2019/11/08 by Guillermo Angeris, Angeris, Guillermo, Hsien-Tang Kao +7 · 2 voices · 22 citations
Computer Science · Economics, Econometrics and Finance · Mathematics · #cs.MA #math.OC #q-fin.TR
paper · pdf · doi:10.48550/arxiv.1911.03380
arxiv created 2021/02/09 · arxiv updated 2021/02/11
Uniswap -- and other constant product markets -- appear to work well in practice despite their simplicity. In this paper, we give a simple formal analysis of constant product markets and their generalizations, showing that, under some common conditions, these markets must closely track the reference market price. We also show that Uniswap satisfies many other desirable properties and numerically demonstrate, via a large-scale agent-based simulation, that Uniswap is stable under a wide range of market conditions.