An arbitrage driven price dynamics of Automated Market Makers in the presence of fees

Joseph Najnudel, Shen-Ning Tung, Kazutoshi Yamazaki and Ju-Yi Yen

Papers from arXiv.org

Abstract: We present a model for price dynamics in the Automated Market Makers (AMM) setting. Within this framework, we propose a reference market price following a geometric Brownian motion. The AMM price is constrained by upper and lower bounds, determined by constant multiplications of the reference price. Through the utilization of local times and excursion-theoretic approaches, we derive several analytical results, including its time-changed representation and limiting behavior.

Date: 2024-01
New Economics Papers: this item is included in nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://arxiv.org/pdf/2401.01526 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2401.01526

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators (help@arxiv.org).