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

• المؤلف الرئيسي: Peng, Jiajun
• مؤلفون آخرون: Nicolas Privault
• التنسيق: Final Year Project
• اللغة: English
• منشور في: Nanyang Technological University 2024
• الموضوعات: Mathematical Sciences; Constant function market making; Drifted Brownian motion; First-step analysis; First hitting times
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/175535
• المؤسسة: Nanyang Technological University

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...