no code implementations • 13 Jul 2023 • David Evangelista, Yuri Thamsten
In a fixed time horizon, appropriately executing a large amount of a particular asset -- meaning a considerable portion of the volume traded within this frame -- is challenging.
no code implementations • 5 Apr 2023 • Sebastian Jaimungal, Yuri F. Saporito, Max O. Souza, Yuri Thamsten
This article explores the optimisation of trading strategies in Constant Function Market Makers (CFMMs) and centralised exchanges.
no code implementations • 23 Feb 2022 • David Evangelista, Yuri Saporito, Yuri Thamsten
We propose two novel frameworks to study the price formation of an asset negotiated in an order book.
no code implementations • 7 Jan 2021 • Max O. Souza, Yuri Thamsten
Then, we analyze the constrained problem, in which admissible strategies must guarantee complete execution to the trader.
no code implementations • 2 Apr 2020 • David Evangelista, Yuri Thamsten
We investigate stochastic differential games of optimal trading comprising a finite population.
