arXiv research

Paper predicts international trade flows using machine learning and factorization models.

TradeMech nets trades without changing counterparty relationships.

Study minimax regret in bilateral trade with heavy-tailed valuations.

How and why stock prices move is a centuries-old question still not answered conclusively. More recently, attention shifted to higher frequencies, where trades are processed piecewise across different timescales. Here we reveal that price impact has a universal non-linear shape for trades aggregated on any intra-day sc…

Study models opaque financial markets using multi-agent simulation.

TraderTalk uses LLMs to simulate human trading interactions in financial markets.

Although initially originated as a totally empirical relationship to explain the volume of trade between two partners, gravity equation has been the focus of several theoretic models that try to explain it. Specialization models are of great importance in providing a solid theoretic ground for gravity equation in bilat…

The paper analyzes regret in bilateral trade mechanisms without prior valuations.

Sunshine trading theory predicts lower execution costs and liquidity provision through explicit preannouncements, but evidence is scarce in traditional markets.

Unified model for network risks, including bilateral and central clearing, with practical applications.

Study analyzes factors affecting profits in crypto liquidity provision.

Analyzing real data on international trade covering the time interval 1950-2000, we show that in each year over the analyzed period the network is a typical representative of the ensemble of maximally random weighted networks, whose directed connections (bilateral trade volumes) are only characterized by the product of…

Study liquidity provision in decentralized exchanges considering risk aversion and replication costs.

The article provides formulas to hedge impermanent loss in decentralized markets.

Traditional market makers are losing their importance as automated systems have largely assumed the role of liquidity provision in markets. We update the model of Glosten and Milgrom (1985) to analyze this new world: we add multiple securities and introduce an automated market maker who uses the relationships between s…

In this note we study the bilateral merchandise trade flows between 186 countries over the 1948-2005 period using data from the International Monetary Fund. We use Pajek to identify network structure and behavior across thresholds and over time. In particular, we focus on the evolution of trade "islands" in the a world…

Optimal design of automated market makers for decentralized exchanges.

Paper optimizes liquidity provision in decentralized finance markets.

Globalization processes interweave economic structures at a worldwide scale, trade playing a central role as one of the elemental channels of interaction among countries. Despite the significance of such phenomena, measuring economic globalization still remains an open problem. More quantitative treatments could improv…

This thesis studies CPMMs with CL, developing strategies for LTs and LPs.

The paper analyzes real-time methods to detect rapidly varying liquidity in markets.

Study analyzes impact of concentrated liquidity on trading fees and provider returns.

Bilateral trade relationships in the international level between pairs of countries in the world give rise to the notion of the International Trade Network (ITN). This network has attracted the attention of network researchers as it serves as an excellent example of the weighted networks, the link weight being defined …

TRIBE model uses LLMs to simulate human trading behavior in bond markets.

Model predicts trading strategies based on latent demand and price impact.

We present a class of Lévy processes for modelling financial market fluctuations: Bilateral Gamma processes. Our starting point is to explore the properties of bilateral Gamma distributions, and then we turn to their associated Lévy processes. We treat exponential Lévy stock models with an underlying bilateral Gamma pr…

We propose a unified modelling framework that theoretically justifies the main empirical regularities characterizing the international trade network. Each country is associated to a Polya urn whose composition controls the propensity of the country to trade with other countries. The urn composition is updated through t…

CFM fee income is insufficient to hedge market risk, study finds.

Exchange improves liquidity by using different bid and ask tick sizes.

This paper begins to explore the determinants of the topological properties of the international - trade network (ITN). We fit bilateral-trade flows using a standard gravity equation to build a "residual" ITN where trade-link weights are depurated from geographical distance, size, border effects, trade agreements, and …

Proposes a Coulomb-like model for international trade flows, fitting real-world data.

The paper tackles adaptive policy selection to maximize social welfare, achieving optimal regret bounds.

Framework scores DeFi users based on liquidity and trading behavior.

It is common wisdom that no nation is an isolated economic island. All nations participate in the global economy and are linked together through trade and finance. Here we analyze international trade network (ITN), being the network of import-export relationships between countries. We show that in each year over the an…

The large-scale organization of the world economies is exhibiting increasingly levels of local heterogeneity and global interdependency. Understanding the relation between local and global features calls for analytical tools able to uncover the global emerging organization of the international trade network. Here we an…

The paper develops a new framework for pricing and hedging liquidity in crypto markets.

A minimal model of a market of myopic non-cooperative agents who trade bilaterally with random bids reproduces qualitative features of short-term electric power markets, such as those in California and New England. Each agent knows its own budget and preferences but not those of any other agent. The near-equilibrium pr…

In the framework of bilateral Gamma stock models we seek for adequate option pricing measures, which have an economic interpretation and allow numerical calculations of option prices. Our investigations encompass Esscher transforms, minimal entropy martingale measures, $p$-optimal martingale measures, bilateral Esscher…

Study shows informed traders harm market makers but price discovery benefits outweigh costs.

Method solves optimisation problems on non-Riemannian surfaces with bilateral curvature bounds.

Financial exchanges provide incentives for limit order book (LOB) liquidity provision to certain market participants, termed designated market makers or designated sponsors. While quoting requirements typically enforce the activity of these participants for a certain portion of the day, we argue that liquidity demand t…

Estimates boundaries for acceptable bilateral gamma risk in financial markets.

Study Nash competition among dealers quoting prices to clients with unknown trading motives.

A quasi-centralized limit order book (QCLOB) is a limit order book (LOB) in which financial institutions can only access the trading opportunities offered by counterparties with whom they possess sufficient bilateral credit. We perform an empirical analysis of a recent, high-quality data set from a large electronic tra…

Study shows how to better estimate credit provisions and economic capital.

Understanding international trade is a fundamental problem in economics -- one standard approach is via what is commonly called the "gravity equation", which predicts the total amount of trade $F_ij$ between two countries $i$ and $j$ as $F_{ij} = G \frac{M_i M_j}{D_{ij}},$ where $G$ is a constant, $M_i, M_j$ denote …

We show how the cost of funding the collateral in a particular set up can be equal to the Bilateral Valuation Adjustment with the "funded" probability of default, leading to the definition of a Funded Bilateral Valuation Adjustment (FBVA). That set up can also be viewed by an investor as an effective way to restructure…

Optimizes liquidity provision in decentralized exchanges with utility indifference market makers.