Application of drifted Brownian motion in dynamic pricing of constant function market makers

• 主要作者: Peng, Jiajun
• 其他作者: Nicolas Privault
• 格式: Final Year Project
• 語言: English
• 出版: Nanyang Technological University 2024
• 主題: Mathematical Sciences; Constant function market making; Drifted Brownian motion; First-step analysis; First hitting times
• 在線閱讀: https://hdl.handle.net/10356/175535

This paper builds upon the price dynamics models proposed by Joseph Najnudel et al. Within this paper, we propose a reference price following geometric Brownian motion with drift μ. The Constant Function Market Makers (CFMM) price is bounded by γ·(reference price) and (1/γ)·(reference price) for som...