Combinatorial Information Market Design
Information Systems Frontiers
Convex Optimization
A primal-dual perspective of online learning algorithms
Machine Learning
Complexity of combinatorial market makers
Proceedings of the 9th ACM conference on Electronic commerce
Information aggregation in dynamic markets with strategic traders
Proceedings of the 10th ACM conference on Electronic commerce
A unified framework for dynamic pari-mutuel information market design
Proceedings of the 10th ACM conference on Electronic commerce
Yoopick: a combinatorial sports prediction market
AAAI'08 Proceedings of the 23rd national conference on Artificial intelligence - Volume 3
Pari-mutuel markets: mechanisms and performance
WINE'07 Proceedings of the 3rd international conference on Internet and network economics
A new understanding of prediction markets via no-regret learning
Proceedings of the 11th ACM conference on Electronic commerce
Automated market-making in the large: the gates hillman prediction market
Proceedings of the 11th ACM conference on Electronic commerce
A practical liquidity-sensitive automated market maker
Proceedings of the 11th ACM conference on Electronic commerce
When do markets with simple agents fail?
Proceedings of the 9th International Conference on Autonomous Agents and Multiagent Systems: volume 1 - Volume 1
An optimization-based framework for automated market-making
Proceedings of the 12th ACM conference on Electronic commerce
Proceedings of the 13th ACM Conference on Electronic Commerce
Efficient Market Making via Convex Optimization, and a Connection to Online Learning
ACM Transactions on Economics and Computation - Special Issue on Algorithmic Game Theory
An axiomatic characterization of adaptive-liquidity market makers
Proceedings of the fourteenth ACM conference on Electronic commerce
Cost function market makers for measurable spaces
Proceedings of the fourteenth ACM conference on Electronic commerce
A Practical Liquidity-Sensitive Automated Market Maker
ACM Transactions on Economics and Computation
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Automated market makers are algorithmic agents that provide liquidity in electronic markets. A recent stream of research in automated market making is the design of liquidity-sensitive automated market makers, which are able to adjust their price response to the level of active interest in the market. In this paper, we introduce homogeneous risk measures, the general class of liquidity-sensitive automated market makers, and show that members of this class are (necessarily and sufficiently) the convex conjugates of compact convex sets in the non-negative orthant. We discuss the relation between features of this convex conjugate set and features of the corresponding automated market maker in detail, and prove that it is the curvature of the convex conjugate set that is responsible for implicitly regularizing the price response of the market maker. We use our insights into the dual space to develop a new family of liquidity-sensitive automated market makers with desirable properties.