Differential Liquidity Provision in Uniswap v3 and Implications for Contract Design✱

Proceedings of the Third ACM International Conference on AI in Finance Pub Date : 2022-04-01 DOI:10.1145/3533271.3561775

Z. Fan, F. J. Cossío, B. Altschuler, He Sun, Xintong Wang, D. Parkes

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引用次数: 18

Abstract

Decentralized exchanges (DEXs) provide a means for users to trade pairs of assets on-chain without the need of a trusted third party to effectuate a trade. Amongst these, constant function market maker (CFMM) DEXs such as Uniswap handle the most volume of trades between ERC-20 tokens. With the introduction of Uniswap v3, liquidity providers are given the option to differentially allocate liquidity to be used for trades that occur within specific price intervals. In this paper, we formalize the profit and loss that liquidity providers can earn when providing specific liquidity positions to a contract. With this in hand, we are able to compute optimal liquidity allocations for liquidity providers who hold beliefs over how prices evolve over time. Ultimately, we use this tool to shed light on the design question regarding how v3 contracts should partition price space for permissible liquidity allocations. Our results show that a richer space of potential partitions can simultaneously benefit both liquidity providers and traders.

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Uniswap v3中的差异流动性提供及其对合同设计的影响

去中心化交易所(DEXs)为用户提供了一种交易链上资产对的手段，而不需要可信的第三方来实现交易。其中，恒定功能做市商(CFMM) DEXs(如Uniswap)处理ERC-20代币之间的交易量最大。随着Uniswap v3的引入，流动性提供者可以选择为特定价格区间内发生的交易分配不同的流动性。在本文中，我们形式化了流动性提供者在为合约提供特定流动性头寸时可以获得的盈亏。有了这个，我们就能够计算出流动性提供者的最佳流动性配置，他们相信价格会随着时间的推移而变化。最后，我们使用这个工具来阐明有关v3合约应该如何为允许的流动性分配划分价格空间的设计问题。我们的研究结果表明，更丰富的潜在分区空间可以同时使流动性提供者和交易者受益。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Proceedings of the Third ACM International Conference on AI in Finance

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