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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/or positively priced assets between one another, which unlike traditional markets requires a numeraire in the form of a currency. The payoff, invariant, and liquidity distribution is compared to a replicating market maker. Model extensions to skew and widen liquidity with a superellipse are shown. The ability to access negative liquidity, which is present on constant product market makers, is shown as well.

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  • Vasily Tolstikov, 2024. "Concentrated Superelliptical Market Maker," Papers 2410.13265, arXiv.org.
    • Handle: RePEc:arx:papers:2410.13265
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