Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: A Utility Framework for Bounded-Loss Market Makers   We introduce a class of utility-based market makers that always accept orders
at their risk-neutral prices. We derive necessary and sufficient conditions for
such market makers to have bounded loss. We prove that hyperbolic absolute risk
aversion utility market makers are equivalent to weighted pseudospherical
scoring rule market makers. In particular, Hanson's logarithmic scoring rule
market maker corresponds to a negative exponential utility market maker in our
framework. We describe a third equivalent formulation based on maintaining a
cost function that seems most natural for implementation purposes, and we
illustrate how to translate among the three equivalent formulations. We examine
the tradeoff between the market's liquidity and the market maker's worst-case
loss. For a fixed bound on worst-case loss, some market makers exhibit greater
liquidity near uniform prices and some exhibit greater liquidity near extreme
prices, but no market maker can exhibit uniformly greater liquidity in all
regimes. For a fixed minimum liquidity level, we give the lower bound of market
maker's worst-case loss under some regularity conditions.

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The categories of this paper are: supr-con
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The categories of this paper are: hep-ex
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The categories of this paper are: mtrl-th
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The categories of this paper are: atom-ph
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The categories of this paper are: q-alg
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The categories of this paper are: nlin
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The categories of this paper are: alg-geom
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The categories of this paper are: eess
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The categories of this paper are: funct-an
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The categories of this paper are: acc-phys
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The categories of this paper are: bayes-an
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The categories of this paper are: dg-ga
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The categories of this paper are: comp-gas
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The categories of this paper are: adap-org
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The categories of this paper are: astro-ph
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The categories of this paper are: chem-ph