Department of Mathematical Sciences, Ritsumeikan University Web Page

Date: 31 October (Thu)

Place: West Wing, 6th floor, Colloquium Room and on the Web (zoom)

Time: 16:30–18:00

Speaker: Taiho Wang (Baruch College) 

Title: Concentrated Liquidity Provision Market Making

Abstract: 
In this talk, we first review the concentrated liquidity provision amendment to the constant product market making (CPMM), a commonly employed trading protocol populated in automated market making. Unlike the plain CPMM, the feature of concentrated liquidity provision enables liquidity providers (LPs) to specify customized price ranges within which they will provide liquidty for the purpose of maximizing the transaction fee payments collected from the liquidity takers. Should the pool price leave the prespecified price range, transaction fee payments to the LP are suspended until the pool price returns to the price range, if the LP has not withdrawn his liquidity. This new feature introduces a set of new coordinates, the price-liquidity coordinates, under which liquidty is regarded as a function of pool price. This function is referred to as the liqudity profile or the liquidity distribution. We exposit the evolutions of the following quantities: the liquidity profile, the pool reserves, the pool price, as well as payments of transaction fees under continuous liquidity provisions and tradings in this framework. We touch upon the problem of optimal liquidity provision in these circumstances. The talk is based on joint works in progress with Jimmy Risk, Shen-Ning Tung, and Wei-Cheng Wang.