- Date: 1 Dec. (Thu.)
- Place: W.W. 6th-floor, Colloquium Room and on the Web (Zoom)
- Time: 16:30-18:00
- Speaker: Ju Yi Yen (University of Cincinnatti)
- Title: Mathematical analysis of automated market makers
- Abstract:
Automated market makers (AMMs) are examples of Decentralized Finance systems. Nowa- days, AMMs are dominated by the Constant Function Market Makers (CFMMs). CFMMs pool liquidity from its takers and providers, and set the relative prices of the two assets within the pool by a mathemat- ical formula. The relative price is determined by the reserves of the two assets in the pool. Notice that the assets in the liquidity pool are risky assets, their performances are impacted by the market risk. In this talk, we describe the stochastic process used for modeling the relation between the pool price and the corresponding market price for assets traded via CFMMs, and present limit theorems of this stochastic process. Our results are deduced from properties of the Brownian motion and its local time process.
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