论文标题
自动化做市商：LPS收益和定价功能设计的平均变化分析
Automated Market Makers: Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functions
论文作者
论文摘要
随着分散财务的出现，出现了称为自动化做市商的新交易机制。最受欢迎的自动化做市商是恒定的职能做市商。它们在理论上和经验上都已进行了研究。特别是，无常损失的概念已经出现，并解释了恒定功能营销商中流动性提供者的利润和损失的一部分。在本文中，我们提出了另一种机制，在这种机制中，价格发现不仅依赖流动性收集者，而是基于外部汇率或价格甲骨文。我们还建议通过使用均值 /差异分析其利润和损失的均值 /差异分析，与持有自动化营销商以外的代理商相比，从流动性提供者的角度比较不同的机制。特别是，受马克维茨的现代投资组合理论的启发，我们设法在理想化的完美甲骨文的情况下为流动性提供者的性能获得了有效的前沿。除了理想化的情况外，我们还表明，即使甲骨文滞后，并且在流动性接受者和系统套利者不良选择的情况下，优化的基于甲骨文的机制的性能要比流行的恒定功能销售者更好。
With the emergence of decentralized finance, new trading mechanisms called Automated Market Makers have appeared. The most popular Automated Market Makers are Constant Function Market Makers. They have been studied both theoretically and empirically. In particular, the concept of impermanent loss has emerged and explains part of the profit and loss of liquidity providers in Constant Function Market Makers. In this paper, we propose another mechanism in which price discovery does not solely rely on liquidity takers but also on an external exchange rate or price oracle. We also propose to compare the different mechanisms from the point of view of liquidity providers by using a mean / variance analysis of their profit and loss compared to that of agents holding assets outside of Automated Market Makers. In particular, inspired by Markowitz' modern portfolio theory, we manage to obtain an efficient frontier for the performance of liquidity providers in the idealized case of a perfect oracle. Beyond that idealized case, we show that even when the oracle is lagged and in the presence of adverse selection by liquidity takers and systematic arbitrageurs, optimized oracle-based mechanisms perform better than popular Constant Function Market Makers.
