论文标题
自动做市商的三角洲对冲流动性职位
Delta Hedging Liquidity Positions on Automated Market Makers
论文作者
论文摘要
自动营销商的流动性提供商每天会产生数百万美元的交易费用。但是，流动性位置的净值容易受到池中基础资产价格变化的影响。流动性位置损失的主要度量是无常损失。恒定功能做市商的无常损失已被广泛研究。我们提出了一个新的指标，以根据基础资产的价格转移来衡量流动性位置PNL。我们展示了该新的度量如何更适当地衡量流动性位置的净值变化，这是基础资产价格转移的函数。我们的第二个贡献是对统一流动性自动化营销商（例如UNISWAP V2）和集中流动性自动化做市商（例如Uniswap V3）的算法算法，该算法是通过衍生物组合的算法。
Liquidity Providers on Automated Market Makers generate millions of USD in transaction fees daily. However, the net value of a Liquidity Position is vulnerable to price changes in the underlying assets in the pool. The dominant measure of loss in a Liquidity Position is Impermanent Loss. Impermanent Loss for Constant Function Market Makers has been widely studied. We propose a new metric to measure Liquidity Position PNL based on price movement from the underlying assets. We show how this new metric more appropriately measures the change in the net value of a Liquidity Position as a function of price movement in the underlying assets. Our second contribution is an algorithm to delta hedge arbitrary Liquidity Positions on both uniform liquidity Automated Market Makers (such as Uniswap v2) and concentrated liquidity Automated Market Makers (such as Uniswap v3) via a combination of derivatives.
