We propose two novel frameworks to study the price formation of an asset negotiated in an order book. Specifically, we develop a many-person and a mean-field game-theoretic models, considering costs stemming from limited liquidity. We derive analytical formulas for the formed price in terms of...

This article explores the optimisation of trading strategies in Constant Function Market Makers (CFMMs) and centralised exchanges. We develop a model that accounts for the interaction between these two markets, estimating the conditional dependence between variables using the concept of...