An efficient algorithm for optimal routing through constant function market makers

DOI10.1007/978-3-031-47751-5_8MaRDI QIDQ6573995zbMATH OpenFDO

Authors Theo Diamandis, Max Resnick, Tarun Chitra, Guillermo Angeris

Publication date 17 July 2024

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91G99)

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Cites work

• scientific article; zbMATH DE number 2107836 (Why is no real title available?)
• A Limited Memory Algorithm for Bound Constrained Optimization
• Algorithm 778: L-BFGS-B
• Conic optimization via operator splitting and homogeneous self-dual embedding
• Decomposition Principle for Linear Programs
• Global order routing on exchange networks
• JuMP: a modeling language for mathematical optimization
• Julia: a fresh approach to numerical computing
• MathOptInterface: A Data Structure for Mathematical Optimization Problems
• Nonlinear programming
• Remark on ``Algorithm 778: L-BFGS-B: Fortran subroutines for large-scale bound constrained optimization
• Solving Natural Conic Formulations with Hypatia.jl

Cited in

(2)

• Complexity-approximation trade-offs in exchange mechanisms: AMMs vs. LOBs
• Wombat—An Efficient Stableswap Algorithm

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