New automated market makers for multi-asset trading.
problem Liquidity management in multi-asset trading.
method Derived from self-financing transactions and rebalancing principles.
result Constant product market maker as a special case.
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48 results for “Automated market makers”
This research compiles knowledge on decentralized exchanges with AMM protocols.
problem Improving and developing AMM-based decentralized exchanges.
method Established a general AMM framework, compared mechanics, discussed security and privacy.
result Illustrated conservation and slippage functions of AMM protocols.
Paper proposes efficient cost functions for automated market makers in DeFi.
problem Inefficient and computationally complex cost functions in DeFi.
method Proposes and analyzes constant circle/ellipse based cost functions.
result Proposed cost functions are computationally efficient and robust against attacks.
New metric to measure liquidity position PNL, delta hedging algorithm for automated market makers.
problem Vulnerability of liquidity positions to price changes in underlying assets.
method Proposes a new metric for measuring PNL, delta hedging algorithm for various AMMs.
result New metric more accurately measures net value change due to price movement.
We analyze impermanent loss in AMMs and show G3Ms are simplest.
problem Understanding impermanent loss in automated market makers.
method Developed a general framework and analyzed Geometric Mean Market Makers (G3Ms).
result G3Ms have the simplest impermanent loss characteristics.
Automated Market Makers: Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functionsq-fin.TR
This paper analyzes and compares different Automated Market Maker mechanisms.
problem Impermanent loss in Constant Function Market Makers.
method Mean-Variance analysis of liquidity providers' profit and loss, comparison of different mechanisms.
result Optimized oracle-based mechanisms outperform Constant Function Market Makers.
New formula identifies and quantifies costs for automated market makers.
problem Adverse selection costs faced by liquidity providers in automated market makers.
method Derives a Black-Scholes-like formula for AMMs and identifies loss-versus-rebalancing cost.
result Closed-form expressions for LVR applicable to all automated market makers.
Study analyzes impact of concentrated liquidity on trading fees and provider returns.
problem Impact of concentrated liquidity on trading fees and provider returns.
method Comparison of average liquidity provider returns before and after concentrated liquidity introduction; quantification of fundamental strategies performance.
result Concentrated liquidity strategies outperform in certain trading pairs and market conditions.
This research improves capital efficiency and impermanent loss in cryptocurrency markets using multi-token trading pools.
problem Poor impermanent loss and capital efficiency in automated market makers.
method Analysis and construction of a multi-token token proactive market maker (MPMM).
result MPMM shows better impermanent loss and capital efficiency than comparable market makers.
Optimal design of automated market makers for decentralized exchanges.
problem Maximizing utility for liquidity providers in decentralized exchanges.
method Modeling a risk-averse liquidity provider's optimal strategy and the optimal design of automated market makers.
result The optimal unit trading fee increases with asset volatility.
This paper examines the uniform properties of AMMs in cryptocurrency markets.
problem Theoretical uniformity of AMMs despite diverse strategies.
method Derives a universal formula for liquidity provisioning and compares models.
result Constant function and token swap models are equivalent under uniform liquidity.
New models optimize quotes for automated market makers considering various price dynamics and demand variability.
problem Optimizing quotes for automated market makers in volatile price environments.
method Advanced models incorporating stochastic volatility, jumps, Hawkes processes, and Markov-modulated Poisson processes.
result Optimal quotes can be computed using numerical methods tailored to each model.
Optimal dynamic fees found for AMMs to deter arbitrageurs and attract noise traders.
problem Optimizing fees in AMMs to balance against arbitrage and noise trading.
method Approximate closed-form solutions to control problem, study of fee structure.
result Two distinct fee regimes identified: high fees to deter arbitrage, low fees to attract noise traders.
Modeling price dynamics in AMMs with fees using geometric Brownian motion.
problem Understanding price dynamics in AMMs with transaction fees.
method Geometric Brownian motion, local times, excursion theory.
result Derivation of time-changed representation and limiting behavior of AMM prices.
The paper analyzes CFMMs to ensure accurate price reporting.
problem Ensuring accurate price reporting for CFMMs.
method Analyzes CFMMs under general assumptions to incentivize correct price reporting.
result Agents are incentivized to correctly report asset prices in a computationally efficient way.
The paper examines statistical properties of IL and LVR in automated market makers.
problem Assessing the performance of automated market makers and their profitability.
method Analysis of random walk properties and statistical integral combined with CFMM mechanics.
result IL and LVR have identical expectation values but different distribution functions for Brownian motion.
The paper analyzes how automated market makers can retain trading fees.
problem How automated market makers can sustainably retain a portion of trading fees.
method Modeling to determine the optimal take rate for AMMs to maximize their revenue.
result AMMs can sustainably set a non-zero take rate if they have loyal trade volume.
No fair and strategy-proof automated market maker exists for more than two assets.
problem Designing a fair and strategy-proof automated market maker for multiple assets.
method Analyzing the weighted-product family of aggregation rules and their properties.
result No aggregation rule is both fair and strategy-proof for more than two assets.
Dynamic Function Market Makerq-fin.GN
DFMM automates market making with adaptive pricing and risk management.
problem Challenges in decentralised automated market making (AMMs).
method Data aggregator, order routing, rebalancing, arbitrageurs, protective buffers, algorithmic accounting.
result DFMM optimises inventory risk and ensures market stability.
Traditional market makers are losing their importance as automated systems have largely assumed the role of liquidity provision in markets. We update the model of Glosten and Milgrom (1985) to analyze this new world: we add multiple securities and introduce an automated market maker who uses the relationships between s…
This study interprets AMM fees as implied volatility, validating their relevance in digital asset markets.
problem Understanding the volatility of fees in decentralized exchange systems.
method Reinterpreting AMM fees as implied volatility and applying fixed-for-floating swaps to quote and validate these volatilities.
result The implied volatilities of digital assets can be accurately quoted using AMM fees, validating the approach.
Silkswap models stablecoin trading with minimal price impact.
problem Efficient trading of fiat-pegged stablecoins with minimal price impact.
method Silkswap uses an invariant price impact curve for asymmetric trading, derived from a hybrid function.
result Silkswap outperforms Curve Finance in price impact for stablecoin trading.
Derives a size premium from automated market makers in decentralized AI subnets.
problem Determining the profitability and risk of decentralized AI subnets.
method Analyzes daily data on 128 subnets, tests the size premium, and calculates transaction costs.
result The size premium is reduced by a halving of token emissions but remains profitable only below a certain asset threshold.
Quantum self-attention boosts automated market maker performance in crypto trading.
problem Improving automated market maker rebalancing in crypto trading.
method Quantum Adaptive Self-Attention (QASA) using variational quantum circuits and softmax attention.
result QASA-Sequence variant achieves best single-model risk-adjusted performance in crypto trading.
This paper examines the quantitative finance aspects of AMMs in decentralized finance.
problem Understanding the mathematical and financial underpinnings of AMMs.
method Review of existing literature and analysis of mathematical aspects.
result Interesting relationship between AMMs and derivatives pricing and hedging.
Panoptic trades options without oracles on Ethereum.
problem Trading options without relying on oracles.
method Perpetual, trustless, instant-settlement protocol on Ethereum.
result Trustless, permissionless trading of options on Uniswap v3.
PA-AMM divides reserves into active and passive parts for better liquidity provider wealth.
problem Reducing adverse selection costs in AMMs.
method Divides reserves into active and passive parts, rebalancing top of each block.
result Improves LP wealth compared to CFMMs by reducing LVR.
Market maker handles negative prices with unique asset swapping.
problem Handling negative prices in financial markets.
method Unique market mechanism with numeraire currency, liquidity extensions.
result Liquidity fingerprint and payoff compared to established models.
Improved AMM protocol supports diverse loan maturities in DeFi.
problem Challenges in designing AMMs for fixed-income lending with time-related complexities.
method Generalized BondMM protocol to support arbitrary maturities.
result BondMM-A protocol demonstrates superior performance in interest rate stability and financial robustness.
This work analyzes impermanent loss in decentralized markets and provides a hedging strategy.
problem Impermanent loss in automated market makers (AMMs).
method Analytical derivation of a static replication formula using European options, and numerical example with real data.
result Guaranteed hedging coverage for all final prices within a predefined interval.
AMM finds optimal contract for LPs to maximize order flow.
problem Maximizing order flow in AMMs with LPs.
method Leader-follower stochastic game, closed-form equilibrium solutions.
result LPs incentivized to add liquidity when external price attracts more noise trading.
Bandit Market Makersq-fin.TR
We introduce a modular framework for market making. It combines cost-function based automated market makers with bandit algorithms. We obtain worst-case profits guarantee's relative to the best in hindsight within a class of natural "overround" cost functions . This combination allow us to have distribution-free guaran…
Adaptive market maker curves minimize arbitrage losses in DeFi.
problem Asset trading prices in AMMs trail behind centralized exchanges, causing LP losses.
method Adapts market maker bonding curves to trader behavior using a differential equation derived from the Glosten-Milgrom model.
result Optimal adaptive curves minimize arbitrage losses while remaining competitive.
Automated Market Makers: A Stochastic Optimization Approach for Profitable Liquidity Concentrationq-fin.TR
Optimizes liquidity provision intervals for profitable AMM participation.
problem Financial losses from poor liquidity provision intervals and reallocation costs.
method Developed a tractable stochastic optimization problem.
result Computes optimal liquidity provision intervals for profitable liquidity concentration.
Decentralized prediction markets use AMMs to pool and withdraw liquidity, improving financial properties.
problem Creating a fair and efficient decentralized prediction market.
method Developed a liquidity-based AMM structure for prediction markets, studied liquidity management, and proposed trading fees.
result The decentralized AMM structure satisfies financial properties and can be managed with liquidity withdrawal.
Tick-by-tick liquidity provision aims to maximize fees and reserves.
problem Maximizing fees and reserves in concentrated liquidity.
method Convex optimization for tick-level liquidity provision.
result Concentrating liquidity around current price is not always best.
This paper addresses AMMs for expiring assets, ensuring liquidity and risk management.
problem AMMs struggle with assets that expire, leading to liquidity issues and risk exposure.
method Combines AMM and limit-order book features, ensuring liveness and dynamic price adjustment.
result A DEX for expiring assets maintains liquidity and risk management.
Optimal fees protect passive LPs in AMMs under varying market conditions.
problem Adverse selection losses in AMMs are not offset by static trading fees.
method Dynamic reduced-form model with parallel AMM and CEX, large-scale simulations, real market data analysis.
result Optimal AMM fees are stable under normal conditions but high in volatile periods to protect LPs.
Study compares quantum and classical ML in crypto trading, finding hybrid models outperform.
problem Comparing quantum and classical machine learning in crypto trading strategies.
method Backtesting 10 models across multiple crypto assets using classical ML, quantum ML, hybrid models, and transformer models.
result Hybrid quantum models achieve superior performance with 13.99% return and 1.76 Sharpe ratio.
This paper optimizes liquidity provision in automated market makers using auction theory.
problem Optimizing profit for a monopolist liquidity provider in automated market makers.
method Introduces a Bayesian-like belief inference framework to model AMMs, characterizes profit-maximizing strategies using Myerson's optimal auction theory.
result Characterizes the optimal demand curve and payments for an IC AMM, revealing a bid-ask spread caused by asymmetry and monopoly pricing.
Axioms for Automated Market Makers: A Mathematical Framework in FinTech and Decentralized Financeq-fin.MF
The paper establishes axioms for AMMs to ensure fair pricing and fee structures.
problem Ensuring fair and efficient pricing in decentralized finance (DeFi) AMMs.
method Formulating axioms on utility functions to characterize swap sizes and pricing oracles.
result Most existing AMMs satisfy the proposed axioms, and a new AMM is proposed with desirable properties.
This research categorizes AMM designs for secure token exchanges.
problem Designing AMMs for cryptoeconomic systems can lead to financial risks and inefficiencies.
method Developed an AMM taxonomy and proposed three archetypes.
result AMM archetypes meet key requirements for token issuance and exchange.
A new AMM design reduces impermanent loss and retains more liquidity.
problem Inefficiencies in conventional AMM designs lead to liquidity loss and user engagement issues in DEXs.
method Proposes a dual-mechanism framework: a power-law invariant BMM and dynamic rebate system.
result Reduces impermanent loss by 36% and retains 3.98x more liquidity during price volatility.
UAMM uses external market prices to improve AMM efficiency and reduce liquidity provider risk.
problem Traditional AMMs lack consideration of external markets and risk management.
method UAMM calculates prices by incorporating external market prices and impermanent loss, maintaining constant product curve properties.
result UAMM eliminates arbitrage opportunities when external market prices are efficient, reducing liquidity provider risk.
This paper solves optimal market making for multiple goods, including bundling, under adverse selection.
problem Designing optimal market making mechanisms for multiple goods and adverse selection.
method Formulated as an optimal transport problem with geometric constraints, using differentiable economics.
result Optimal market making mechanisms can exploit bundling to improve prices and accept payments in kind.
Paper calculates greeks for DeFi LPs and introduces Impermanent Gain.
problem Liquidity Providers in DeFi are exposed to Impermanent Loss.
method Tailored Black & Scholes formulas for DeFi markets.
result Introduced Impermanent Gain for risk management.
This thesis studies CPMMs with CL, developing strategies for LTs and LPs.
problem Trading mechanisms and strategies for CPMMs with CL.
method Formalizes CPMMs with CL, develops strategies using market data and models.
result Derives optimal strategies for LTs and LPs in CPMMs with CL.
This paper mixes constant sum and constant product market makers to improve their features.
problem Improving the balance between stable exchange rates and liquidity in automated market makers.
method Mixing and designing new methods for AMMs with specific features.
result Demonstrates new tools for creating markets with desired characteristics.