6 papers
Target Weight Mechanism doesn't make delta hedge easier
Ruichao Jiang, Long Wen
Chitra et al. (2025) claim that Target Weight Mechanism (TWM) in Perpetual Demand Lending Pools (PDLPs) can lower the delta of the portfolio under certain condition. We prove that…
Concave Continuation: Linking Routing to Arbitrage
Ruichao Jiang, Long Wen
We extend AMM trade functions to negative inputs via the \textit{concave continuation}, derived from the invariance of the local conservation law under allocation direction flips.…
On the Convergence Rate of the One-Hop Transfer Algorithm
Ruichao Jiang, Long Wen
The transfer algorithm~\cite{jiang} solves the on-chain one-hop swap routing problem. In \cite{jiang}, the convergence is proved but the convergence rate is left open. We prove tha…
Ormer: A Manipulation-resistant and Gas-efficient Blockchain Pricing Oracle for DeFi
Dongbin Bai, Jiannong Cao, Yinfeng Cao +2
Price feeds of cryptocurrencies are essential for Decentralized Finance (DeFi) applications to realize fundamental trading and exchanging functionalities, which are retrieved from…
Chasing price drains liquidity
Yizhou Cao, Yepeng Ding, Ruichao Jiang +1
Assuming that the price in a Uniswap v3 style Automated Market Maker (AMM) follows a Geometric Brownian Motion (GBM), we prove that the strategy that adjusts the position of liquid…
MAP the Blockchain World: A Trustless and Scalable Blockchain Interoperability Protocol for Cross-chain Applications
Yinfeng Cao, Jiannong Cao, Dongbin Bai +3
Blockchain interoperability protocols enable cross-chain asset transfers or data retrievals between isolated chains, which are considered as the core infrastructure for Web 3.0 app…