Uniswap中的临时丢失v3
Impermanent Loss in Uniswap v3
摘要：
AMM是部署在区块链上的自治智能合约，它在该链上的不同资产之间建立市场。在本文中，我们正在研究一个特定类别的AMM称为常数功能做市商的交易概况，忽略费用，是由他们的债券曲线。这类AMM遭受通常被称为临时损失的损失，我们之前已经确定为相关自融资交易策略的Gamma成分，这是LP提供商针对潜在费用收入下注的风险。最近的Uniswap v3版本推广了杠杆流动性供给的概念--其中提供流动性的交易范围被缩小，并通过消除未使用的抵押品实现更高程度的资本效率。这种杠杆增加了所赚取的费用，但也增加了所承担的风险，即IL。Uniswap v3的费用水平已广为宣传，因此在本文中，我们将重点关注IL的计算。我们发现，对于我们分析的17个池，覆盖了TVL的43%，并根据规模，复合令牌和数据可用性进行选择，自成立以来到截止日期的总费用为1.993亿美元。我们还发现，在此期间，LP遭受的总IL为2.601亿美元，这意味着如果他们只是HODLd，这些LP的总收入将增加6080万美元。
英文摘要：
AMMs are autonomous smart contracts deployed on a blockchain that make markets between different assets that live on that chain. In this paper we are examining a specific class of AMMs called Constant Function Market Makers whose trading profile, ignoring fees, is determined by their bonding curve. This class of AMM suffers from what is commonly referred to as Impermanent Loss, which we have previously identified as the Gamma component of the associated self-financing trading strategy and which is the risk that LP providers wager against potential fee earnings. The recent Uniswap v3 release has popularized the concept of leveraged liquidity provision - wherein the trading range in which liquidity is provided is reduced and achieves a higher degree of capital efficiency through elimination of unused collateral. This leverage increases the fees earned, but it also increases the risk taken, ie the IL. Fee levels on Uniswap v3 are well publicized so, in this paper, we focus on calculating the IL. We found that for the 17 pools we analyzed, covering 43% of TVL and chosen by size, composite tokens and data availability, total fees earned since inception until the cut-off date was $199.3m. We also found that the total IL suffered by LPs during this period was USD 260.1m, meaning that in aggregate those LPs would have been better off by USD 60.8m had they simply HODLd.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
