论文标题
在遇险时期探索UNISWAP V3的价格准确性
Exploring Price Accuracy on Uniswap V3 in Times of Distress
论文作者
论文摘要
金融市场已经发展了几个世纪，交易所融合了依靠订单簿机制进行市场开发。但是，区块链上的延迟阻止了分散的交易所（DEXES）利用订单簿机制，而是促进了更适合区块链的市场设计的发展。尽管第一个广泛普及的DEX UNISWAP V2在其惊人的简单性方面脱颖而出，但最近用Uniswap V3引入的设计大修引入了较高的复杂性，旨在提高资本效率。 在这项工作中，我们从经验上研究了无局V3处理意外价格冲击的能力。我们的分析发现，在最近的两个稳定币的突然价格下跌期间，UNISWAP V3的价格不准确：UST和USDT。我们确定不缺乏V3流动性提供商所需的敏捷性是这些令人担忧的不准确性的根本原因。此外，我们概述了流动性提供者进入流动性池的激励措施太少，因为在这种市场条件下的波动性升高。
Financial markets have evolved over centuries, and exchanges have converged to rely on the order book mechanism for market making. Latency on the blockchain, however, has prevented decentralized exchanges (DEXes) from utilizing the order book mechanism and instead gave rise to the development of market designs that are better suited to a blockchain. Although the first widely popularized DEX, Uniswap V2, stood out through its astonishing simplicity, a recent design overhaul introduced with Uniswap V3 has introduced increasing levels of complexity aiming to increase capital efficiency. In this work, we empirically study the ability of Unsiwap V3 to handle unexpected price shocks. Our analysis finds that the prices on Uniswap V3 were inaccurate during the recent abrupt price drops of two stablecoins: UST and USDT. We identify the lack of agility required of Unsiwap V3 liquidity providers as the root cause of these worrying price inaccuracies. Additionally, we outline that there are too few incentives for liquidity providers to enter liquidity pools, given the elevated volatility in such market conditions.
