逐点集中流动性拨备解决方案

arXiv - QuantFin - Portfolio Management Pub Date : 2024-05-29 DOI:arxiv-2405.18728

Corinne Powers

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引用次数: 0

摘要

具有集中流动性能力的自动做市商可在刻度水平上进行编程。最大化赚取的费用加上折旧储备是一个凸优化问题，其向量解给出了在一组给定的掉期交易量和价格波动参数估计下，每个交易点的最佳流动性供应。令人惊讶的是，早期结果表明，将流动性集中在当前价格附近通常不是最佳策略。

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A Tick-by-Tick Solution for Concentrated Liquidity Provisioning

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 of liquidity at each tick under a given set of parameter estimates for swap volume and price volatility. Surprisingly, early results show that concentrating liquidity around the current price is usually not the best strategy.

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arXiv - QuantFin - Portfolio Management

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