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自动做市商中的波动率与流动性提供者收益

文章 arXiv papers · 作者: Jin Hong Kuan
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总结

本文推导去中心化交易所流动性提供者预期手续费现金流的初步公式。研究假设市场有效、价格遵循几何布朗运动且不存在套利。在这一框架中，交易量不再被视为手续费计算的外生输入，而是取决于资产波动率和可用流动性。

作者报告称，由此得到的成交量关系与标的资产波动率近似线性。他们讨论了证券化手续费现金流能否因此成为一种波动率产品。这是在简化假设下的理论推导，并不能证明实际资金池中的手续费收入会可靠地跟踪波动率。所提供的描述没有实证验证、实施细节，也没有处理流动性变化、手续费档位和逆向选择等可能影响提供者实际收益的因素。

核心观点

  • 本文建立自动做市商中流动性提供者预期手续费现金流的模型。
  • 推导假设价格遵循几何布朗运动、市场有效且不存在套利。
  • 模型将交易量设定为取决于波动率和可用流动性。
  • 文中称推导出的成交量与资产波动率关系近似线性。
  • 本文提出证券化手续费现金流或可成为波动率产品，但所提供的描述没有实证验证。

标签

去中心化金融波动率做市风险管理
全文
# Liquidity Provision Payoff on Automated Market Makers


# Liquidity Provision Payoff on Automated Market Makers









The standard approach for compensating liquidity providers on many decentralized exchanges (DEX) for serving as counter-party to swaps is through charging a small percentage of fees. The expected payoff from the cash flow of this mode of market making has yet to be mathematically formulated in terms of volatility in the existing literature. We provide here a preliminary derivation of the payoff formula, by making the standard set of assumptions for efficient markets, namely geometric Brownian price movements and zero arbitrage. Trading volume, conventionally taken as an exogenous variable for fees calculation, becomes a function of volatility and available liquidity in this formulation. In doing so, we show that it is a near-linear function of the volatility of the underlying risky asset. Since hedging instruments with such a property are highly sought after, we discuss the potential of securitizing the cash flow of liquidity fees to serve as a volatility product in its own right.

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。