journal contribution
posted on 2024-11-23, 11:36 authored by Imon PalitIn this paper we introduce a new zero-intelligence framework to analyse price formation in a cryptocurrency decentralised exchange (DEX) combining agent-based modelling and real trading history. We shuffle real Uniswap order event data and replay back into the automatic market maker (AMM) matching mechanism. We study how decomposing real markets down from bounded rationality to zero-intelligence markets in a controlled experiment affects liquidity provider’s impermanent loss, trade slippage and price efficiency.
Funding
History
Related Materials
- 1.
- 2.
Journal
Frontiers in BlockchainVolume
5Number
745101Start page
1End page
9Total pages
9Publisher
Frontiers Research FoundationPlace published
SwitzerlandLanguage
EnglishCopyright
Copyright © 2022 Palit. This is an open-access article distributed under the terms of the Creative Commons Attribution License (CC BY). The use, distribution or reproduction in other forums is permitted, provided the original author(s) and the copyright owner(s) are credited and that the original publication in this journal is cited, in accordance with accepted academic practice. No use, distribution or reproduction is permitted which does not comply with these terms.Former Identifier
2006117040Esploro creation date
2022-12-06Open access
- Yes
