LVR: Loss versus Rebalancing (Tim Roughgarden @ SBC '22) - YouTube

Skip navigation Write With GrammarlyGO | Accelerate Your Writing Process Generative AI grammarly.com Try now Ad 1 of 2 · 1:29 grammarly.com 3 Your go-to solution for getting quality work done quickly. 0:02 / 1:31 LVR: Loss versus Rebalancing (Tim Roughgarden @ SBC '22) Tim Roughgarden Lectures 22.9K subscribers Subscribe 85 Share Download Clip 3.1K views 11 months ago Abstract: We consider the market microstructure of automated market making and, specifically, constant function market makers (CFMMs), from the economic perspective of passive liquidity providers (LPs). In a frictionless, continuous-time Black-Scholes setting and in the absence of trading fees, we decompose the return of an LP into a instantaneous market risk component and a non-negative, non-decreasing, and predictable component which we call “loss-versusrebalancing” (LVR, pronounced “lever”). Market risk can be fully hedged, b … ...more Research Talks Tim Roughgarden Lectures 32 / 34 1 1:04:03 Beyond Worst-Case Analysi

Skip navigation Write With GrammarlyGO | Accelerate Your Writing Process Generative AI grammarly.com Try now Ad 1 of 2 · 1:29 grammarly.com 3 Your go-to solution for getting quality work done quickly. 0:02 / 1:31 LVR: Loss versus Rebalancing (Tim Roughgarden @ SBC '22) Tim Roughgarden Lectures 22.9K subscribers Subscribe 85 Share Download Clip 3.1K views 11 months ago Abstract: We consider the market microstructure of automated market making and, specifically, constant function market makers (CFMMs), from the economic perspective of passive liquidity providers (LPs). In a frictionless, continu