Combinatorial Information Market Design
Information Systems Frontiers
Convex Optimization
The Black Swan: The Impact of the Highly Improbable
The Black Swan: The Impact of the Highly Improbable
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
Liquidity-sensitive automated market makers via homogeneous risk measures
WINE'11 Proceedings of the 7th international conference on Internet and Network Economics
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
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Four desiderata for automated market makers have appeared in the literature: (1) bounded loss, (2) the ability to make a profit, (3) a vanishing bid/ask spread, and (4) unlimited market depth. Intriguingly, market makers that satisfy any three of these desiderata have appeared in the literature. However, it was an open question as to whether a market maker can simultaneously satisfy all four because the qualities are oppositional. In this paper, we design market makers that satisfy all four. We achieve this by introducing a new, practical framework. It extends constant-utility cost functions with two separate functions that are added to the prices quoted to the trader. The liquidity function uses its proceeds to increase the amount of liquidity provided by the market maker. The profit function represents a "lockbox" of savings that is separate from the rest of the market maker's decision-making process.