A convex optimization based automated market maker for complex securities
Luís Fernando Schultz Xavier da Silveira
Carleton University

In the past decade, we have seen a growing interest in the design of automated market makers for prediction markets, which are markets designed to aggregate and summarize the collective wisdom of its traders.

In this talk, based on the work of Abernethy et al., we show an automated market maker capable of handling combinatorially challenging or even infinite outcome spaces through complex securities. The prices of the securities are computed using convex optimization.