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q-fin.MF2024
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…
q-fin.MF2024
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…