发表机构
Royal Bank of Canada（加拿大皇家银行）
机构由 AI 辅助整理，请以论文原文为准。AI 中文总结
该研究针对链上外汇流动性的资金池设计问题，结合StableSwap机制、Merton跳扩散模型与LVR框架，确定了满足竞争力、盈利性与韧性的资金池规模配置，明确了资本下限与放大系数上限。
AI 中文摘要
部署链上外汇流动性的金融机构面临一个联合设计问题：应投入多少资本，以及如何配置资金池，才能在交易成本上保持竞争力，同时作为流动性提供者实现盈利？StableSwap机制（Egorov，2020）通过放大系数A在常数做市商（CPMM）和常数和做市商（CSMM）之间进行插值（Port和Tiruviluamala，2022），但两种极端模式均不适合机构外汇场景：CPMM资金池需要过多资本且产生高额无常损失；CSMM资金池在挂钩附近资本效率高，但在对抗性资金流下会迅速耗尽。我们采用Merton跳扩散价格过程（Merton，1976）和再平衡损失（LVR）框架（Milionis等，2022），对联合（A，TVL）空间进行映射，以确定满足机构三项要求的配置：滑点有竞争力、回报为正、冲击下具备韧性。最小可行资金池规模近似满足TVL/Q=1000/A；该最小值下的ROC较低（每周期约0.054%），且与A无关；低A资金池（A≤10）在10倍冲击下滑点超过200个基点，高A资金池（A≥500）的储备金流失可达60%，由此确定了资本下限和实用放大系数上限。
英文摘要
Financial institutions deploying on-chain FX liquidity face a joint design problem: how much capital to commit, and how to configure the pool, to remain both competitive on trading costs and profitable as a liquidity provider? The StableSwap mechanism (Egorov, 2020) interpolates between constant-product (CPMM) and constant-sum (CSMM) market makers (Port and Tiruviluamala, 2022) via an amplification factor A, but neither extreme suits institutional FX: CPMM pools require excessive capital and generate high impermanent loss; CSMM pools are capital-efficient near the peg but drain rapidly under adversarial flow. Using a Merton jump-diffusion price process (Merton, 1976) and the loss-versus-rebalancing (LVR) framework (Milionis et al., 2022), we map the joint (A, TVL) space to identify configurations that satisfy all three institutional requirements: competitive slippage, positive return, and shock resilience. Minimum viable pool size scales approximately as TVL/Q = 1000/A; ROC at that minimum is thin (about 0.054% per horizon) and independent of A; low-A pools (A <= 10) suffer slippage exceeding 200 bps under a 10x shock, while high-A pools (A >= 500) suffer reserve drain up to 60%, establishing both a capital floor and a practical amplification ceiling.
