2024/10/17 by Vasily Tolstikov, Tolstikov, Vasily · 1 citation
Physics and Astronomy · #Astronomy and Astrophysical Research #FOS: Economics and business #Trading and Market Microstructure (q-fin.TR)
paper · pdf · doi:10.48550/arxiv.2410.13265
openalex publication_date 2024/10/17 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
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.