A funding-aware HJB model for perpetual DEX market making improves simulated ETH/BTC performance and reduces inventory risk versus classical Avellaneda-Stoikov.
Decentralised finance and automated mar- ket making: Predictable loss and optimal liquidity provision
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Funding-Aware Optimal Market Making for Perpetual DEXs
A funding-aware HJB model for perpetual DEX market making improves simulated ETH/BTC performance and reduces inventory risk versus classical Avellaneda-Stoikov.