恒定乘积自动做市商中的最优交易与统计套利
文章 arXiv papers · 作者: Álvaro Cartea et al.
总结
本文研究恒定乘积市场中的执行与统计套利。恒定乘积是去中心化交易所常用的一种自动做市商设计。在这类市场中，交易函数决定汇率。分析将汇率敞口与执行成本视为相互关联的因素，并考察成本与该函数曲率（即凸性）之间的关系。
实证证据表明，凸性可以用于估算执行成本：成本随交易规模线性变化，并随流动性深度和汇率非线性变化。研究还对汇率由竞争的中心化交易场所、恒定乘积市场或两者共同决定的情形进行建模。研究推导出考虑随机凸性成本且计算效率较高的策略，并报告了样本外表现。描述未提供具体资产、评估期间或表现指标，因此难以据此判断研究结论能否迁移到其他资金池或市场环境。
核心观点
- 恒定乘积自动做市商通过交易函数设定汇率，该函数的凸性会影响执行成本。
- 据报告，凸性成本随交易规模线性变化，并随流动性深度和汇率非线性变化。
- 模型考虑了在AMM、竞争的中心化交易所或这两类场所中的价格形成。
- 所提出的交易策略考虑了随机凸性成本，且计算效率较高。
- 研究报告了样本外表现，但所提供的描述未说明具体市场和评估细节。
标签
全文
# Decentralised Finance and Automated Market Making: Execution and Speculation # Decentralised Finance and Automated Market Making: Execution and Speculation Automated market makers (AMMs) are a new prototype of decentralised exchanges which are revolutionising market interactions. The majority of AMMs are constant product markets (CPMs) where exchange rates are set by a trading function. This work studies optimal trading and statistical arbitrage in CPMs where balancing exchange rate risk and execution costs is key. Empirical evidence shows that execution costs are accurately estimated by the convexity of the trading function. These convexity costs are linear in the trade size and are nonlinear in the depth of liquidity and in the exchange rate. We develop models for when exchange rates form in a competing centralised exchange, in a CPM, or in both venues. Finally, we derive computationally efficient strategies that account for stochastic convexity costs and we showcase their out-of-sample performance.
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。