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A Tick-by-Tick Solution for Concentrated Liquidity Provisioning

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  • Corinne Powers

Abstract

Automated market makers with concentrated liquidity capabilities are programmable at the tick level. The maximization of earned fees, plus depreciated reserves, is a convex optimization problem whose vector solution gives the best provision of liquidity at each tick under a given set of parameter estimates for swap volume and price volatility. Surprisingly, early results show that concentrating liquidity around the current price is usually not the best strategy.

Suggested Citation

  • Corinne Powers, 2024. "A Tick-by-Tick Solution for Concentrated Liquidity Provisioning," Papers 2405.18728, arXiv.org.
    • Handle: RePEc:arx:papers:2405.18728
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    File URL: http://arxiv.org/pdf/2405.18728
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    References listed on IDEAS

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    1. Guillermo Angeris & Akshay Agrawal & Alex Evans & Tarun Chitra & Stephen Boyd, 2021. "Constant Function Market Makers: Multi-Asset Trades via Convex Optimization," Papers 2107.12484, arXiv.org.
    2. Guillaume Lambert & Jesper Kristensen, 2022. "Panoptic: the perpetual, oracle-free options protocol," Papers 2204.14232, arXiv.org, revised Jun 2023.
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