Application of drifted Brownian motion in dynamic pricing of constant function market makers
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...
Saved in:
Main Author: | Peng, Jiajun |
---|---|
Other Authors: | Nicolas Privault |
Format: | Final Year Project |
Language: | English |
Published: |
Nanyang Technological University
2024
|
Subjects: | |
Online Access: | https://hdl.handle.net/10356/175535 |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Institution: | Nanyang Technological University |
Language: | English |
Similar Items
-
Branching Brownian Motions
by: SHEN JINGYUN
Published: (2013) -
SIMULATIONS ON THE BROWNIAN MOTION OF UPCONVERSION NANOPARTICLES IN FLUID
by: HAO XIANGLIN
Published: (2016) -
PARAMETER ESTIMATION ON FRACTIONAL BROWNIAN MOTION
by: LI DAN
Published: (2015) -
The ring of brownian motion: The good, the bad and the simply silly
by: Hanggi, P.
Published: (2014) -
On the optimal forecast with the fractional Brownian motion
by: WANG, Xiaohu, et al.
Published: (2024)