分散金融和自动做市：可预测的损失和最佳流动性供应

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2024-09-17 DOI:10.1137/23m1602103

Álvaro Cartea, Fayçal Drissi, Marcello Monga

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引用次数: 0

摘要

SIAM 金融数学期刊》，第 15 卷第 3 期，第 931-959 页，2024 年 9 月。摘要。具有集中流动性（CL）的恒定产品市场是最流行的自动做市商类型。在本文中，我们描述了策略性流动性提供者（LPs）的连续时间财富动态，他们会动态调整其在 CL 池中提供流动性的范围。他们的财富来自费用收入、在池中的持股价值和再平衡成本。接下来，我们推导出一种自负盈亏的封闭式最优流动性提供策略，其中 LP 流动性范围的宽度由池的盈利能力（提供费减去气体费）、LP 持仓的可预测损失（PL）和集中风险决定。集中风险指的是当池中的边际汇率（类似于限价订单簿中的中间价）超出 LP 的流动性范围时，费用收入的减少。当边际汇率的漂移是随机的，我们将展示如何优化流动性范围，以增加手续费收入，并从边际汇率的预期变化中获利。最后，我们利用 Uniswap v3 数据表明，平均而言，LP 的交易出现了重大亏损，并表明我们策略的样本外表现优于我们所考虑的池中 LP 的历史表现。

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Decentralized Finance and Automated Market Making: Predictable Loss and Optimal Liquidity Provision

SIAM Journal on Financial Mathematics, Volume 15, Issue 3, Page 931-959, September 2024.
Abstract. Constant product markets with concentrated liquidity (CL) are the most popular type of automated market makers. In this paper, we characterize the continuous-time wealth dynamics of strategic liquidity providers (LPs) who dynamically adjust their range of liquidity provision in CL pools. Their wealth results from fee income, the value of their holdings in the pool, and rebalancing costs. Next, we derive a self-financing and closed-form optimal liquidity provision strategy where the width of the LP’s liquidity range is determined by the profitability of the pool (provision fees minus gas fees), the predictable loss (PL) of the LP’s position, and concentration risk. Concentration risk refers to the decrease in fee revenue if the marginal exchange rate (akin to the midprice in a limit order book) in the pool exits the LP’s range of liquidity. When the drift in the marginal rate is stochastic, we show how to optimally skew the range of liquidity to increase fee revenue and profit from the expected changes in the marginal rate. Finally, we use Uniswap v3 data to show that, on average, LPs have traded at a significant loss, and to show that the out-of-sample performance of our strategy is superior to the historical performance of LPs in the pool we consider.

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.