5 papers
Dynamics of the Liquidity Profile in Concentrated Liquidity Provision: An SPIDE Approach
Cheuk Yin Lee, Jimmy Risk, Shen-Ning Tung +1
We model the dynamics of the liquidity profile in Uniswap~V3 and other concentrated-liquidity automated market makers with a stochastic partial integro-differential equation (SPIDE…
Pricing and hedging for liquidity provision in Constant Function Market Making
Jimmy Risk, Shen-Ning Tung, Tai-Ho Wang
This paper develops a robust mathematical framework for Constant Function Market Makers (CFMMs) by transitioning from traditional token reserve analyses to a coordinate system defi…
Dynamics of Liquidity Surfaces in Uniswap v3
Jimmy Risk, Shen-Ning Tung, Tai-Ho Wang
This paper presents a comprehensive study on the empirical dynamics of Uniswap v3 liquidity, which we model as a time-tick surface, . Using a combination of functional prin…
A mathematical framework for modelling CLMM dynamics in continuous time
Shen-Ning Tung, Tai-Ho Wang
This paper develops a rigorous mathematical framework for analyzing Concentrated Liquidity Market Makers (CLMMs) in Decentralized Finance (DeFi) within a continuous-time setting. W…
Growth rate of liquidity provider's wealth in G3Ms
Cheuk Yin Lee, Shen-Ning Tung, Tai-Ho Wang
We study how trading fees and continuous-time arbitrage affect the profitability of liquidity providers (LPs) in Geometric Mean Market Makers (G3Ms). We use stochastic reflected di…