相关论文: Constant Function Market Makers: Multi-Asset Trade…
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…
The study proposes a quote-driven predictive automated market maker (AMM) platform with on-chain custody and settlement functions, alongside off-chain predictive reinforcement learning capabilities to improve liquidity provision of…
In a decentralized environment, exchanging resources requires users to bargain until an agreement is found. Moreover, human agreements involve a combination of collaborative and selfish behavior and often induce circularity, complicating…
Arbitrage can arise from the simultaneous purchase and sale of the same asset in different markets in order to profit from a difference in its price. This work systematically reviews arbitrage opportunities between Automated Market Makers…
The rise of Decentralized Finance ("DeFi") on the Ethereum blockchain has enabled the creation of lending platforms, which serve as marketplaces to lend and borrow digital currencies. We first categorize the activity of lending platforms…
Blockchain systems come with the promise of being inclusive for a variety of decentralized applications (DApps) that can serve different purposes and have different urgency requirements. Despite this, the transaction fee mechanisms…
In this paper, we investigate two methods that allow us to automatically create profitable DeFi trades, one well-suited to arbitrage and the other applicable to more complicated settings. We first adopt the Bellman-Ford-Moore algorithm with…
Since the inception of permissionless blockchains with Bitcoin in 2008, it became apparent that their most well-suited use case is related to making the financial system and its advantages available to everyone seamlessly without depending…
Maximal Extractable Value (MEV) in Constant Function Market Making is fairly well understood. Does having dynamic weights, as found in liquidity boostrap pools (LBPs), Temporal-function market makers (TFMMs), and Replicating market makers…
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…
Stablecoins face an unresolved trilemma of balancing decentralization, stability, and regulatory compliance. We present a hybrid stabilization protocol that combines crypto-collateralized reserves, algorithmic futures contracts, and…
In this paper, reinforcement learning is applied to the problem of optimizing market making. A multi-agent reinforcement learning framework is used to optimally place limit orders that lead to successful trades. The framework consists of…
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…
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…
Decentralized exchanges using automated market makers create arbitrage opportunities with centralized exchanges, where gas fees and transaction ordering are critical. Existing models largely overlook competition among arbitrageurs, despite…
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…
The multi-chain future is upon us. Modular architectures are coming to maturity across the ecosystem to scale bandwidth and throughput of cryptocurrency. One example of such is the Ethereum modular architecture, with its beacon chain, its…
The efficient market hypothesis (EMH) famously stated that prices fully reflect the information available to traders. This critically depends on the transfer of information into prices through trading strategies. Traders optimise their…
Multifractality is a concept that helps compactly grasping the most essential features of the financial dynamics. In its fully developed form, this concept applies to essentially all mature financial markets and even to more liquid…
Financial speculators often seek to increase their potential gains with leverage. Debt is a popular form of leverage, and with over 39.88B USD of total value locked (TVL), the Decentralized Finance (DeFi) lending markets are thriving.…