论文标题
自动化的市场创业和反对损失的重新平衡
Automated Market Making and Loss-Versus-Rebalancing
论文作者
论文摘要
我们从流动性提供商（LPS）的角度考虑自动做市商（AMM）的市场微观结构。我们的核心贡献是``AMMS''的``黑色 - chcholes公式''。我们确定了LPS产生的主要不利选择成本，我们称之为“损失 - 反向重新平衡”（LVR，发音为``lever''）。 LVR捕获AMM LPS产生的成本，这是由于陈旧的价格被更好的套利者所取代的。我们为适用于所有自动化做市商的LVR提供了封闭式表达式。我们的模型在定量上是现实的，可以从经验上匹配实际的LP返回，并显示如何重新设计CFMM协议以减少或消除LVR。
We consider the market microstructure of automated market makers (AMMs) from the perspective of liquidity providers (LPs). Our central contribution is a ``Black-Scholes formula for AMMs''. We identify the main adverse selection cost incurred by LPs, which we call ``loss-versus-rebalancing'' (LVR, pronounced ``lever''). LVR captures costs incurred by AMM LPs due to stale prices that are picked off by better informed arbitrageurs. We derive closed-form expressions for LVR applicable to all automated market makers. Our model is quantitatively realistic, matching actual LP returns empirically, and shows how CFMM protocols can be redesigned to reduce or eliminate LVR.
