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几何均值自动做市商中的流动性提供者收益与衍生品复制

文章 arXiv papers · 作者: Alex Evans
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总结

本文研究几何均值自动做市商中的流动性提供者（LP）收益，包括权重随时间变化或随机变化的资金池。研究推导了LP份额收益及其无套利价格表达式，并将适用于恒定权重资金池的结果加以扩展。

利用这些关系，论文说明了如何配置资金池，使LP份额能够复制衍生品收益。当合约收益满足弹性条件时，由此形成的对冲不依赖模型且精确；标准期权是其中的例子。该方法还表明，被动的LP头寸可以表示某些主动交易策略。本文提出的是理论主张，而非实证表现证据；所述复制结果仅适用于满足指定条件的收益。

核心观点

  • 分析将LP收益和定价结果扩展至权重变化或随机变化的几何均值资金池。
  • 当收益函数满足弹性约束时，LP份额可以复制衍生品收益。
  • 在该约束下，所提出的复制方法不依赖模型且结果精确。
  • 文中将标准期权和某些主动交易策略列为可能复制的收益。

标签

加密资产去中心化金融期权衍生品定价做市
全文
# Liquidity Provider Returns in Geometric Mean Markets


# Liquidity Provider Returns in Geometric Mean Markets









Geometric mean market makers (G3Ms), such as Uniswap and Balancer, comprise a popular class of automated market makers (AMMs) defined by the following rule: the reserves of the AMM before and after each trade must have the same (weighted) geometric mean. This paper extends several results known for constant-weight G3Ms to the general case of G3Ms with time-varying and potentially stochastic weights. These results include the returns and no-arbitrage prices of liquidity pool (LP) shares that investors receive for supplying liquidity to G3Ms. Using these expressions, we show how to create G3Ms whose LP shares replicate the payoffs of financial derivatives. The resulting hedges are model-independent and exact for derivative contracts whose payoff functions satisfy an elasticity constraint. These strategies allow LP shares to replicate various trading strategies and financial contracts, including standard options. G3Ms are thus shown to be capable of recreating a variety of active trading strategies through passive positions in LP shares.

在遵守原作品许可的前提下，附作者信息全文展示。 许可协议: abstract CC0

此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。