Market Makers: Models Beyond Brownian Prices and Static Liquidity
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arXiv
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| Hauptverfasser: | , , , , |
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| Format: | Preprint |
| Veröffentlicht: |
2024
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| _version_ | 1866909206729195520 |
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| author | Bergault, Philippe Bertucci, Louis Bouba, David Guéant, Olivier Guilbert, Julien |
| author_facet | Bergault, Philippe Bertucci, Louis Bouba, David Guéant, Olivier Guilbert, Julien |
| contents | In this paper, we introduce a suite of models for price-aware automated market making platforms willing to optimize their quotes. These models incorporate advanced price dynamics, including stochastic volatility, jumps, and microstructural price models based on Hawkes processes. Additionally, we address the variability in demand from liquidity takers through models that employ either Hawkes or Markov-modulated Poisson processes. Each model is analyzed with particular emphasis placed on the complexity of the numerical methods required to compute optimal quotes. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2405_03496 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Price-Aware Automated Market Makers: Models Beyond Brownian Prices and Static Liquidity Bergault, Philippe Bertucci, Louis Bouba, David Guéant, Olivier Guilbert, Julien Trading and Market Microstructure In this paper, we introduce a suite of models for price-aware automated market making platforms willing to optimize their quotes. These models incorporate advanced price dynamics, including stochastic volatility, jumps, and microstructural price models based on Hawkes processes. Additionally, we address the variability in demand from liquidity takers through models that employ either Hawkes or Markov-modulated Poisson processes. Each model is analyzed with particular emphasis placed on the complexity of the numerical methods required to compute optimal quotes. |
| title | Price-Aware Automated Market Makers: Models Beyond Brownian Prices and Static Liquidity |
| topic | Trading and Market Microstructure |
| url | https://arxiv.org/abs/2405.03496 |