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Price-Aware Automated Market Makers: Models Beyond Brownian Prices...

Author
Philippe Bergault, Louis Bertucci, David Bouba, Olivier Guéant, Julien Guilbert
Date Updated
2024/05/07
Category
q-fin.TR
Date Published
2024/05/06
Date Retrieved
2024/05/07
Description
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.
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