通过保证金流动性提供高效流动性
Efficient Liquidity Providing via Margin Liquidity
摘要：
限价委托书机制一直是现代金融市场的核心交易机制。在加密货币市场中，集中式交易所也采用这种限价订单簿机制，集中式匹配引擎将交易者动态连接到做市商的订单。最近，去中心化交易所被引入，并在加密货币社区中受到了相当大的关注。去中心化交易所通常采用自动做市商，该做市商通过加密资产池对流动性提供者和交易员之间的交易进行算法仲裁。同时，交易所的流动性是交易者选择交易所时最重要的因素。然而，与集中式交易所相比，流动性提供者在分散式交易所中提供的流动性数量不足。这是因为去中心化交易所的流动性提供者面临着自动做市系统固有的发散损失风险。为此，我们引入了一个新的概念，称为保证金流动性，并利用这一概念提出了一个高利润的保证金流动性提供的立场。然后，我们将这种保证金流动性提供头寸扩展为虚拟保证金流动性提供头寸，以减轻流动性提供者的分歧损失风险，并鼓励他们向池提供更多的流动性。此外，我们还介绍了保证金流动性提供头寸的代表性策略，并使用BTC/ETH市场的历史数据对该策略进行了回测。我们的策略优于简单的持有基线。我们还表明，我们提出的保证金流动性比Uniswap V3中提出的集中流动性的资本效率高8000倍。
英文摘要：
The limit order book mechanism has been the core trading mechanism of the modern financial market. In the cryptocurrency market, centralized exchanges also adopt this limit order book mechanism and a centralized matching engine dynamically connects the traders to the orders of market makers. Recently, decentralized exchanges have been introduced and received considerable attention in the cryptocurrency community. A decentralized exchange typically adopts an automated market maker, which algorithmically arbitrates the trades between liquidity providers and traders through a pool of crypto assets. Meanwhile, the liquidity of the exchange is the most important factor when traders choose an exchange. However, the amount of liquidity provided by the liquidity providers in decentralized exchanges is insufficient when compared to centralized exchanges. This is because the liquidity providers in decentralized exchanges suffer from the risk of divergence loss inherent to the automated market making system. To this end, we introduce a new concept called margin liquidity and leverage this concept to propose a highly profitable margin liquidity-providing position. Then, we extend this margin liquidity-providing position to a virtual margin liquidity-providing position to alleviate the risk of divergence loss for the liquidity providers and encourage them to provide more liquidity to the pool. Furthermore, we introduce a representative strategy for the margin liquidity-providing position and backtest the strategy with historical data from the BTC/ETH market. Our strategy outperforms a simple holding baseline. We also show that our proposed margin liquidity is 8K times more capital efficient than the concentrated liquidity proposed in Uniswap V3.
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。
