Related papers: Strategic Liquidity Provision in Uniswap v3
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…
This paper applies deep reinforcement learning (DRL) to optimize liquidity provisioning in Uniswap v3, a decentralized finance (DeFi) protocol implementing an automated market maker (AMM) model with concentrated liquidity. We model the…
Automated market makers are a popular mechanism used on decentralized exchange, through which users trade assets with each other directly and automatically through a liquidity pool and a fixed pricing function. The liquidity provider…
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…
The Uniswap is a Decentralized Exchange (DEX) protocol that facilitates automatic token exchange without the need for traditional order books. Every pair of tokens forms a liquidity pool on Uniswap, and each token can be paired with any…
Financial markets have evolved over centuries, and exchanges have converged to rely on the order book mechanism for market making. Latency on the blockchain, however, has prevented decentralized exchanges (DEXes) from utilizing the order…
Concentrated Liquidity Market Makers (CLMMs) represent a fundamental innovation in market microstructure, transforming liquidity provision from passive portfolio allocation to active risk management. This evolution creates significant…
We develop static and dynamic approaches for hedging of the impermanent loss (IL) of liquidity provision (LP) staked at Decentralised Exchanges (DEXes) which employ Uniswap V2 and V3 protocols. We provide detailed definitions and formulas…
We study Just-in-time (JIT) liquidity provision in blockchain-based decentralized exchanges. A JIT liquidity provider (LP) monitors pending swap orders in public mempools of blockchains to sandwich orders of their choice with liquidity,…
Liquidity providers (LPs) on decentralized exchanges (DEXs) can protect themselves from adverse selection risk by updating their positions more frequently. However, repositioning is costly, because LPs have to pay gas fees for each update.…
We examine how the introduction of concentrated liquidity has changed the liquidity provision market in automated market makers such as Uniswap. To this end, we compare average liquidity provider returns from trading fees before and after…
In this paper, we study an investor's optimal entry and exit decisions in a liquid staking protocol (LSP) and an automated market maker (AMM), primarily from the standpoint of the investor. Our analysis focuses on two key investor actions:…
Passive liquidity providers (LPs) in automated market makers (AMMs) face losses due to adverse selection (LVR), which static trading fees often fail to offset in practice. We study the key determinants of LP profitability in a dynamic…
Automated market makers with concentrated liquidity capabilities are programmable at the tick level. The maximization of earned fees, plus depreciated reserves, is a convex optimization problem whose vector solution gives the best provision…
Decentralized exchanges (DEXs) are crucial to decentralized finance (DeFi) as they enable trading without intermediaries. However, they face challenges like impermanent loss (IL), where liquidity providers (LPs) see their assets' value…
Decentralized exchanges, such as those employing constant product market makers (CPMMs) like Uniswap V2, play a crucial role in the blockchain ecosystem by enabling peer-to-peer token swaps without intermediaries. Despite the increasing…
The emergence of Distributed Energy Resources (DERs) provides both challenges and opportunities for the planning and operations of distribution systems. These resources can be deployed in a manner that is either complementary to or in…
In Decentralized Finance (DeFi), automated market makers typically implement liquidity provisioning protocols. These protocols allow third-party liquidity providers (LPs) to provide assets to facilitate trade in exchange for fees. This…
As decentralized finance (DeFi) evolves, distinguishing between user behaviors - liquidity provision versus active trading - has become vital for risk modeling and on-chain reputation. We propose a behavioral scoring framework for Uniswap…
We introduce a strategic decision-making problem faced by logistics providers (LPs) seeking facility location decisions that lead to profitable operations. The profitability depends on the revenue generated through agreements with shippers,…