Cover Image

A mathematical framework for modelling CLMM dynamics in continuous time

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Tung, Shen-Ning, Wang, Tai-Ho
Format:	Preprint
Published:	2024
Subjects:	Mathematical Finance Trading and Market Microstructure 62P05, 93E20
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Path-dependent Kyle equilibrium model
by: Corcuera, José M., et al.
Published: (2020)

On Bellman equation in the limit order optimization problem for high-frequency trading
by: Balakaeva, M. I., et al.
Published: (2025)

Optimal Execution under Liquidity Uncertainty
by: Chevalier, Etienne, et al.
Published: (2025)

Relative entropy-regularized robust optimal order execution
by: Wang, Meng, et al.
Published: (2023)

Risk aversion of insider and dynamic asymmetric information
by: Danilova, Albina, et al.
Published: (2025)

Multi-dimensional queue-reactive model and signal-driven models: a unified framework
by: Sfendourakis, Emmanouil
Published: (2025)

A theory of passive market impact
by: Chahdi, Youssef Ouazzani, et al.
Published: (2024)

Growth rate of liquidity provider's wealth in G3Ms
by: Lee, Cheuk Yin, et al.
Published: (2024)

Continuous-time Equilibrium Returns in Markets with Price Impact and Transaction Costs
by: Anthropelos, Michail, et al.
Published: (2024)

Optimal Bubble Riding: A Mean Field Game with Varying Entry Times
by: Tangpi, Ludovic, et al.
Published: (2022)

Axioms for Automated Market Makers: A Mathematical Framework in FinTech and Decentralized Finance
by: Bichuch, Maxim, et al.
Published: (2022)

All AMMs are CFMMs. All DeFi markets have invariants. A DeFi market is arbitrage-free if and only if it has an increasing invariant
by: Lee, Roger
Published: (2023)

Optimal Portfolio Choice with Cross-Impact Propagators
by: Jaber, Eduardo Abi, et al.
Published: (2024)

Fredholm Approach to Nonlinear Propagator Models
by: Jaber, Eduardo Abi, et al.
Published: (2025)

Explicit Signal-Adaptive Sequential Optimal Execution Quotes
by: Yu, Fenghui
Published: (2026)

Macroscopic Market Making
by: Guo, Ivan, et al.
Published: (2023)

Liquidity provision in CLMMs: evidence from transactions data
by: Urusov, Andrey, et al.
Published: (2026)

Optimal Exit Time for Liquidity Providers in Automated Market Makers
by: Bergault, Philippe, et al.
Published: (2025)

Follow the Leader: Enhancing Systematic Trend-Following Using Network Momentum
by: Li, Linze, et al.
Published: (2025)

Decentralized Prediction Markets and Sports Books
by: Amini, Hamed, et al.
Published: (2023)

Optimal Execution under Incomplete Information
by: Chevalier, Etienne, et al.
Published: (2024)

Performative Market Making
by: Kleitsikas, Charalampos, et al.
Published: (2025)

Arbitrage on Decentralized Exchanges
by: He, Xue Dong, et al.
Published: (2025)

Wasserstein Robust Market Making via Entropy Regularization
by: Fang, Zhou, et al.
Published: (2025)

Decentralised Finance and Automated Market Making: Execution and Speculation
by: Cartea, Álvaro, et al.
Published: (2023)

Arbitrage with bounded Liquidity
by: Schlegel, Christoph, et al.
Published: (2025)

Optimal Dynamic Fees in Automated Market Makers
by: Baggiani, Leonardo, et al.
Published: (2025)

Market Making and Transient Impact in Spot FX
by: Barzykin, Alexander
Published: (2026)

QubitSwap: The Informational Edge in Decentralised Exchanges
by: Scott-Simons, Oliver Tronn, et al.
Published: (2025)

Pricing and Hedging Financial Derivatives in Merger\&Acquisition Deals with Price Impact
by: Barucci, Emilio, et al.
Published: (2026)

Mandatory Disclosure in Oligopolistic Market Making
by: Kim, Seongjin, et al.
Published: (2026)

Neural Hawkes: Non-Parametric Estimation in High Dimension and Causality Analysis in Cryptocurrency Markets
by: Fabre, Timothée, et al.
Published: (2024)

Market Making with Fads, Informed, and Uninformed Traders
by: Barucci, Emilio, et al.
Published: (2025)

Entropy-Regularized Certainty-Equivalent Bellman Policies for Risk-Sensitive Market Making
by: Zhong, Tenghan
Published: (2026)

Shortermism and excessive risk taking in optimal execution with a target performance
by: Barucci, Emilio, et al.
Published: (2025)

Closed-form solutions for generic N-token AMM arbitrage
by: Willetts, Matthew, et al.
Published: (2024)

Optimal Rebalancing in Dynamic AMMs
by: Willetts, Matthew, et al.
Published: (2024)

Optimizing Broker Performance Evaluation through Intraday Modeling of Execution Cost
by: Eisler, Zoltan, et al.
Published: (2024)

Solvability of the Gaussian Kyle model with imperfect information and risk aversion
by: Chhaibi, Reda, et al.
Published: (2025)

A Microstructure Analysis of Coupling in CFMMs
by: Sterrett, Althea, et al.
Published: (2025)