
Adversarial Risk Analysis for FirstPrice SealedBid Auctions
Adversarial Risk Analysis (ARA) is an upcoming methodology that is consi...
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Price Setting on a Network
Most products are produced and sold by supply chain networks, where an i...
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Robust Clearing Price Mechanisms for Reserve Price Optimization
Setting an effective reserve price for strategic bidders in repeated auc...
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Optimization Beyond Prediction: Prescriptive Price Optimization
This paper addresses a novel data science problem, prescriptive price op...
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The Markovian Price of Information
Suppose there are n Markov chains and we need to pay a perstep price to...
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Optimal pricing for electricity retailers based on datadriven consumers' priceresponse
In the present work we tackle the problem of finding the optimal price t...
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On Liquidity Mining for Uniswap v3
The recently proposed Uniswap v3 replaces the fungible liquidity provide...
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Strategic Liquidity Provision in Uniswap v3
Uniswap is the largest decentralized exchange for digital currencies. The newest version, called Uniswap v3, allows liquidity providers to allocate liquidity to one or more closed intervals of the price of an asset, instead of over the total range of prices. While the price of the asset remains in that interval, the liquidity provider earns rewards proportionally to the amount of liquidity allocated. This induces the problem of strategic liquidity provision: smaller intervals result in higher concentration of liquidity and correspondingly larger rewards when the price remains in the interval, but with higher risk. We formalize this problem and study three classes of strategies for liquidity providers: uniform, proportional, and optimal (via a constrained optimization problem). We present experimental results based on the historical price data of Ethereum, which show that simple liquidity provision strategies can yield nearoptimal utility and earn over 200x more than Uniswap v2 liquidity provision.
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