2 Search Results for "Lee, Robin S."


Document
Batching Trades on Automated Market Makers

Authors: Andrea Canidio and Robin Fritsch

Published in: LIPIcs, Volume 282, 5th Conference on Advances in Financial Technologies (AFT 2023)


Abstract
We consider an automated market maker (AMM) in which all trades are batched and executed at a price equal to the marginal price (i.e., the price of an arbitrarily small trade) after the batch trades. We show that such an AMM is a function maximizing AMM (or FM-AMM): for given prices, it trades to reach the highest possible value of a given function. Competition between arbitrageurs guarantees that an FM-AMM always trades at a fair, equilibrium price, and arbitrage profits (also known as LVR) are eliminated. Sandwich attacks are also eliminated because all trades occur at the exogenously-determined equilibrium price. Finally, we show that our results are robust to the case where the batch has exclusive access to the FM-AMM, but can also trade on a traditional constant function AMM.

Cite as

Andrea Canidio and Robin Fritsch. Batching Trades on Automated Market Makers. In 5th Conference on Advances in Financial Technologies (AFT 2023). Leibniz International Proceedings in Informatics (LIPIcs), Volume 282, pp. 24:1-24:17, Schloss Dagstuhl – Leibniz-Zentrum für Informatik (2023)


Copy BibTex To Clipboard

@InProceedings{canidio_et_al:LIPIcs.AFT.2023.24,
  author =	{Canidio, Andrea and Fritsch, Robin},
  title =	{{Batching Trades on Automated Market Makers}},
  booktitle =	{5th Conference on Advances in Financial Technologies (AFT 2023)},
  pages =	{24:1--24:17},
  series =	{Leibniz International Proceedings in Informatics (LIPIcs)},
  ISBN =	{978-3-95977-303-4},
  ISSN =	{1868-8969},
  year =	{2023},
  volume =	{282},
  editor =	{Bonneau, Joseph and Weinberg, S. Matthew},
  publisher =	{Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik},
  address =	{Dagstuhl, Germany},
  URL =		{https://drops-dev.dagstuhl.de/entities/document/10.4230/LIPIcs.AFT.2023.24},
  URN =		{urn:nbn:de:0030-drops-192139},
  doi =		{10.4230/LIPIcs.AFT.2023.24},
  annote =	{Keywords: Arbitrage profits, Loss-vs-Rebalancing (LVR), MEV, Sandwich attacks, AMM, Mechanism design, Batch trading}
}
Document
Signalling Preferences in Interviewing Markets

Authors: Robin S. Lee and Michael A. Schwarz

Published in: Dagstuhl Seminar Proceedings, Volume 7271, Computational Social Systems and the Internet (2007)


Abstract
The process of match formation in matching markets can be divided into three parts: information sharing, investments in information acquisition, and the formation of matches based on available information. The last stage where agents are assumed to know their preferences has been studied in seminal work of Gale and Shapley (1962), and a model of second stage costly information acquisition is introduced and studied in Lee and Schwarz (2007). This paper focuses on the first stage – information sharing – and examines mechanisms which allow workers to signal their preferences over matching partners prior to the assignment of interviews. The incentives of firms and workers vis-a-vis information revelation are partially aligned – all other things being equal, a worker prefers to have an interview with a firm that is high in his preference ranking and a firm prefers to invest in interviewing a worker who ranks a firm highly because such worker is more likely to accept a job if offered. However, the incentives are far from being perfectly aligned. For instance, if firms pay the full cost of interviewing, each worker would prefer to have as many interviews as possible, and in a world with bilateral communication no information is revealed as each workers would want to tell each firm that it is his first choice. But if communication is moderated through an intermediary or there is a restriction on the number of messages a worker can send, then cheap talk becomes informative. Currently existing market institutions that facilitate information exchange prior to interviewing are discussed.

Cite as

Robin S. Lee and Michael A. Schwarz. Signalling Preferences in Interviewing Markets. In Computational Social Systems and the Internet. Dagstuhl Seminar Proceedings, Volume 7271, pp. 1-12, Schloss Dagstuhl – Leibniz-Zentrum für Informatik (2007)


Copy BibTex To Clipboard

@InProceedings{lee_et_al:DagSemProc.07271.13,
  author =	{Lee, Robin S. and Schwarz, Michael A.},
  title =	{{Signalling Preferences in Interviewing Markets}},
  booktitle =	{Computational Social Systems and the Internet},
  pages =	{1--12},
  series =	{Dagstuhl Seminar Proceedings (DagSemProc)},
  ISSN =	{1862-4405},
  year =	{2007},
  volume =	{7271},
  editor =	{Peter Cramton and Rudolf M\"{u}ller and Eva Tardos and Moshe Tennenholtz},
  publisher =	{Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik},
  address =	{Dagstuhl, Germany},
  URL =		{https://drops-dev.dagstuhl.de/entities/document/10.4230/DagSemProc.07271.13},
  URN =		{urn:nbn:de:0030-drops-11635},
  doi =		{10.4230/DagSemProc.07271.13},
  annote =	{Keywords: Cheap talk, job search, labor market, matching,}
}
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