{"title":"恒函数做市商的定价与套期保值","authors":"Richard Dewey, Craig Newbold","doi":"arxiv-2306.11580","DOIUrl":null,"url":null,"abstract":"We investigate the most common type of blockchain-based decentralized\nexchange, which are known as constant function market makers (CFMMs). We\nexamine the the market microstructure around CFMMs and present a model for\nvaluing the liquidity provider (LP) mechanism and estimating the value of the\nassociated derivatives. We develop a model with two types of traders that have\ndifferent information and contribute methods for simulating the behavior of\neach trader and accounting for trade PnL. We also develop ideas around the\nequilibrium distribution of fair price conditional on the arrival of traders.\nFinally, we show how these findings might be used to think about parameters for\nalternative CFMMs.","PeriodicalId":501355,"journal":{"name":"arXiv - QuantFin - Pricing of Securities","volume":"29 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2023-06-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"The Pricing And Hedging Of Constant Function Market Makers\",\"authors\":\"Richard Dewey, Craig Newbold\",\"doi\":\"arxiv-2306.11580\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We investigate the most common type of blockchain-based decentralized\\nexchange, which are known as constant function market makers (CFMMs). We\\nexamine the the market microstructure around CFMMs and present a model for\\nvaluing the liquidity provider (LP) mechanism and estimating the value of the\\nassociated derivatives. We develop a model with two types of traders that have\\ndifferent information and contribute methods for simulating the behavior of\\neach trader and accounting for trade PnL. We also develop ideas around the\\nequilibrium distribution of fair price conditional on the arrival of traders.\\nFinally, we show how these findings might be used to think about parameters for\\nalternative CFMMs.\",\"PeriodicalId\":501355,\"journal\":{\"name\":\"arXiv - QuantFin - Pricing of Securities\",\"volume\":\"29 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2023-06-20\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"arXiv - QuantFin - Pricing of Securities\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/arxiv-2306.11580\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - QuantFin - Pricing of Securities","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2306.11580","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
The Pricing And Hedging Of Constant Function Market Makers
We investigate the most common type of blockchain-based decentralized
exchange, which are known as constant function market makers (CFMMs). We
examine the the market microstructure around CFMMs and present a model for
valuing the liquidity provider (LP) mechanism and estimating the value of the
associated derivatives. We develop a model with two types of traders that have
different information and contribute methods for simulating the behavior of
each trader and accounting for trade PnL. We also develop ideas around the
equilibrium distribution of fair price conditional on the arrival of traders.
Finally, we show how these findings might be used to think about parameters for
alternative CFMMs.
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