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How to Eliminate Impermanent Loss
A couple hundred million dollars a year adds up to real money
Apr 16
•
Eric Falkenstein
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How to Eliminate Impermanent Loss
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Spurious High Frequency Autocorrelation
1-minute returns will overestimate variance by 40%
Apr 8
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Eric Falkenstein
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Spurious High Frequency Autocorrelation
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March 2024
The Impact of AMM Fees on Arbitrage Trade Fee Revenue
there's a formula!
Mar 29
•
Eric Falkenstein
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The Impact of AMM Fees on Arbitrage Trade Fee Revenue
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Moallemi's Auction-Managed AMM
A recent paper by Columbia professor Ciamac Moallemi and three Uniswap affiliates (Adams, Reynolds, and Robinson) presents a mechanism for recapturing…
Mar 14
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Eric Falkenstein
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Moallemi's Auction-Managed AMM
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LP Profitability on Long-Tail Pools
The crypto bull market is back, best exemplified by worthless meme coins PEPE and Shiba rising to market caps of $3B and $21B, respectively. These types…
Mar 7
•
Eric Falkenstein
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LP Profitability on Long-Tail Pools
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AMM LP Unprofitability: irrationality, volatility premium, or passive trading?
tl;dr all of them
Mar 1
•
Eric Falkenstein
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AMM LP Unprofitability: irrationality, volatility premium, or passive trading?
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February 2024
Hedging Negative Convexity
Automated market makers (AMMs) invariably present their Liquidity Providers (LPs) with convexity costs. Hedging does not eliminate or even reduce these…
Feb 27
•
Eric Falkenstein
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Hedging Negative Convexity
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Academic CLOB Model
Perfection the enemy of the good
Feb 21
•
Eric Falkenstein
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Academic CLOB Model
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Hyperliquid's CLOB
The latest horrid DEX simulacrum is Hyperlink, a perp CLOB emphasizing shit coins. It runs on its own dapp-specific L1 using a version of Tendermint…
Feb 20
•
Eric Falkenstein
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Hyperliquid's CLOB
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Budish's Plan to Replace CLOBs
Are latency races a soluble nuisance?
Feb 14
•
Eric Falkenstein
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Budish's Plan to Replace CLOBs
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Uniswap V2 Made Money. What Happened?
I was surprised to see a tweet by @AnthonyLeeZhang that referenced a short paper showing liquidity providers (LPs) making money on Uniswap's ETH-USDC…
Feb 8
•
Eric Falkenstein
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Uniswap V2 Made Money. What Happened?
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January 2024
Perp Funding Rates Don't Do What They Purport
The standard funding rate is an anachronism
Jan 31
•
Eric Falkenstein
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Perp Funding Rates Don't Do What They Purport
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