Price-Aware Automated Market Makers: Models Beyond Brownian Prices and Static Liquidity

By Philippe Bergault, Louis Bertucci, David Bouba, Olivier Guéant, Julien Guilbert

Published 2024-05-18

Everscope rating

1380.5

Relevance to quantitative trading

9 / 10

Implementation complexity

8 / 10

Reproducibility

3 / 5

About this paper

Methodology: Stochastic Optimal Control. Problem types: Market Making, Optimization, Time Series Forecasting.

arXiv:2405.03496 · Paper rankings

Open the interactive Everscope explorer for full analysis, charts, and paper battles.