4 papers
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…
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…