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Constant function market makers(CFMMS) are a popular market design for decentralized exchanges(DEX). Liquidity providers(LPs) supply the CFMMs with assets to enable trades. In exchange for providing this liquidity, an LP receives a token…
We study liquidity on decentralized exchanges (DEXs), identifying factors at the platform, blockchain, token pair, and liquidity pool levels with predictive power for market depth metrics. We introduce the v2 counterfactual spread metric, a…
We find the equilibrium contract that an automated market maker (AMM) offers to their strategic liquidity providers (LPs) in order to maximize the order flow that gets processed by the venue. Our model is formulated as a leader-follower…
This thesis presents a fundamental rethink of electricity market design at the wholesale and balancing layers. Rather than treating markets as static spot clearing mechanisms, it reframes them as a continuously online, event driven…
Everlasting options, a relatively new class of perpetual financial derivatives, have emerged to tackle the challenges of rolling contracts and liquidity fragmentation in decentralized finance markets. This paper offers an in-depth analysis…
The standard approach for compensating liquidity providers on many decentralized exchanges (DEX) for serving as counter-party to swaps is through charging a small percentage of fees. The expected payoff from the cash flow of this mode of…
Networked computing power is a critical utility in the era of artificial intelligence. This paper presents a novel Physical Infrastructure Finance (PinFi) protocol designed to facilitate the distribution of computing power within networks…
Financial regulators have long-standing concerns about fully decentralized exchanges that run 'on-chain' without any obvious regulatory hooks. The popularity of Uniswap, an automated market makers (AMM), made these concerns a reality. AMMs…
Price stability has often been cited as a key reason that cryptocurrencies have not gained widespread adoption as a medium of exchange and continue to prove incapable of powering the economy of decentralized applications (DApps)…
Decentralized finance (DeFi) lacks centralized oversight, often resulting in heightened volatility. In contrast, centralized finance (CeFi) offers a more stable environment with institutional safeguards. Institutional backing can play a…
We present a family of multi-asset automated market makers whose liquidity curves are derived from the financial principles of self financing transactions and rebalancing. The constant product market maker emerges as a special case.
Stablecoins are a class of cryptocurrencies which aim at providing consistency and predictability, typically by pegging the token's value to that of a real world asset. Designing resilient decentralized stablecoins is a challenge, and…
Effective risk management solutions become absolutely crucial when financial markets embrace distributed technology and decentralized financing (DeFi). This study offers a thorough survey and comparative analysis of the integration of…
Decentralized perpetuals protocols have collectively reached billions of dollars of daily trading volume, yet are still not serious competitors on the basis of trading volume with centralized venues such as Binance. One of the main reasons…
This article analytically characterizes the impermanent loss of concentrated liquidity provision for automatic market makers in decentralised markets such as Uniswap. We propose two static replication formulas for the impermanent loss by a…
Alternating Direction Method of Multipliers (ADMM) algorithm has been widely adopted for solving the distributed optimization problem (DOP). In this paper, a new distributed parallel ADMM algorithm is proposed, which allows the agents to…
We present a mathematical formulation of liquidity provision in decentralized exchanges. We focus on constant function market makers of utility indifference type, which include constant product market makers with concentrated liquidity as a…
Decentralized cryptocurrency exchanges offer compelling security benefits over centralized exchanges: users control their funds and avoid the risk of an exchange hack or malicious operator. However, because user assets are fully accessible…
Time-bound stablecoins are DeFi assets that temporarily tokenize traditional securities during market off-hours, enabling continuous cross-market liquidity. We introduce the Liquidity-of-Time Premium (TLP): the extra return or cost of…
Financial markets are undergoing an unprecedented transformation. Technological advances have brought major improvements to the operations of financial services. While these advances promote improved accessibility and convenience,…