Related papers: G3M Impermanent Loss Dynamics
Automated market makers (AMMs) are a new type of trading venues which are revolutionising the way market participants interact. At present, the majority of AMMs are constant function market makers (CFMMs) where a deterministic trading…
In this paper, we introduce a novel pricing model for Uniswap V3, built upon stochastic processes and the Martingale Stopping Theorem. This model innovatively frames the valuation of positions within Uniswap V3. We further conduct a…
Consensus networks are usually understood as arithmetic mean driven dynamical averaging systems. In applications, however, network dynamics often describe inherently non-arithmetic and non-linear consensus processes. In this paper, we…
This paper introduces a unified micro-level stochastic framework for the joint modeling of loss reserves (RBNS), incurred but not reported (IBNR) reserves, and unearned premium risk under dependence, inflation, and discounting. The proposed…
The application of the standard static Geometric Brownian Motion (GBM) model for cryptocurrency risk management resulted in a systemic failure, evidenced by a 80.67% chance of loss in the 5% value-at-risk benchmark. This study addresses a…
This paper develops a rigorous mathematical framework for analyzing Concentrated Liquidity Market Makers (CLMMs) in Decentralized Finance (DeFi) within a continuous-time setting. We model the evolution of liquidity profiles as…
Automated Market Makers (AMMs) are used to provide liquidity for combinatorial prediction markets that would otherwise be too thinly traded. They offer both buy and sell prices for any of the doubly exponential many possible securities that…
We establish a collection of closed-loop guarantees and propose a scalable optimization algorithm for distributionally robust model predictive control (DRMPC) applied to linear systems, convex constraints, and quadratic costs. Via standard…
Automated marker makers (AMMs) are a class of decentralized exchanges that enable the automated trading of digital assets. They accept deposits of digital tokens from liquidity providers (LPs); tokens can be used by traders to execute…
In decentralized finance, any individual can pool their assets into an automated market maker (AMM) -- herein we focus on the constant product market maker (CPMM) -- in exchange for a claim on a fraction of future pool assets and fees…
Making consistently profitable financial decisions in a continuously evolving and volatile stock market has always been a difficult task. Professionals from different disciplines have developed foundational theories to anticipate price…
In the ever evolving landscape of decentralized finance automated market makers (AMMs) play a key role: they provide a market place for trading assets in a decentralized manner. For so-called bluechip pairs, arbitrage activity provides a…
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…
In this paper, new results in random matrix theory are derived which allow us to construct a shrinkage estimator of the global minimum variance (GMV) portfolio when the shrinkage target is a random object. More specifically, the shrinkage…
Industrial automation is one of the key application scenarios of the fifth (5G) wireless communication network. The high requirements of industrial communication systems for latency and reliability lead to the need for industrial channel…
A common architectural choice for deep metric learning is a convolutional neural network followed by global average pooling (GAP). Albeit simple, GAP is a highly effective way to aggregate information. One possible explanation for the…
Designing automated market makers (AMMs) for prediction markets on combinatorial securities over large outcome spaces poses significant computational challenges. Prior research has primarily focused on combinatorial prediction markets…
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…
We propose a simple non-equilibrium model of a financial market as an open system with a possible exchange of money with an outside world and market frictions (trade impacts) incorporated into asset price dynamics via a feedback mechanism.…
This paper extends the theoretical framework introduced in Liquidity Pools as Mean Field Games: A New Framework, where the interactions among traders in a constant product market-making protocol were modeled using mean field games (MFG). In…