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We investigate how liquidity providers (LPs) choose between high- and low-fee trading venues, in the face of a fixed common gas cost. Analyzing Uniswap data, we find that high-fee pools attract 58% of liquidity supply yet execute only 21% of volume. Large LPs dominate low-fee pools, frequently adjusting out-of-range positions in response to informed order flow. In contrast, small LPs converge to high-fee pools, accep…
In this article we revisit the classic problem of tatonnement in price formation from a microstructure point of view, reviewing a recent body of theoretical and empirical work explaining how fluctuations in supply and demand are slowly incorporated into prices. Because revealed market liquidity is extremely low, large orders to buy or sell can only be traded incrementally, over periods of time as long as months. As a…
The disbalance of Supply and Demand is typically considered as the driving force of the markets. However, the measurement or estimation of Supply and Demand at price different from the execution price is not possible even after the transaction. An approach in which Supply and Demand are always matched, but the rate $I=dv/dt$ (number of units traded per unit time) of their matching varies, is proposed. The state of th…
When redeeming open-end funds sell and natural buyers do not step in at once, some limited-capital investor must take the other side and carry the inventory until prices recover. This paper asks what return that investor requires. A continuous-time market-clearing model delivers an expected-return restriction in which the price of residual supply depends on inventory risk, trading costs, funding frictions, and the sc…
Invoice or payment dilution is the gap between the approved invoice amount and the actual collection is a significant source of non credit risk and margin loss in supply chain finance. Traditionally, this risk is managed through the buyer's irrevocable payment undertaking (IPU), which commits to full payment without deductions. However, IPUs can hinder supply chain finance adoption, particularly among sub-invested gr…
The decision to annuitize wealth in retirement planning has become increasingly complex due to rising longevity risk and changing retirement patterns, including increased labor force participation at older ages. While an extensive literature studies consumption, labor, and annuitization decisions, these elements are typically examined in isolation. This paper develops a unified stochastic control and optimal stopping…
This paper analyses the risk factors around investing in global supply chain infrastructure: the energy market, investor sentiment, and global shipping costs. It presents portfolio strategies associated with dynamic risks. A time-varying parameter vector autoregression (TVP-VAR) model is used to study the spillover and interconnectedness of the risk factors for global supply chain infrastructure portfolios from Janua…
The rapid expansion of cross-border e-commerce (CBEC) has created significant opportunities for small- and medium-sized sellers, yet financing remains a critical challenge due to their limited credit histories. Third-party logistics (3PL)-led supply chain finance (SCF) has emerged as a promising solution, leveraging in-transit inventory as collateral. We propose an advanced credit risk management framework tailored f…
Supply chains lend themselves to blockchain technology, but certain challenges remain, especially around invoice financing. For example, the further a supplier is removed from the final consumer product, the more difficult it is to get their invoices financed. Moreover, for competitive reasons, retailers and manufacturers do not want to disclose their supply chains. However, upstream suppliers need to prove that they…
Implementing a set of microeconomic criteria, we develop price dynamics equations using a function of demand/supply with key symmetry properties. The function of demand/supply can be linear or nonlinear. The type of function determines the nature of the tail of the distribution based on the randomness in the supply and demand. For example, if supply and demand are normally distributed, and the function is assumed to …
Gross Domestic Product(GDP) is a widely used measurement of economic growth representing the market value of all final goods and services produced by a country within a given time. In this paper we question the assumption that GDP measures production, and suggest that in reality it merely captures changes in the rate of expansion of the money supply used to measure the price data it is derived from. We first review t…
Prediction markets have gained adoption as on-chain mechanisms for aggregating information, with platforms such as Polymarket demonstrating demand for stablecoin-denominated markets. However, denominating in non-interest-bearing stablecoins introduces inefficiencies: participants face opportunity costs relative to the fiat risk-free rate, and Bitcoin holders in particular lose exposure to BTC appreciation when conver…
We study the economic viability of liquidity provision in decentralised exchanges (DEXs) within a structural framework in which market outcomes are endogenous. We formulate strategic interactions as a sequential game: a risk-averse liquidity provider (LP) sets the supply of liquidity in the DEX and a costly dynamic replication strategy in a centralised exchange (CEX), price-sensitive traders determine trading volumes…
Geometric mean market makers (G3Ms), such as Uniswap and Balancer, comprise a popular class of automated market makers (AMMs) defined by the following rule: the reserves of the AMM before and after each trade must have the same (weighted) geometric mean. This paper extends several results known for constant-weight G3Ms to the general case of G3Ms with time-varying and potentially stochastic weights. These results inc…
Asset liquidity in modern financial markets is a key but elusive concept. A market is often said to be liquid when the prevailing structure of transactions provides a prompt and secure link between the demand and supply of assets, thus delivering low costs of transaction. Providing a rigorous and empirically relevant definition of market liquidity has, however, provided to be a difficult task. This paper provides a c…
This paper compares mathematical models for automated market makers including logarithmic market scoring rule (LMSR), liquidity sensitive LMSR (LS-LMSR), constant product/mean/sum, and others. It is shown that though LMSR may not be a good model for Decentralized Finance (DeFi) applications, LS-LMSR has several advantages over constant product/mean based automated market makers. However, LS-LMSR requires complicated …
Building event-conditioned market models requires separating macro-event labels from persistent microstructure state. We study this distinction in Binance BTCUSDT and ETHUSDT futures from 2023-2026, combining top-20 L2 order book data, trade-flow records, and macro-event windows. We define a supervised discrete L2 liquidity-state transition task, distinct from latent-regime detection and price-direction prediction, a…
Automated market maker (AMM) fee rules are often evaluated by liquidity-provider (LP) welfare, but that objective mixes fee revenue, adverse-selection loss (loss-versus-rebalancing, LVR), routing response, and liquidity supply. Fixed-fee Uniswap v3 history cannot separate these channels or identify counterfactual trader-facing dynamic-fee rules. Real fee-related variation nonetheless exists: the Uniswap protocol-fee …
The Loan Officer Survey tracks bank lending standards and loan demand, providing insight into whether credit supply is tightening or easing in the real economy.
Money supply is the measured stock of money — M0/MB, M1, M2 — a quantity that depends on what you count as money.
The Triffin dilemma is the conflict of a reserve-currency issuer: the world needs the issuer to run liabilities (deficits) for reserve supply, but those deficits eventually undermine confidence in the reserve asset.
Consumer Confidence Index — Household expectations that influence spending, labor supply, and political pressure on policy.
Labor Force Participation — Supply-side labor availability affecting wage pressure and potential output estimates.
Mid-September 2019 US GC/SOFR printed in the double digits for a day as reserves met a tax date and bill supply — a plumbing scare that created the standing repo facility debate.
CLO Issuance — Structured credit supply that absorbs leveraged loans and shapes spread regimes.
Treasury auction bid-to-cover ratio measures the amount of demand relative to supply at an auction and is used to assess investor appetite for government debt.
QT pace refers to the speed at which the Federal Reserve allows assets to roll off its balance sheet, affecting reserves, duration supply, and market liquidity.
The Fed’s dual mandate is maximum employment and stable prices — two goals that agree in a demand shock and fight in a supply shock.
A limit order book is the visible (and sometimes hidden) queue of bids and offers at discrete prices that constitutes the tradable supply and demand of a continuous electronic market.
CLO Issuance — Structured credit supply that absorbs leveraged loans and shapes spread regimes.
Consumer Confidence Index — Household expectations that influence spending, labor supply, and political pressure on policy.
The Fed’s dual mandate is maximum employment and stable prices — two goals that agree in a demand shock and fight in a supply shock.
Labor Force Participation — Supply-side labor availability affecting wage pressure and potential output estimates.
A limit order book is the visible (and sometimes hidden) queue of bids and offers at discrete prices that constitutes the tradable supply and demand of a continuous electronic market.
The Loan Officer Survey tracks bank lending standards and loan demand, providing insight into whether credit supply is tightening or easing in the real economy.
Money supply is the measured stock of money — M0/MB, M1, M2 — a quantity that depends on what you count as money.
QT pace refers to the speed at which the Federal Reserve allows assets to roll off its balance sheet, affecting reserves, duration supply, and market liquidity.
Mid-September 2019 US GC/SOFR printed in the double digits for a day as reserves met a tax date and bill supply — a plumbing scare that created the standing repo facility debate.
Treasury auction bid-to-cover ratio measures the amount of demand relative to supply at an auction and is used to assess investor appetite for government debt.
The Triffin dilemma is the conflict of a reserve-currency issuer: the world needs the issuer to run liabilities (deficits) for reserve supply, but those deficits eventually undermine confidence in the reserve asset.