Published inCarbonDeFi·Aug 11No sandwiches allowed — how to prevent MEV attacks on AMMsThis is a follow on post of my initial post on how Carbon (and the big virtual fees inherent in a Carbon’y position) make sandwich style MEV attacks impossible, and Mark’s subsequent posts that quantified this, and looked at what those formulas imply. …Amm5 min readAmm5 min read
Published inCarbonDeFi·Jul 31Carbon — the MEV sandwich is toastNote: my colleague Mark has taken this topic much further and doing the hard work. …Carbon9 min readCarbon9 min read
Published inCarbonDeFi·Mar 21Using Convex Optimization for Optimal Routing and Arbitrage in CarbonCarbon, routing, arbitrage and convex optimization Carbon as a protocol is unique for two reasons: firstly it has uni-directional trading curves, ie curves that are either for buying or for selling, but in order to do both one has to use two linked curves. …Uniswap V310 min readUniswap V310 min read
Published inCarbonDeFi·Feb 2Introducing the Carbon SimulatorCarbon Simulator on simulator.carbondefi.xyz After the Carbon Simulator library has been live on PyPi for a while now, we are glad that we can now announce that we have published it in an easily usable format, as Jupyter Notebook directly in your browser, no installation needed. Introduction to Carbon Carbon has been described…Decentralized Finance8 min readDecentralized Finance8 min read
Dec 21, 2022AMM Gamma, options, and optimal feesNote: the associated Jupyter notebook is on Github and on Binder. This article is part 3 of a series of articles that look at the relationship between AMMs and options, especially via the respective Gammas, and what this means for fees. Part 1 looking at a zero-fee environment is here…Amm10 min readAmm10 min read
Dec 20, 2022Why AMM Gamma is not so different from derivatives Gamma after all; or is it? (after-fees edition)Note: the associated Jupyter notebook is on Github and on Binder. No fees (recap part 1) In the previous post, I have shown that — for fee levels of zero — the AMM profile looks very different from a residual profile after Delta hedging: whilst the latter is in first order quadratic (because the hedge…Amm4 min readAmm4 min read
Dec 18, 2022Why AMM Gamma is different from derivatives GammaNote: the associated Jupyter notebook is on Github and on Binder. My last few posts were inspired by the AMM Triangle, and I was discussing the relationship between Divergence Loss (formerly known as Impermanent Loss) and Loss versus Rebalancing. The key thread connecting all of those is the relationship between…Amm5 min readAmm5 min read
Published inBancor·Dec 17, 2022What we all got wrong about calculating Impermanent LossI have recently written about Impermanent Loss (“IL”) and how it is essentially the same thing as Loss Versus Rebalancing (“LVR”) and in the course of discussing it (thanks Alex) I realized that we defined IL badly. I will here redraw the arguments made in this post in a more…Il6 min readIl6 min read
Dec 16, 2022One more thing on LVR and Impermanent LossYesterday I’ve posted an article showing that LVR and IL are essentially the same thing, at least in a Black Scholes world. Alex (@0x94305) made a good point which was “If the path starts at price p at time zero and returns to it at time 1, what is the…Lvr3 min readLvr3 min read
Dec 15, 2022Why Loss Versus Rebalancing (LVR) and Impermanent Loss (IL) are essentially the samePLEASE ALSO SEE THIS POST FOR AN IMPORTANT AMENDMENT I recently wrote about the AMM Triangle that establishes a relationship between what I’ve call Gamma Income, Fee Income, and Option Profile. In this post I want to related those items to well-known measures in the AMM space, notably Impermanent Loss…Lvr4 min readLvr4 min read
