主動流動性管理:固定流動性提供策略

Abstract

Uniswap 是最大的加密貨幣去中心化交易所(DEX)。 Uniswap 的核心是利用著名的定 價函數 x*y=k，也稱為自動做市商來解決流動性問題。 Uniswap v3 引入了一個稱為集中流動 性的概念，它允許流動性提供者在價格區間內分配資金。這一特點不僅提高了流動性提供者 的資本效率，而且使策略性流動性供應成為一個新的研究課題。由於 Uniswap V3 流動性頭 寸的類似期權的收益，流動性提供者可以從策略地提供流動性中獲利。本文旨在提供一個設 計 LP 策略的框架。我們顯示了通過選擇波動性並以流動性為目標，投資人可以從成為 LP 中獲利，就像成為期權賣方一樣。我們還實施了一個策略實驗，並將結果包含在本文中。

Uniswap is the largest decentralized exchange (DEX) for cryptocurrencies. The core of Uniswap is to use the famous pricing function x*y=k, also known as Auto- mated Market Maker, to solve liquidity issues. The Uniswap v3 introduces a concept called Concentrated Liquidity that allows liquidity providers to allocate capital in a price interval. This feature not only increases the capital e�ciency of liquidity providers but also makes strategic liquidity provision a new research topic. Due to the option-like payo↵ of Uniswap V3 liquidity position, the liquidity providers can profit from providing liquidity strategically. This paper is intended to provide a framework of designing a LP strategy. We show that by selecting volatility and targeting liquidity, one can profit from being an LP just as being an option seller. We also implement a strategy experiment and include the result in this paper.