5 papers
A game-theoretic analysis of the market microstructure in decentralized exchanges with concentrated liquidity
Mikhail Belokon, Rostislav Berezovskiy
We study strategic liquidity provision in decentralized exchanges with concentrated liquidity as a mean-field game. Liquidity providers choose the width of their price range and wh…
Dynamic Collateral Control for Permissionless Spot Perpetual Basis Trading
Anatoly Krestenko, Mikhail Butov, Rostislav Berezovskiy +1
We study permissionless spot--perpetual basis trading in decentralized finance as a collateral control problem. The strategy holds spot inventory, hedges directional exposure with…
Liquidity provision in CLMMs: evidence from transactions data
Andrey Urusov, Rostislav Berezovskiy, Anatoly Krestenko +1
The emergence of Concentrated Liquidity Market Makers (CLMMs) has made liquidity provision on decentralized exchanges an active and risk-sensitive task. However, the standalone pro…
Dynamic Liquidity Provision in Decentralized Markets: Strategy Optimization and Performance Evaluation in Concentrated Liquidity AMMs
Andrey Urusov, Rostislav Berezovskiy, Anatoly Krestenko +2
Concentrated Liquidity Market Makers (CLMMs) represent a fundamental innovation in market microstructure, transforming liquidity provision from passive portfolio allocation to acti…
Backtesting Framework for Concentrated Liquidity Market Makers on Uniswap V3 Decentralized Exchange
Andrey Urusov, Rostislav Berezovskiy, Yury Yanovich
Decentralized finance (DeFi) has revolutionized the financial landscape, with protocols like Uniswap offering innovative automated market-making mechanisms. This article explores t…