Automated Market Makers (AMMs) are the main liquidity providers in the Decentralised Finance (DeFi) space. They are programmes that follow some coded rules to determine and adjust prices and volumes. Amongst those rules, the most common one is the constant-product formula, which is followed by...

We consider a stochastic game between three types of players: an inside trader, noise traders and a market maker. In a similar fashion to Kyle's model, we assume that the insider first chooses the size of her market-order and then the market maker determines the price by observing the total...

We propose a decomposition of algorithm's a priori performance, from which we sep- arate contributions came from different factors. We show that, in combining estimations on volume and price and always taking into account the price-impact effect, one is able to optimize the execution in a...

In this paper we propose a method to breakdown any price change at any scale time into a book-driven component and a deal driven component.Following recent empirical researches on orderbook dynamics, we build an estimate of the most probable next traded price (i.e. "expected price''...