Related papers: Dynamic Fee for Reducing Impermanent Loss in Decen…
This whitepaper introduces an innovative mechanism for pricing perpetual contracts and quoting fees to traders based on current market conditions. The approach employs liquidity curves and on-chain oracles to establish a new adaptive…
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 develop a general and practical framework to address the problem of the optimal design of dynamic fee mechanisms for multiple blockchain resources. Our framework allows to compute policies that optimally trade-off between adjusting…
Decentralized exchanges (DEXs) provide a means for users to trade pairs of assets on-chain without the need for a trusted third party to effectuate a trade. Amongst these, constant function market maker DEXs such as Uniswap handle the most…
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…
In recent years, the Decentralized Finance (DeFi) market has witnessed numerous attacks on the price oracle, leading to substantial economic losses. Despite the advent of truth discovery methods opening up new avenues for oracle…
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…
Decentralized Finance (DeFi), propelled by Blockchain technology, has revolutionized traditional financial systems, improving transparency, reducing costs, and fostering financial inclusion. However, transaction activities in these systems…
Decentralized exchanges (DEXs) form a cornerstone of the decentralized finance (DeFi) ecosystem, processing token trades worth billions of dollars daily. Yet, a significant fraction of these trades are suboptimal: alternative routing paths…
Automated market makers (AMMs) are a new prototype of decentralised exchanges which are revolutionising market interactions. The majority of AMMs are constant product markets (CPMs) where exchange rates are set by a trading function. This…
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…
Automated Market Makers (AMMs) are major centers of matching liquidity supply and demand in Decentralized Finance. Their functioning relies primarily on the presence of liquidity providers (LPs) incentivized to invest their assets into a…
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…
Decentralized Finance (DeFi) applications introduce novel financial instruments replicating and extending traditional ones through blockchain-based smart contracts. Among these applications, DeFi derivatives protocols enable the creation…
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…
Participation in permissionless blockchains results in competition over system resources, which needs to be controlled with fees. Ethereum's current fee mechanism is implemented via a first-price auction that results in unpredictable fees…
Constant product markets with concentrated liquidity (CL) are the most popular type of automated market makers. In this paper, we characterise the continuous-time wealth dynamics of strategic LPs who dynamically adjust their range of…
An automated market maker (AMM) is a state machine that manages pools of assets, allowing parties to buy and sell those assets according to a fixed mathematical formula. AMMs are typically implemented as smart contracts on blockchains, and…
In recent years, prominent blockchain systems such as Bitcoin and Ethereum have experienced explosive growth in transaction volume, leading to frequent surges in demand for limited block space and causing transaction fees to fluctuate by…
Decentralized Finance (DeFi) money markets have seen explosive growth in recent years, with billions of dollars borrowed in various cryptocurrency assets. Key to the safety of money markets is the implementation of interest rates that…