Study shows HFT improves market liquidity indicators.
problem Impact of high-frequency trading on market liquidity.
method Agent-based simulations comparing HFT and non-HFT markets.
result All liquidity indicators improved in markets with HFTs.
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48 results for “Market Liquidity”
Optimizes liquidity provision in decentralized exchanges with utility indifference market makers.
problem Impermanent loss in decentralized exchanges without transaction fees.
method Mathematical formulation of liquidity provision, focusing on utility indifference market makers.
result No-arbitrage conditions and optimal arbitrage strategies are established.
New metric to measure liquidity position PNL, delta hedging algorithm for automated market makers.
problem Vulnerability of liquidity positions to price changes in underlying assets.
method Proposes a new metric for measuring PNL, delta hedging algorithm for various AMMs.
result New metric more accurately measures net value change due to price movement.
Study analyzes impact of concentrated liquidity on trading fees and provider returns.
problem Impact of concentrated liquidity on trading fees and provider returns.
method Comparison of average liquidity provider returns before and after concentrated liquidity introduction; quantification of fundamental strategies performance.
result Concentrated liquidity strategies outperform in certain trading pairs and market conditions.
Optimized execution model using interbank and internal liquidity.
problem Minimizing market impact in trading.
method Integrates interbank limit and market orders with internal market-making liquidity.
result Reduces market impact and improves execution efficiency.
The Impact of Designated Market Makers on Market Liquidity and Competition: A Simulation Approachq-fin.TR
This study examines how DMMs affect market liquidity and competition.
problem The impact of DMMs on market liquidity and competition.
method Agent-based simulations to explore the effects of varying competition levels and incentive structures among DMMs.
result Optimal competition among DMMs maximizes liquidity benefits without negatively impacting price discovery.
Novel method reconstructs liquidity data for CLMMs, optimizing dynamic liquidity strategies.
problem Challenges in evaluating and optimizing CLMMs due to lack of historical liquidity data.
method Reconstructs historical liquidity states from swap transaction data using machine learning.
result Identifies outperformance of dynamic liquidity strategies over uniform allocation benchmarks.
New game theory approach to bond market liquidity and participant behavior.
problem Uncertainty in market maker types and regulatory structure.
method Liquidity Game theory applied to UK bond market interactions.
result Strategies and structures for market makers and regulators.
Study factors affecting liquidity on decentralized exchanges, introducing new metrics.
problem Understanding and predicting liquidity on decentralized exchanges (DEXs).
method Analyzes platform, blockchain, token pair, and liquidity pool factors; introduces new metrics.
result Identifies how various factors affect liquidity through concentration and total value locked.
Impact of arbitrage between leveraged ETF and futures on market liquidity during market crashq-fin.CP
Study examines how arbitrage between ETF and futures affects market liquidity during crashes.
problem Impact of arbitrage between leveraged ETF and futures on market liquidity during market crashes.
method Artificial market simulations to investigate liquidity changes in L-ETF and futures markets.
result Arbitrage trading affects liquidity supply from one market to another during market crashes.
Arbitrage with bounded Liquidityq-fin.MF
Study calculates arbitrage gains between two markets with limited liquidity.
problem Arbitrage gains between markets with limited liquidity.
method Modeling arbitrage gains using relative liquidity and trading volume, assuming quadratic trading costs.
result Arbitrage gains depend on relative liquidity and trading volume between markets.
Optimal design of automated market makers for decentralized exchanges.
problem Maximizing utility for liquidity providers in decentralized exchanges.
method Modeling a risk-averse liquidity provider's optimal strategy and the optimal design of automated market makers.
result The optimal unit trading fee increases with asset volatility.
Investigates optimal strategies for market makers using internal liquidity.
problem Optimizing strategies for market makers with internal liquidity.
method Investigates optimal multi-objective strategy for market makers with internal liquidity.
result Draws important qualitative insights for real-world trading.
Study shows marketable order routing to wholesalers benefits all traders, leading to lower market depth and price volatility.
problem Determining the preference of retail traders for marketable order routing.
method Two models: one for market makers competing for retail order flow (Bertrand model) and another for price-taking competitive liquidity providers (open exchange model).
result Routing marketable orders to wholesalers is preferred by all traders, leading to mean reverting inventories and lower market depth.
Static Replication of Impermanent Loss for Concentrated Liquidity Provision in Decentralised Marketsq-fin.GN
The article provides formulas to hedge impermanent loss in decentralized markets.
problem Impermanent loss in concentrated liquidity provision in decentralized markets.
method Analytical characterizations and static replication formulas using European calls or puts.
result Static replication formulas accurately hedge impermanent loss.
This paper models financial contagion with endogenously determined market liquidity.
problem Financial contagion and its impact on market liquidity during price drops.
method Developed a joint clearing system for interbank payments, asset prices, and market liquidity, with endogenous market capacity.
result Endogenous market liquidity significantly affects system risk during financial contagion.
Optimal liquidation model reduces trading costs in OTC markets.
problem Minimizing trading costs in Over-The-Counter markets.
method Developed an optimal portfolio liquidation model in Locally Linear Order Book framework.
result Optimal liquidation time is proportional to the square root of the traded volume.
In this paper, we generalize the Almgren-Chriss's market impact model to a more realistic and flexible framework and employ it to derive and analyze some aspects of optimal liquidation problem in a security market. We illustrate how a trader's liquidation strategy alters when multiple venues and extra information are b…
Asset liquidity in modern financial markets is a key but elusive concept. A market is often said to be liquid when the prevailing structure of transactions provides a prompt and secure link between the demand and supply of assets, thus delivering low costs of transaction. Providing a rigorous and empirically relevant d…
Paper analyzes liquidity for everlasting options in DeFi, offering strategies to reduce costs.
problem Challenges of perpetual derivatives in decentralized finance markets.
method Dynamic proactive market maker model, simulations, hedging strategies.
result Liquidity providers can achieve net positive PnL with effective strategies.
This paper uses DRL to optimize liquidity in DeFi protocols, making markets more accessible.
problem Optimizing liquidity provisioning in decentralized finance protocols.
method Modeling liquidity provisioning as an MDP, training an agent with PPO to dynamically adjust positions.
result DRL-based strategy outperforms traditional heuristics in fee maximization and impermanent loss mitigation.
Automated Market Makers: A Stochastic Optimization Approach for Profitable Liquidity Concentrationq-fin.TR
Optimizes liquidity provision intervals for profitable AMM participation.
problem Financial losses from poor liquidity provision intervals and reallocation costs.
method Developed a tractable stochastic optimization problem.
result Computes optimal liquidity provision intervals for profitable liquidity concentration.
The paper defines price sensitivity and liquidity in CFMMs and links it to curvature.
problem Understanding the relationship between CFMM curvature and market performance.
method Proposes a definition of price sensitivity and liquidity, and links it to CFMM curvature.
result Curvature of CFMMs affects market performance and liquidity provider incentives.
Market stability depends on a fundamental value anchor, not price crashes.
problem Stability of order-book markets under fundamental anchoring.
method Analytical model and empirical analysis of six transmission channels.
result Fundamental anchoring stabilizes markets by mean-reverting prices and refilling books; removing the anchor leads to market failure.
This paper explores BTC-denominated prediction markets to avoid stablecoin opportunity costs.
problem Opportunity costs and loss of BTC exposure when converting to stablecoins.
method Analyzes three methods of liquidity provision: cross-market making, automated market making, and DeFi redirection.
result Cross-market making provides the best user risk profile but requires active liquidity.
Develops a new model to better estimate cryptocurrency and stock volatility.
problem Misrepresentation of volatility and co-movement in traditional models.
method Introduces liquidity-sensitive multivariate volatility framework with novel liquidity measures.
result Liquidity-adjusted models yield more stable and interpretable risk structures.
Decentralized prediction markets use AMMs to pool and withdraw liquidity, improving financial properties.
problem Creating a fair and efficient decentralized prediction market.
method Developed a liquidity-based AMM structure for prediction markets, studied liquidity management, and proposed trading fees.
result The decentralized AMM structure satisfies financial properties and can be managed with liquidity withdrawal.
This paper examines how institutional liquidity affects prediction markets.
problem How institutional liquidity impacts prediction markets and their quality.
method Defines a market-quality lens, separates channels, and uses synthetic microstructure lab.
result Institutional liquidity does not necessarily translate to equal gains for all traders.
This thesis studies CPMMs with CL, developing strategies for LTs and LPs.
problem Trading mechanisms and strategies for CPMMs with CL.
method Formalizes CPMMs with CL, develops strategies using market data and models.
result Derives optimal strategies for LTs and LPs in CPMMs with CL.
ABM simulates OTC government bond market dynamics, enhancing liquidity and stability.
problem Understanding and ensuring market stability and liquidity in OTC government bond markets.
method Developed a bespoke ABM to simulate market-maker interactions and test hypotheses.
result Greater agent diversity enhances market liquidity and reducing market-making costs improves stability.
UAMM uses external market prices to improve AMM efficiency and reduce liquidity provider risk.
problem Traditional AMMs lack consideration of external markets and risk management.
method UAMM calculates prices by incorporating external market prices and impermanent loss, maintaining constant product curve properties.
result UAMM eliminates arbitrage opportunities when external market prices are efficient, reducing liquidity provider risk.
This paper studies liquidity providers in decentralized exchanges.
problem Understanding how liquidity providers behave in DEXes.
method Analyzed operations on Uniswap, measured investment strategy, returns, and risks.
result Liquidity providers benefit from transaction fees and determine their strategy based on market changes.
In this article, we present a discrete time modeling framework, in which the shape and dynamics of a Limit Order Book (LOB) arise endogenously from an equilibrium between multiple market participants (agents). We use the proposed modeling framework to analyze the effects of trading frequency on market liquidity in a ve…
New method detects market liquidity changes using order book data.
problem Detecting changes in market liquidity.
method Marked Hawkes processes and minimax quickest detection problem for doubly-stochastic Poisson process.
result Optimal stopping rule for detecting intensity changes in market liquidity.
Study simulates liquidity in fractional ownership markets using ABM.
problem Understanding liquidity dynamics in illiquid markets.
method Agent-based modeling (ABM) with empirical data.
result Simulation reveals insights into market structures and trading behaviors.
We study a continuous-time version of the intermediation model of Grossman and Miller (1988). To wit, we solve for the competitive equilibrium prices at which liquidity takers' demands are absorbed by dealers with quadratic inventory costs, who can in turn gradually transfer these positions to an exogenous open market …
High-fee pools attract more liquidity but execute less volume; low-fee pools have more stable LPs.
problem Optimal liquidity supply and execution on decentralized exchanges with fixed gas costs.
method Analysis of Uniswap data to compare high- and low-fee pools.
result Fragmented liquidity leads to more LPs and competition, improving overall market efficiency.
Paper introduces a method to assess liquidity risk in meme tokens using entity-linked address analysis.
problem High market volatility and vulnerability to manipulation in meme tokens.
method Multi-dimensional approach integrating fund flow analysis, behavioral similarity, and anomalous transaction detection.
result Significant disparities between apparent and actual liquidity in meme token markets.
Generalizing Impermanent Loss on Decentralized Exchanges with Constant Function Market Makersq-fin.TR
Framework to generalize impermanent loss for decentralized exchanges.
problem Difficult analysis of impermanent loss due to diverse market maker algorithms and fee structures.
method Developed a framework to generalize impermanent loss for constant function market makers with optional concentrated liquidity.
result Identified conditions for profitability of liquidity provisioning.
We introduce a class of utility-based market makers that always accept orders at their risk-neutral prices. We derive necessary and sufficient conditions for such market makers to have bounded loss. We prove that hyperbolic absolute risk aversion utility market makers are equivalent to weighted pseudospherical scoring …
This study examines liquidation risks in DeFi lending markets.
problem Liquidity risks in decentralized finance lending protocols.
method Quantitative analysis of liquidation data from four major DeFi platforms.
result Current liquidation mechanisms incentivize liquidators but lead to excessive collateral sales.
The paper uses option theory to estimate corporate bond liquidity spreads.
problem Estimating liquidity spreads for corporate bonds.
method Option-theoretic approach considering risk-free rate volatility and credit risk.
result The model provides a robust tool for pricing illiquid bonds.
Unihedge uses HTAX to create unlimited liquidity in prediction markets.
problem Limited liquidity and information incorporation issues in prediction markets.
method Introduces HTAX prediction markets with DPM derivatives and new incentive mechanisms.
result Unlimited liquidity and improved information incorporation in prediction markets.
The paper analyzes liquidity in decentralized finance, deriving impact functions and de-pegging risks.
problem Understanding and quantifying market impact and de-pegging risk in decentralized finance.
method Derives market impact functions for optimal-growth liquidity providers, views Constant Product Market Maker as a Carnot engine, and links de-pegging risks to catastrophe bonds.
result New insights into liquidity models and de-pegging risks in decentralized finance.
This study measures liquidity risks in Aave, a blockchain lending protocol.
problem Liquidity risks in lending protocols, especially in Aave.
method Measurements of liquidity risks using Aave as a case study, focusing on available liquidity and market concentration.
result Liquidity risks in Aave are volatile and affect the protocol negatively, especially for repeat borrowers.
Tokenized RWAs face liquidity issues despite promising markets.
problem Low trading volumes and limited investor participation in tokenized assets.
method Empirical analysis of tokenized real estate, private credit, and treasury funds.
result Most tokenized assets exhibit low transfer activity and limited secondary trading.
Financial contagion from liquidity shocks has being recently ascribed as a prominent driver of systemic risk in interbank lending markets. Building on standard compartment models used in epidemics, in this work we develop an EDB (Exposed-Distressed-Bankrupted) model for the dynamics of liquidity shocks reverberation be…
Study uses machine learning to predict high-frequency trading liquidity.
problem Predicting minute-level price movements in high-frequency trading markets.
method Advanced machine learning techniques (Logistic Regression, SVM, Random Forest) applied to liquidity metrics.
result Random Forest algorithm shows superior accuracy in predicting price movements.