Decentralized finance and automated market making: predictable loss and optimal liquidity provision

DOI10.1137/23m1602103MaRDI QIDQ6623045

Unnamed Author, Álvaro Cartea, Fayçal Drissi

Publication date: 23 October 2024

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

zbMATH Keywords

stochastic controlsignalsmarket makingalgorithmic tradingautomated market makingdecentralized financeimpermanent lossconcentrated liquiditypredictable loss

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Financial markets (91G15)

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