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dc.contributor.authorFukasawa, Masaaki-
dc.contributor.authorMaire, Basile-
dc.contributor.authorWunsch, Marcus-
dc.date.accessioned2023-08-04T08:31:25Z-
dc.date.available2023-08-04T08:31:25Z-
dc.date.issued2023-
dc.identifier.issn1556-5068de_CH
dc.identifier.urihttps://arxiv.org/pdf/2303.11118.pdfde_CH
dc.identifier.urihttps://digitalcollection.zhaw.ch/handle/11475/28378-
dc.description.abstractWe consider Geometric Mean Market Makers – a special type of Decentralized Exchange – with two types of users: liquidity takers and arbitrageurs. Liquidity takers trade at prices that can create arbitrage opportunities, while arbitrageurs align the exchange’s price with the external market price. We show that in Geometric Mean Market Makers charging proportional transaction fees, Impermanent Loss can be super-hedged by a model-free rebalancing strategy. Moreover, we demonstrate that in such a DEX, the exchange rate is of finite variation, so that loss-versus rebalancing (the shortfall of providing liquidity versus the corresponding constant-weights portfolio) vanishes.de_CH
dc.format.extent21de_CH
dc.language.isoende_CH
dc.publisherSSRNde_CH
dc.rightsLicence according to publishing contractde_CH
dc.subjectAutomated market makerde_CH
dc.subjectDecentralized exchangede_CH
dc.subjectDigital currencyde_CH
dc.subjectDivergence lossde_CH
dc.subject.ddc332.6: Investitionde_CH
dc.titleModel-free hedging of impermanent loss in geometric mean market makersde_CH
dc.typeWorking Paper – Gutachten – Studiede_CH
dcterms.typeTextde_CH
zhaw.departementSchool of Management and Lawde_CH
zhaw.organisationalunitInstitut für Wealth & Asset Management (IWA)de_CH
dc.identifier.doi10.2139/ssrn.4397904de_CH
zhaw.funding.euNode_CH
zhaw.originated.zhawYesde_CH
zhaw.author.additionalNode_CH
zhaw.display.portraitYesde_CH
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Fukasawa, M., Maire, B., & Wunsch, M. (2023). Model-free hedging of impermanent loss in geometric mean market makers. SSRN. https://doi.org/10.2139/ssrn.4397904
Fukasawa, M., Maire, B. and Wunsch, M. (2023) Model-free hedging of impermanent loss in geometric mean market makers. SSRN. Available at: https://doi.org/10.2139/ssrn.4397904.
M. Fukasawa, B. Maire, and M. Wunsch, “Model-free hedging of impermanent loss in geometric mean market makers,” SSRN, 2023. doi: 10.2139/ssrn.4397904.
FUKASAWA, Masaaki, Basile MAIRE und Marcus WUNSCH, 2023. Model-free hedging of impermanent loss in geometric mean market makers [online]. SSRN. Verfügbar unter: https://arxiv.org/pdf/2303.11118.pdf
Fukasawa, Masaaki, Basile Maire, and Marcus Wunsch. 2023. “Model-Free Hedging of Impermanent Loss in Geometric Mean Market Makers.” SSRN. https://doi.org/10.2139/ssrn.4397904.
Fukasawa, Masaaki, et al. Model-Free Hedging of Impermanent Loss in Geometric Mean Market Makers. SSRN, 2023, https://doi.org/10.2139/ssrn.4397904.


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