2 papers
math.OC2026
A New Framework for Modelling Liquidity Pools as Mean Field Games
AgustÃn Muñoz González, Juan I. Sequeira, Rafael Orive Illera
In this work, we present an application of the probabilistic weak formulation of mean field games (MFG) for modeling liquidity pools in a constant product automated market maker (A…
q-fin.RM2025
Pool Value Replication (CPM) and Impermanent Loss Hedging
Agustin Muñoz Gonzalez, Juan Ignacio Sequeira, Ariel Dembling
This work analytically characterizes impermanent loss for automated market makers (AMMs) in decentralized markets such as Uniswap or Balancer (CPMM). We derive a static replication…