DeFi Risk Modelling Awesome
This repository is a compilation of DeFi cryptoeconomic research and risk modelling research. The economics of lower level blockchain design, such as block production, is out of scope of this repository.
Papers
2019
- An analysis of Uniswap markets by Guillermo Angeris, Hsien-Tang Kao, Rei Chiang, Charlie Noyes, Tarun Chitra
2020
- Competitive equilibria between staking and on-chain lending by Tarun Chitra
- Improved Price Oracles: Constant Function Market Makers by Guillermo Angeris, Tarun Chitra
- When does the tail wag the dog? Curvature and market making by Guillermo Angeris, Alex Evans, Tarun Chitra
- Why Stake When You Can Borrow? by Tarun Chitra, Alex Evans
2021
- A Note on Privacy in Constant Function Market Makers by Guillermo Angeris, Alex Evans, Tarun Chitra
- Constant Function Market Makers: Multi-Asset Trades via Convex Optimization by Guillermo Angeris, Akshay Agrawal, Alex Evans, Tarun Chitra, Stephen Boyd
- Optimal Fees for Geometric Mean Market Makers by Alex Evans, Guillermo Angeris, Tarun Chitra
- Replicating Market Makers by Guillermo Angeris, Alex Evans, Tarun Chitra
- Replicating Monotonic Payoffs Without Oracles by Guillermo Angeris, Alex Evans, Tarun Chitra
2022
- A Framework for Single-Item NFT Auction Mechanism Design by Jason Milionis, Dean Hirsch, Andy Arditi, Pranav Garimidi
- A multi-asset, agent-based approach applied to DeFi lending protocol modelling by Amit Chaudhary, Daniele Pinna
- Automated Market Making and Loss-Versus-Rebalancing by Jason Milionis, Ciamac C. Moallemi, Tim Roughgarden, Anthony Lee Zhang
- Dynamic Pricing for Non-fungible Resources: Designing Multidimensional Blockchain Fee Markets by Theo Diamandis, Alex Evans, Tarun Chitra, Guillermo Angeris
- Optimal Routing for Constant Function Market Makers by Guillermo Angeris, Tarun Chitra, Alex Evans, Stephen Boyd
- Toxic Liquidation Spirals by Jakub Warmuz, Amit Chaudhary, Daniele Pinna
- TWAP Oracle Attacks: Easier Done than Said? by Torgin Mackinga, Tejaswi Nadahalli, Roger Wattenhofer
2023
- A Myersonian Framework for Optimal Liquidity Provision in Automated Market Makers by Jason Milionis, Ciamac C. Moallemi, Tim Roughgarden
- An Efficient Algorithm for Optimal Routing Through Constant Function Market Makers by Theo Diamandis, Max Resnick, Tarun Chitra, Guillermo Angeris
- Attacks on Dynamic DeFi Interest Rate Curves by Tarun Chitra, Peteris Erins, Kshitij Kulkarni
- Automated Market Making and Arbitrage Profits in the Presence of Fees by Jason Milionis, Ciamac C. Moallemi, Tim Roughgarden
- Automated Market Making and Loss-Versus-Rebalancing by Jason Milionis, Ciamac C. Moallemi, Tim Roughgarden, Anthony Lee Zhang
- Blockchain scaling and liquidity concentration on decentralized exchanges by Basile Caparros, Amit Chaudhary, Olga Klein
- Complexity-Approximation Trade-offs in Exchange Mechanisms: AMMs vs. LOBs by Jason Milionis, Ciamac C. Moallemi, Tim Roughgarden
- FLAIR: A Metric for Liquidity Provider Competitiveness in Automated Market Makers by Jason Milionis, Xin Wan, Austin Adams
- Liquidity fragmentation on decentralized exchanges by Alfred Lehar, Christine Parlour, and Marius Zoican
- Mitigating Decentralized Finance Liquidations with Reversible Call Options by Kaihua Qin, Jens Ernstberger, Liyi Zhou, Philipp Jovanovic, Arthur Gervais
- The Geometry of Constant Function Market Makers by Guillermo Angeris, Tarun Chitra, Theo Diamandis, Alex Evans, Kshitij Kulkarni
- The Pricing And Hedging Of Constant Function Market Makers by Richard Dewey, Craig Newbold
- The Principal–Agent Problem in Liquid Staking by Apostolos Tzinas, Dionysis Zindros
- When Bidders Are DAOs by Maryam Bahrani, Pranav Garimidi, Tim Roughgarden
Research from Risk Modelling Firms
Tools
- Euler Oracle Manipulation Tool
- Chaos Lab Uniswap v3 Oracle Manipulation Risk
- Agent Buttercup simulation engine
- Curve simulation tool
- DELV agent-based simulation tool
- Uniswap v3 simulator option 1, option 2, option 3