A Tick-by-Tick Solution for Concentrated Liquidity Provisioning
Fuente:
arXiv
Saved in:
| Main Author: | |
|---|---|
| Format: | Preprint |
| Published: |
2024
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866914815537053696 |
|---|---|
| author | Powers, Corinne |
| author_facet | Powers, Corinne |
| contents | Automated market makers with concentrated liquidity capabilities are programmable at the tick level. The maximization of earned fees, plus depreciated reserves, is a convex optimization problem whose vector solution gives the best provision of liquidity at each tick under a given set of parameter estimates for swap volume and price volatility. Surprisingly, early results show that concentrating liquidity around the current price is usually not the best strategy. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2405_18728 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | A Tick-by-Tick Solution for Concentrated Liquidity Provisioning Powers, Corinne Portfolio Management General Finance Automated market makers with concentrated liquidity capabilities are programmable at the tick level. The maximization of earned fees, plus depreciated reserves, is a convex optimization problem whose vector solution gives the best provision of liquidity at each tick under a given set of parameter estimates for swap volume and price volatility. Surprisingly, early results show that concentrating liquidity around the current price is usually not the best strategy. |
| title | A Tick-by-Tick Solution for Concentrated Liquidity Provisioning |
| topic | Portfolio Management General Finance |
| url | https://arxiv.org/abs/2405.18728 |