13 citations · 34 across the 12 of their papers we have counts for
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q-fin.GN2022★ 6 cited
Static Replication of Impermanent Loss for Concentrated Liquidity Provision in Decentralised Markets
Jun Deng, Hua Zong, Yun Wang
This article analytically characterizes the impermanent loss of concentrated liquidity provision for automatic market makers in decentralised markets such as Uniswap. We propose tw…
q-fin.GN2021
Net Buying Pressure and the Information in Bitcoin Option Trades
Carol Alexander, Jun Deng, Jianfen Feng +1
How do supply and demand from informed traders drive market prices of bitcoin options? Deribit options tick-level data supports the limits-to-arbitrage hypothesis about the market…
q-fin.GN2012★ 2 cited
How Non-Arbitrage, Viability and Numéraire Portfolio are Related
Tahir Choulli, Jun Deng, Junfeng Ma
This paper proposes two approaches that quantify the exact relationship among the viability, the absence of arbitrage, and/or the existence of the numéraire portfolio under minimal…