no code implementations • 27 Mar 2024 • Cheuk Yin Lee, Shen-Ning Tung, Tai-Ho Wang
Geometric mean market makers (G3Ms), such as Uniswap and Balancer, represent a widely used class of automated market makers (AMMs).
no code implementations • 6 Jan 2024 • Xue Cheng, Peng Guo, Tai-Ho Wang
The strategies that the agent is allowed to deploy is subject to a benchmark, referred to as the reservation strategy, regulated by the client.
no code implementations • 4 Dec 2021 • Marina Di Giacinto, Claudio Tebaldi, Tai-Ho Wang
In this paper we explore optimal liquidation in a market populated by a number of heterogeneous market makers that have limited inventory-carrying and risk-bearing capacity.
1 code implementation • 24 Jan 2018 • Elisa Alos, Rupak Chatterjee, Sebastian Tudor, Tai-Ho Wang
The same formula also suggests an approximation formula for the price of target volatility option in small time by the technique of freezing the coefficient.
Computational Finance Mathematical Finance
