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Concentrated Superelliptical Market Maker

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  • Vasily Tolstikov

Abstract

An automated market maker where the price can cross the zero bound into the negative price domain with applications in electricity, energy, and derivatives markets is presented. A unique feature involves the ability to swap both negatively and positively priced assets between one another, which unlike traditional markets requires a numeraire in the form of a currency. Model extensions to skew and concentrate liquidity are shown. The liquidity fingerprint, payoff, and invariant are compared to the Black-Scholes covered call and the Logarithmic Market Scoring Rule invariants.

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  • Vasily Tolstikov, 2024. "Concentrated Superelliptical Market Maker," Papers 2410.13265, arXiv.org, revised Nov 2024.
    • Handle: RePEc:arx:papers:2410.13265
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    1. Xavier Gabaix & Parameswaran Gopikrishnan & Vasiliki Plerou & H. Eugene Stanley, 2003. "A theory of power-law distributions in financial market fluctuations," Nature, Nature, vol. 423(6937), pages 267-270, May.
    2. Bruno Mazorra & Victor Adan & Vanesa Daza, 2022. "Do not rug on me: Zero-dimensional Scam Detection," Papers 2201.07220, arXiv.org.
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