We show how to optimally take positions in the limit order book by placing limit orders at-the-touch when the midprice of the asset is affected by the trading activity of the market. The midprice dynamics have a short-term-alpha component which reflects how instantaneous net order-flow, the...

We introduce a new comprehensive and model-free measure for the unhedgeable and predictable loss (PL) incurred by liquidity providers in constant function markets (CFMs) and in concentrated liquidity markets. PL compares the value of the LP's holdings in the CFM liquidity pool (assuming no fee...

We consider an optimal execution problem where an agent holds a position in an asset which must be liquidated (using limit orders) before a terminal horizon. Beginning with a standard model for the trading dynamics, we analyse how the acknowledgement of model misspecification affects the agent's...

Providing liquidity in over-the-counter markets is a challenging under-taking, in large part because a market maker does not observe where their competitors quote, nor do they typically know how many rivals they compete with or what the trader's overall liquidity demand is. Optimal pricing...

Latency (i.e., time delay) in electronic markets affects the efficacy of liquidity taking strategies. During the time liquidity takers process information and send marketable limit orders (MLOs) to the exchange, the limit order book (LOB) might undergo updates, so there is no guarantee that MLOs...