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This paper introduces and analyzes \emph{defensive rebalancing}, a novel mechanism for protecting constant-function market makers (CFMMs) from value leakage due to arbitrage. A \emph{rebalancing} transfers assets directly from one CFMM's…
This document analyzes price discovery in cryptocurrency markets by comparing centralized and decentralized exchanges, as well as spot and futures markets. The study focuses first on Ethereum (ETH) and then applies a similar approach to…
The evolution of cryptocurrency and decentralized finance (DeFi) marks a significant shift in the financial landscape, making it more accessible, inclusive, and participative for various societal groups. However, this transition from…
Automated Market Makers (AMMs) are decentralized exchange protocols that provide continuous access to token liquidity without the need for order books or traditional market makers. However, this innovation has failed to scale when it comes…
Trade execution on Decentralized Exchanges (DEXes) is automatic and does not require individual buy and sell orders to be matched. Instead, liquidity aggregated in pools from individual liquidity providers enables trading between…
AMMs are autonomous smart contracts deployed on a blockchain that make markets between different assets that live on that chain. In this paper we are examining a specific class of AMMs called Constant Function Market Makers whose trading…
Constant function market makers (CFMMs) such as Uniswap, Balancer, Curve, and mStable, among many others, make up some of the largest decentralized exchanges on Ethereum and other blockchains. Because all transactions are public in current…
This study presents a comprehensive empirical comparison between quantum machine learning (QML) and classical machine learning (CML) approaches in Automated Market Makers (AMM) and Decentralized Finance (DeFi) trading strategies through…
Automated Market Makers (AMMs) hold assets and are constantly being rebalanced by external arbitrageurs to match external market prices. Loss-versus-rebalancing (LVR) is a pivotal metric for measuring how an AMM pool performs for its…
Liquidity providers are essential for the function of decentralized exchanges to ensure liquidity takers can be guaranteed a counterparty for their trades. However, liquidity providers investing in liquidity pools face many risks, the most…
Financial options are fundamental to traditional markets, enabling strategies ranging from hedging to speculating. Yet, while the Automated Market Maker paradigm has revolutionized decentralized spot markets, no equivalent standard has…
In peer-to-peer (P2P) energy trading, a secured infrastructure is required to manage trade and record monetary transactions. A central server/authority can be used for this. But there is a risk of central authority influencing the energy…
We consider a liquidity provider's (LP's) exposure to stablecoin and liquid staking derivative (LSD) depegs on Curve's StableSwap pools. We construct a suite of metrics designed to detect potential asset depegs based on price and trading…
Uniswap v3 is the largest decentralized exchange for digital currencies. A novelty of its design is that it allows a liquidity provider (LP) to allocate liquidity to one or more closed intervals of the price of an asset instead of the full…
Assuming that the price in a Uniswap v3 style Automated Market Maker (AMM) follows a Geometric Brownian Motion (GBM), we prove that the strategy that adjusts the position of liquidity to track the current price leads to a deterministic and…
An important issue in today's electricity markets is the management of flexibilities offered by new practices, such as smart home appliances or electric vehicles. By inducing changes in the behavior of residential electric utilities, demand…
In decentralized finance (DeFi), designing fixed-income lending automated market makers (AMMs) is extremely challenging due to time-related complexities. Moreover, existing protocols only support single-maturity lending. Building upon the…
Synthetic assets are decentralized finance (DeFi) analogues of derivatives in the traditional finance (TradFi) world - financial arrangements which derive value from and are directly pegged to fluctuations in the value of an underlying…
We study decentralized markets for goods whose utility perishes in time, with compute as a primary motivation. Recent advances in reproducible and verifiable execution allow jobs to pause, verify, and resume across heterogeneous hardware,…
Geometric mean market makers (G3Ms), such as Uniswap and Balancer, comprise a popular class of automated market makers (AMMs) defined by the following rule: the reserves of the AMM before and after each trade must have the same (weighted)…