ciamac moallemi @ciamac Twitter profile

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ciamac moallemi

@ciamac

1 year

1/ New paper “Automated Market Making and Arbitrage Profits in the Presence of Fees” by @jason_of_cs @ciamac @Tim_Roughgarden

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ciamac moallemi

@ciamac

4 months

By popular demand, videos from the Columbia CryptoEconomics Workshop in December have been posted, enjoy!

Columbia CryptoEconomics Workshop 2023

Economics and incentives are a critical part of the design of modern layer-1 blockchain protocols such as Ethereum. For example, scarce resources like blocks...

www.youtube.com

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ciamac moallemi

@ciamac

2 months

I'm thrilled to be working with @danrobinson and the rest of the team at @paradigm !

Dan Robinson

@danrobinson

2 months

Thrilled to have @ciamac join @paradigm as a Research Advisor! @ciamac is a Columbia finance professor and quant who is one of the sharpest and most practical researchers I've met He coauthored the LVR papers, which set the gold standard for influential academic DeFi research

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ciamac moallemi

@ciamac

2 months

New paper alert! We propose a novel AMM design that seeks to address two interrelated questions (1) how should an AMM set the trading fee? (2) How can an AMM mitigate LVR / liquidity provided losses to arbs.

Dan Robinson

@danrobinson

2 months

Introducing the auction-managed AMM! A new AMM design that: ⚖️ Reduces LVR ⚙️ Optimizes swap fees 📈 Smooths LP returns 🌊 Should attract higher liquidity than any fixed-fee AMM New paper with @ciamac ( @paradigm / @Columbia_Biz ) and @AustinAdams10 @saraareynolds ( @Uniswap )

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ciamac moallemi

@ciamac

7 months

Come work with @Tim_Roughgarden and I! Details below 👇🏼

Tim Roughgarden

@Tim_Roughgarden

7 months

. @ciamac and I are looking for a postdoc to work with us @Columbia , details at

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ciamac moallemi

@ciamac

5 months

It's a sad time to be a @Columbia faculty member. Abandoning principles of academic free expression, our administration has decided to double down on censorship and McCarthyism under a pretext of "safety". @NadiaAbuElHaj1 explains:

‘The Eye of the Beholder’ | Nadia Abu El-Haj

On November 10, 2023, Columbia University suspended two student groups that support Palestinian rights: Students for Justice in Palestine (SJP) and Jewish

www.nybooks.com

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ciamac moallemi

@ciamac

5 months

Some thoughts on DEX-CEX MEV and blocktimes .... 1/N

Alex Watts | Permissionless Arc

@ThogardPvP

5 months

Longer block times lead to less CEX/DEX MEV per second but more atomic MEV per second. I’m aware that the profit formulae imply otherwise, but looking at just the math misses the sequential nature of the availability of information. 1/5

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ciamac moallemi

@ciamac

11 months

New version of our paper on the economics of liquidity provision in automated market marking, clearer conceptual presentation along with some empirical results 👇🏼

alz

@alz_zyd_

11 months

So @jason_of_cs , @ciamac , @Tim_Roughgarden and I posted an update to our paper on automated market makers and loss-versus-rebalancing! Here's the abstract and link!

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ciamac moallemi

@ciamac

6 months

New podcast released, wherein I discuss loss-vs-rebalancing (LVR) with Fahad Saleh and Andreas Park ( @financeutm ).

AVALABS x CBER Podcasts

Owl Explains is a growing resource for policymakers, regulators and trade associations, as well as for those working with blockchain technology and tokenization.

www.owlexplains.com

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ciamac moallemi

@ciamac

1 year

Excited to be chatting with @xin__wan and @AustinAdams10 @Uniswap

Uniswap Labs 🦄

@Uniswap

1 year

Diving deeper into data gives us the bigger picture. Tomorrow, our data researchers, @xin__wan & @austinadams10 will sit down with Columbia Professor @ciamac to discuss is work at Columbia, dark pools, impermanent loss, and more 👀

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ciamac moallemi

@ciamac

2 years

Register/apply now for the Columbia Crypto-Economics Workshop on 12/1! Hosted by @Columbia and @ethereum , and organized by @Tim_Roughgarden , @drakefjustin , @barnabemonnot , @dannyryan and myself.

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ciamac moallemi

@ciamac

8 months

New research drop, joint with @DavideCrapis and @Qiaoqiao2001 👇🏽

davidecrapis.eth 🦇🔊

@DavideCrapis

8 months

🚀 Optimal Dynamic Fees for Blockchain Resources: Introducing a new framework for designing dynamic fee mechanisms for multiple network resources. (Codename: Endgame 1559) Joint work with @ciamac and @Qiaoqiao2001 from the DRO division at Columbia GSB. TL;DR & link in 🧵👇

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ciamac moallemi

@ciamac

7 months

Why not show users loss-versus-rebalancing? Fees-LVR accurately estimates (delta-hedged) liquidity provider P&L. It's actually not difficult to account for.

Orca ☀️

@orca_so

7 months

3/ Today, historic price, volume, and token info are scattered across different sources, and it's difficult to account for liquidity depth and divergence loss. That changes today. Inspired by a trading terminal, the Liquidity Terminal places data LPs need at their fingertips.

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ciamac moallemi

@ciamac

1 year

2/ The goal is to understand the impact of fees on arbitrage trading against AMMs, and use this as quantitative guidance to understand how to set fees and how to design AMMs to minimize the MEV extracted by arbs and tradeoffs therein.

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ciamac moallemi

@ciamac

1 year

13/ This is consistent with the observations of many (e.g., @0x94305 @MaxResnick1 ) that faster blocks are an easy way to mitigate DEX MEV, perhaps at the cost of reducing decentralization.

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ciamac moallemi

@ciamac

3 years

800K doses delivered, 337K used, leaves 463K doses remaining. Of these, 253K are needed for dose 2. That leaves 210K remaining. NYC is doing 25K/day of dose 1.That leaves about 8 days of supply. OTOH If they are proactively holding back dose 2, that leaves about 4 days of supply.

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ciamac moallemi

@ciamac

1 year

5/ Under the assumption of Poisson block generation, our first result is to solve for the steady state distribution of the DEX-CEX mispricing, which follows a jump diffusion process. This allows us to quantify the probability of the no-trade region.

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ciamac moallemi

@ciamac

2 years

This is an interesting question! My intuition is that arb profits/LVR in an AMM can be viewed as a (liquidity weighted) continuously sampled realized variance. Some geometric intuition for that below.

Alex Nezlobin

@0x94305

2 years

Let me try to settle the question of block times and profits of CEX-DEX arbitrageurs. Arbs' profits are LOWER but LESS volatile with shorter block times. LPs' losses to arbs thus are also lower but more certain when blocks are produced faster... [1/n]

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ciamac moallemi

@ciamac

8 months

@akbarpour_ It’s because economists have less institutional loyalty and are more willing to entertain outside offers and change universities.

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ciamac moallemi

@ciamac

1 year

6/ We show that, if fees are gamma and mean interblock time is Delta t, the probability that a block contains a trade (the probability of being outside the no trade region) takes a simple form:

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ciamac moallemi

@ciamac

1 year

3/ The starting point is LVR, i.e., how much do DEX LPs lose to DEX-CEX arb in an idealized setting, trading in continuous time (no discrete blocks) and with no trading fees

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ciamac moallemi

@ciamac

15 days

New video from the Digital Finance Seminar Series @Columbia_Biz Albert "Pete" Kyle speaks on "Flow Trading"

Pete Kyle, Professor of Finance at the University of Maryland's...

Albert S. (Pete) Kyle, Charles E. Smith Chair Professor of Finance at the University of Maryland's Robert H. Smith School of Business, on "Flow Trading."Colu...

www.youtube.com

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ciamac moallemi

@ciamac

4 years

@paulg Yes, you are following noise. PredictIt prices didn't even satisfy basic arbitrage relationships. There are too many fees/restrictions and basically no professionals in this market, pure noise trading.

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ciamac moallemi

@ciamac

4 years

@lpachter @lexfridman And how can he interview Joscha Bach @Plinz with no mention or discussion of his long term funding and support from pedophile Jeffrey Epstein?

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ciamac moallemi

@ciamac

1 year

4/ What happens when we incorporate discrete block generation and trading fees? Both are frictions that impact arbitrage trade. Fees create a “no-trade” region, where although the DEX and CEX prices differ, the mispricing does not exceed the fee and hence arbs don’t trade.

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ciamac moallemi

@ciamac

1 year

. @tarunchitra @alexhevans @GuilleAngeris @0x94305 @ConorMcMenamin9 @MaxResnick1 @0xEzon @rithvikra0 @theshah39 @xin__wan @AustinAdams10 @danrobinson @EricForgy @DeFi_Cheetah @guil_lambert @_Dave__White_ @MartinTassy @_charlienoyes

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ciamac moallemi

@ciamac

7 months

Apply now to attend, or submit a proposal for a talk

Tim Roughgarden

@Tim_Roughgarden

7 months

The return of CCE, on December 6/7 (co-organized with @DavideCrapis @drakefjustin @ciamac @barnabemonnot @mikeneuder @dannyryan ):

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ciamac moallemi

@ciamac

7 months

@MarketUrbanism Tourists are a big problem in NYC, IMO. They impose congestion and other externalities. Maybe fewer tourists would be better, the city should optimize for it's residents.

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ciamac moallemi

@ciamac

1 year

@rithvikra0 @theshah39 18/ h/t to @0x94305 , who has worked on similar results

Alex Nezlobin

@0x94305

1 year

1/ I promised a while ago a thread on how the losses of Uniswap LPs to arbs depend on fees, volatility and block times. But then got distracted - first with markouts, then Curve stablecoin, then FBAs, and then a Twitter space on AMMs. Time to return to the topic eternal...

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ciamac moallemi

@ciamac

1 year

17/ One way to think about the choice of fee is through the framing of @rithvikra0 and @theshah39 : fees create a tradeoff between losing money to arbs and the accuracy of the pool prices.

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ciamac moallemi

@ciamac

2 years

The second talk from the Digital Finance Seminar Series @Columbia_Biz has been posted. Watch @ObadiaAlex and @0xQuintus from Flashbots talk about "Why You Should Care About Maximal Extractable Value (MEV)":

Why You Should Care About Maximal Extractable Value (MEV)

Monday 10/24Alex Obadia and Quintus Kilbourn, Researcher at FlashBotsWhy You Should Care About Maximal Extractable Value (MEV) - An Introduction to MEV & Som...

www.youtube.com

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ciamac moallemi

@ciamac

1 year

END

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ciamac moallemi

@ciamac

1 year

7/ This probability depends on the fee measured in units of typical return (stdev) over half the interblock time. When fees are high or the interblock time is low, it becomes less likely that arbs can profit on any given block. For example:

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ciamac moallemi

@ciamac

3 years

Apparently too few citations in the work of @timnitGebru is a fireable offense at @GoogleAI . Why was she not allowed to see the review? Why not just admit she was fired? This statement makes no sense because it is PRed+lawyered nonsense.

Jeff Dean (@🏡)

@JeffDean

3 years

I understand the concern over Timnit’s resignation from Google. She’s done a great deal to move the field forward with her research. I wanted to share the email I sent to Google Research and some thoughts on our research process.

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ciamac moallemi

@ciamac

1 year

11/ Note that there is an interesting discontinuity here: when fees are zero, arb profits are basically LVR — they do not vary much with the interblock time.

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ciamac moallemi

@ciamac

1 year

8/ Our main result is to compute arb profits in closed form for general CFMMs.

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ciamac moallemi

@ciamac

1 year

12/ On the other hand, once fees are even slightly positive, arb profits scale with sqrt(interblock time) and shrink to zero with faster blocks.

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ciamac moallemi

@ciamac

1 year

16/ This split is precisely quantified by our model.

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ciamac moallemi

@ciamac

1 year

10/ This approximation is very accurate for typical parameter values.

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ciamac moallemi

@ciamac

1 year

15/ Though LVR was developed assuming no fees and continuous trading, even with fees and discrete blocks, LVR is roughly the profit gross of fees of arbing the pool. Introducing fees simply changes how LVR is split and who earns it (arbs or pool LPs).

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ciamac moallemi

@ciamac

1 year

9/ The formulas simplify when fees are low and blocks are frequent (the “fast block” regime), in this case arb profits are simply LVR scaled down by the probability of trade.

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ciamac moallemi

@ciamac

5 months

@MaxResnick1 @PossibltyResult @0xkydo @colludingnode @aeyakovenko @crainbf @gakonst @evansforbes Yes, having a fee/spread is very important also. If there is no fee, to a first order, arb profits per unit time don't depend on block times.

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ciamac moallemi

@ciamac

4 years

@arindube The fundamental problem is we get one observation every four years. This is not a “big data” domain and fancy ML is unlikely to help.

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ciamac moallemi

@ciamac

1 year

14/ We also observe that, in the fast block regime, (arb profits net of fees) + (fees paid by arbs to the pool) ≈ LVR

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ciamac moallemi

@ciamac

2 years

@guil_lambert @jason_of_cs @Tim_Roughgarden @AnthonyLeeZhang Hi, we work out Uniswap V3 and the general case in the paper. It's just not well sized for a tweet. Appreciate the references though.

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ciamac moallemi

@ciamac

4 years

@benedictevans FB is not under any obligation to sue these specific academics in this instance. They are choosing to do so and the most likely explanation is not that they suddenly care about privacy.

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ciamac moallemi

@ciamac

1 year

@ConorMcMenamin9 @MaxResnick1 @0xEzon @danrobinson @0x94305 Ask and ye shall receive!

ciamac moallemi

@ciamac

1 year

1/ New paper “Automated Market Making and Arbitrage Profits in the Presence of Fees” by @jason_of_cs @ciamac @Tim_Roughgarden

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ciamac moallemi

@ciamac

1 year

Videos for the Spring 2023 edition of @Columbia Digital Finance Seminars Series co-organized by myself and @AgostinoCapponi have been posted! @Columbia_Biz @CUSEAS 👇 1/N

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ciamac moallemi

@ciamac

3 years

My take on GameStop: ’s-interesting-about-the-GameStop-short-squeeze-is-how-amateur-investors-are-organizing $GME

Gamifying investing can have real-life consequences - Marketplace

The GameStop, AMC and other short squeezes on their own aren't necessarily that disruptive, says one business school professor. He said there's a broader trend about the "gamification of finance"...

www.marketplace.org

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ciamac moallemi

@ciamac

7 months

@MarketUrbanism Sure, but many more don't. Policy shouldn't over index on those who work in tourist related industries, they are fewer but louder.

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ciamac moallemi

@ciamac

5 months

with more realistic price processes, but maybe with a different functional dependence. Link to paper with @jason_of_cs and @Tim_Roughgarden END

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ciamac moallemi

@ciamac

6 months

@bertcmiller Indeed a fun challenge! How about this: draw a graph with bundles as vertices, and an edge between bundles that share a transaction. Each "permutation" is an independent set:

Independent set (graph theory) - Wikipedia

en.wikipedia.org

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ciamac moallemi

@ciamac

4 years

@ilblackdragon @AliaksandrH @NEARProtocol Congratulations!!!

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ciamac moallemi

@ciamac

4 years

@matthew_d_green Meeting Owl

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ciamac moallemi

@ciamac

4 months

@namn_grg @thelatestindefi @tarunchitra @theo_diamandis @xin__wan @sarahalle_ We will post videos of the talks after the conference.

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ciamac moallemi

@ciamac

3 years

Great conversation with @bilalhafeez123

Bilal Hafeez

@bilalhafeez123

3 years

I had a great chat with super-smart @ciamac on quant investing, the pros and cons of machine learning and how to think about trading frameworks from time horizons to costs. Oh and we talk bitcoin too :)

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ciamac moallemi

@ciamac

1 year

@ConorMcMenamin9 @0xEzon @danrobinson I'm not sure this answers the question, but if there are no fees, LVR (per unit time) is (to a first order) independent of the block time. If there are fees, LVR scales with sqrt(block time), and faster chains experience less LVR.

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ciamac moallemi

@ciamac

6 months

Check out the whole series, a joint collaboration between @OwlExplains and @CBER_Forum :

Ava Labs 🔺

@AvaLabs

6 months

Crafting the Crypto Economy is hosted by @CBER_Forum members Fahad Saleh, a Professor of Finance at Wake Forest University, and Andreas Park ( @financeutm ), a Professor of Finance at the University of Toronto.

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ciamac moallemi

@ciamac

5 months

However, because there are many arbs competing, each arb cannot afford to wait and will trade on even the smallest profitable discrepancy, because if not others will trade and the opportunity will disappear.

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ciamac moallemi

@ciamac

5 months

The model in our paper is written as if the arb hedges on the CEX after each DEX trade. That said, I suspect it's optimal not to hedge on the CEX per trade at all. Instead, the CEX price is viewed as a "signal" for when to trade on the DEX and how much.

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ciamac moallemi

@ciamac

8 days

Among other policy decisions, the @Columbia administration appears to have illegally evicted students.

David Brand

@DavidFBrand

8 days

Three Columbia students sued the school in housing court saying they were illegally locked out of their dorms after being arrested or issued a citation at pro-Palestine protests Story by @ramseykhalifeh for @Gothamist - @WNYC

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ciamac moallemi

@ciamac

8 months

@akbarpour_ In other words, they are better at gaming the academic job market.

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ciamac moallemi

@ciamac

5 months

@PossibltyResult @0xkydo @colludingnode @aeyakovenko @crainbf @gakonst @evansforbes For a small price change, the arb profit or LP loss scales with the square of the price change. This diagram illustrates it. So in your example, if the price moves the same direction in both intervals, the arb is better off trading only at the end of 12s.

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ciamac moallemi

@ciamac

25 days

Insightful conmentary on the current situation at @Columbia from Prof. Michael Thaddeus (who first exposed @Columbia administration fraud in college rankings).

Bwog

@bwog

26 days

Bwog interviewed Columbia Professor Michael Thaddeus, whistleblower for the Columbia US News Scandal. Thaddeus spoke to us about his opinions regarding recent student protests and arrests. Read more.

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ciamac moallemi

@ciamac

2 years

The first talk from our Digital Finance Seminar Series @Columbia_Biz is up! Watch @ebudish talk about "The Economic Limits of Bitcoin and Anonymous, Decentralized Trust on the Blockchain":

The Economic Limits of Bitcoin and Anonymous, Decentralized Trust on...

Eric Budish, Paul G. McDermott Professor of Economics and Entrepreneurship at the University of Chicago, Booth School of Business on “The Economic Limits of ...

www.youtube.com

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ciamac moallemi

@ciamac

1 year

Video to be posted shortly!

Nikos Papadis

@Nikos_Papadis

1 year

On December 1, I had the opportunity to participate in the @Columbia CryptoEconomics Workshop, co-organized by @ethereum . Great presentations and discussions, congratulations to the speakers and the organizers @ciamac @Tim_Roughgarden @drakefjustin @barnabemonnot @dannyryan !

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ciamac moallemi

@ciamac

1 year

@Columbia @AgostinoCapponi @Columbia_Biz @CUSEAS @DuffieDarrell @StanfordGSB @PrincetonCS Craig Newbold from @ProvenTools on "Proving Solvency: Using cryptography and game theory to enable trustless audit" 4/N

Proving Solvency: Using cryptography and game theory to enable...

Craig Newbold, Co-founder and CTO, Proven Columbia University Digital Finance Seminar Series launched in Fall 2022. The series is jointly organized by the ne...

www.youtube.com

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ciamac moallemi

@ciamac

2 years

@ChainsightLabs @jason_of_cs @Tim_Roughgarden @AnthonyLeeZhang If there is no CEX, the model doesn't apply as directly, but can be useful as a benchmark. e.g., when the B-S model is used to price employee stock options at a private company with illiquid stock. 2/n

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ciamac moallemi

@ciamac

3 years

@argyris @bennpeifert Here's a good summary of the settlement mechanics for equities, in case that's what you are after:

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ciamac moallemi

@ciamac

2 years

@EricForgy @jason_of_cs @Tim_Roughgarden @AnthonyLeeZhang Thank you for the kind words and pointers! We will take a look.

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ciamac moallemi

@ciamac

5 months

2. In our model, we get a specific sqrt(block time) dependence. I think that is tightly intertwined with our assumption of geometric Brownian motion, and does not factor in jumps. I believe the same story (DEX-CEX MEV per unit time decreasing with faster blocks) would hold ...

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ciamac moallemi

@ciamac

4 years

@stevecuozzo @nypost Hudson Yards is a mall that belongs in New Jersey. Terrible food (including the TAK room) and stores you can find in 20 other places in nyc. It is precisely what the city does not need. You have neither good taste nor good sense. I guess that’s why you write for the post.

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ciamac moallemi

@ciamac

3 years

@malleshpai @akbarpour_ Here's a more subtle variation: accept the exploding offer from X. Once you have the offer from Y, go back to X saying "I accepted and I will stick to my word, but I am only coming for a year and then going to Y". I guarantee they will let you out of the commitment.

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ciamac moallemi

@ciamac

5 months

because of the convexity of the arb's payoff of waiting: if you wait longer and the mispricing increases, profits will be quadratic in the mispricing. If the mispricing decreases, the payoff is always bounded below by zero. Hence, there can be positive expected value to wait.

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ciamac moallemi

@ciamac

4 years

@benedictevans Your argument makes no sense. All users consented to having their ads scraped by the extension. No data from other users was scraped. Because it was theoretically possible for the extension to violate other users privacy we should let facebook ads escape scrutiny?

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ciamac moallemi

@ciamac

4 years

@_charlienoyes @paradigm 3/ Since the hedging strategy of (A) is clearly not the same as (B), for any fee you are better in the log-optimal constant proportion strategy than uniswap. What am I missing? Thanks! END

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ciamac moallemi

@ciamac

2 years

@ChainsightLabs @jason_of_cs @Tim_Roughgarden @AnthonyLeeZhang It's also a way to consistently a universe of related instruments (e.g., different CFMM pools or liquidity products on the same or related assets) consistently ("no-arbitrage pricing" in finance parlance). 3/3

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ciamac moallemi

@ciamac

1 year

The third talk from the Digital Finance Seminar Series @Columbia_Biz is up. Aleh Tsyvinski @YaleEconomics speaks on "The Economics of NFTs":

The Economics of Non-Fungible Tokens

Monday 11/7, Aleh Tsyvinski, Arthur M. Okun Professor of Economics, Yale UniversityThe Economics of Non-Fungible TokensColumbia University Digital Finance Se...

www.youtube.com

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ciamac moallemi

@ciamac

4 years

@benedictevans You confirm exactly what I said. The app has theoretical access but actually does not do what you say. Check the source code if you disagree.

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ciamac moallemi

@ciamac

10 months

@0x94305 @MartinTassy @danrobinson Cool intuition, but I think you have to be careful with a continuous time model here, they can be misleading with fees ;)

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ciamac moallemi

@ciamac

10 months

@MartinTassy @0x94305 @danrobinson I think the logic is that when the pools coincide, it will only be one side of the market (eg the price to buy would be the same) so only half the flow would be on the coinciding direction, that flow would subsequently be split 50-50 between the two pools.

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ciamac moallemi

@ciamac

2 years

So, the question of "how does LVR depend on block time" is very similar to "how does discretely sampled realized variance depend on the time discretization"? This is a phenomena that's been studied in the microstructure/volatity literature.

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ciamac moallemi

@ciamac

7 months

@AND__SO You should consider adding returns net of LVR to your simulator. IL is a flawed metric, especially over longer time horizons.

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ciamac moallemi

@ciamac

4 years

@tarunchitra Maybe a failure of all markets then. Perhaps it's just not worth it for sophisticated investors to invest a lot in realtime prediction to detect an election mispricing that can happen at best once every 4 years. Limits of arbitrage, etc.

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ciamac moallemi

@ciamac

1 year

@Columbia @AgostinoCapponi @Columbia_Biz @CUSEAS @DuffieDarrell @StanfordGSB Matt Weinberg from @PrincetonCS on "Mechanism Design in Blockchain Protocols" 3/N

Mechanism Design in Blockchain Protocols

Matt Weinberg Assistant Professor of Computer Science, Princeton University Columbia University Digital Finance Seminar Series launched in Fall 2022. The ser...

www.youtube.com

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ciamac moallemi

@ciamac

5 months

The intuition from our model is that faster blocktimes increase the intensity of competition between arbs. If there was only a single monopolistic arb, and there was DEX-CEX price discrepancy exceeding the fee, that arb might wait for a larger DEX-CEX mispricing ...

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ciamac moallemi

@ciamac

2 years

@SebVentures Note that the rebalancing strategy buys low and sells high. If prices go down and return to the same point, it makes money. If prices go up and return to the same point, it makes money also.

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ciamac moallemi

@ciamac

1 year

@odtorson You can definitely make this approximation:

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ciamac moallemi

@ciamac

4 years

@_charlienoyes @paradigm 1/ Sorry if this is a dumb question, but with respect to "can a uniswap portfolio do better than buy or hold", isn't it the case that under your assumptions:

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ciamac moallemi

@ciamac

2 years

@SebVentures In the absence of fees, LVR = rebalancing P&L - pool P&L In your example, LVR >= 0 even if pool P&L is zero, since rebalancing P&L >= 0 if you return to the same price.

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ciamac moallemi

@ciamac

6 months

@bertcmiller Unfortunately independent set problems (e.g., generating maximal independent sets, counting the number of independent sets, etc.) seem pretty hard in general.

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ciamac moallemi

@ciamac

2 months

@DaftaryNeel @danrobinson 1. If there are external arbs competing, then the manager can outbid them, but will have to pay the value of the external arb to validators. So one way or the other the manager won't get the value of the external arb.

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ciamac moallemi

@ciamac

4 years

@GZuckerman @RobinHoodNYC Their business never made sense. Quant is a winner take all game with enormous increasing returns to scale. It’s not a good domain for “democratization”.

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ciamac moallemi

@ciamac

3 years

@brrrcapital1 @darjohn25 I recall reading that Hwang himself coordinated the call since he was getting so many simultaneous margin calls.

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ciamac moallemi

@ciamac

2 years

@SebVentures Hi! You are right that the tracking error is small, but it does add up. In your example, if you start and end at the same price (and assuming no fees), you are right that the pool makes no money. However, in that scenario, the rebalancing strategy makes money.

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ciamac moallemi

@ciamac

3 years

Very interesting writeup on the “source code” of the BioNTech/Pfizer mRNA vaccine.

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ciamac moallemi

@ciamac

1 year

@fleupold_ @0x94305 @hasufl @CoWSwap Cool idea! How do you prevent the solver from putting in private fake/wash transactions not available to other solvers to artificially inflate surplus?

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ciamac moallemi

@ciamac

11 months

@HashCurveKris @AnthonyLeeZhang @jason_of_cs @Tim_Roughgarden The idea is if you had run the "rebalancing strategy" instead of LPing, you would have made money in that scenario. In fact, in the absence of fees, rebalancing would dominate in any scenario. Appendix B.1 of the paper illustrates this in a binomial tree.

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ciamac moallemi

@ciamac

4 years

@_charlienoyes @paradigm (A) there is a dynamic hedging strategy that replicates the payoff of uniswap with a given fee (B) the optimal dynamic strategy for log utility is to hold a constant fraction in the risky asset (Merton problem)

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ciamac moallemi

@ciamac

2 years

@NicNiedermowwe @AnthonyLeeZhang @jason_of_cs @Tim_Roughgarden Absolutely correct! However, wouldn't it be better if the pool automatically adjusted and the LPs didn't have to do anything? Also current fee levels seem very coarse, and having different fee pool fragments liquidity and the end users now have to worry about routing.

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