Concentrated Superelliptical Market Maker
Fuente:
arXiv
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| Format: | Preprint |
| Published: |
2024
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| _version_ | 1866917848527405056 |
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| author | Tolstikov, Vasily |
| author_facet | Tolstikov, Vasily |
| contents | An automated market maker where the price can cross the zero bound into the negative price domain with applications in electricity, energy, and derivatives markets is presented. A unique feature involves the ability to swap both negatively and positively priced assets between one another, which unlike traditional markets requires a numeraire in the form of a currency. Model extensions to skew and concentrate liquidity are shown. The liquidity fingerprint, payoff, and invariant are compared to the Black-Scholes covered call and the Logarithmic Market Scoring Rule invariants. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2410_13265 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Concentrated Superelliptical Market Maker Tolstikov, Vasily Trading and Market Microstructure An automated market maker where the price can cross the zero bound into the negative price domain with applications in electricity, energy, and derivatives markets is presented. A unique feature involves the ability to swap both negatively and positively priced assets between one another, which unlike traditional markets requires a numeraire in the form of a currency. Model extensions to skew and concentrate liquidity are shown. The liquidity fingerprint, payoff, and invariant are compared to the Black-Scholes covered call and the Logarithmic Market Scoring Rule invariants. |
| title | Concentrated Superelliptical Market Maker |
| topic | Trading and Market Microstructure |
| url | https://arxiv.org/abs/2410.13265 |