{"id":"https://openalex.org/W4308219256","doi":"https://doi.org/10.1145/3560832.3563441","title":"Quantifying Loss in Automated Market Makers","display_name":"Quantifying Loss in Automated Market Makers","publication_year":2022,"publication_date":"2022-11-04","ids":{"openalex":"https://openalex.org/W4308219256","doi":"https://doi.org/10.1145/3560832.3563441"},"language":"en","primary_location":{"id":"doi:10.1145/3560832.3563441","is_oa":false,"landing_page_url":"https://doi.org/10.1145/3560832.3563441","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the 2022 ACM CCS Workshop on Decentralized Finance and Security","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5022902400","display_name":"Jason Milionis","orcid":"https://orcid.org/0000-0002-9460-9559"},"institutions":[{"id":"https://openalex.org/I78577930","display_name":"Columbia University","ror":"https://ror.org/00hj8s172","country_code":"US","type":"education","lineage":["https://openalex.org/I78577930"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Jason Milionis","raw_affiliation_strings":["Columbia University, New York, NY, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Columbia University, New York, NY, USA","institution_ids":["https://openalex.org/I78577930"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5026049014","display_name":"Ciamac C. Moallemi","orcid":"https://orcid.org/0000-0002-4489-9260"},"institutions":[{"id":"https://openalex.org/I78577930","display_name":"Columbia University","ror":"https://ror.org/00hj8s172","country_code":"US","type":"education","lineage":["https://openalex.org/I78577930"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Ciamac C. Moallemi","raw_affiliation_strings":["Columbia University, New York, NY, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Columbia University, New York, NY, USA","institution_ids":["https://openalex.org/I78577930"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5022886322","display_name":"Tim Roughgarden","orcid":"https://orcid.org/0000-0002-7163-8306"},"institutions":[{"id":"https://openalex.org/I78577930","display_name":"Columbia University","ror":"https://ror.org/00hj8s172","country_code":"US","type":"education","lineage":["https://openalex.org/I78577930"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Tim Roughgarden","raw_affiliation_strings":["Columbia University & a16z Crypto, New York, NY, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Columbia University & a16z Crypto, New York, NY, USA","institution_ids":["https://openalex.org/I78577930"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5068567013","display_name":"Anthony Lee Zhang","orcid":"https://orcid.org/0000-0002-0320-0150"},"institutions":[{"id":"https://openalex.org/I40347166","display_name":"University of Chicago","ror":"https://ror.org/024mw5h28","country_code":"US","type":"education","lineage":["https://openalex.org/I40347166"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Anthony Lee Zhang","raw_affiliation_strings":["University of Chicago Booth School of Business, Chicago, IL, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Chicago Booth School of Business, Chicago, IL, USA","institution_ids":["https://openalex.org/I40347166"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5022902400"],"corresponding_institution_ids":["https://openalex.org/I78577930"],"apc_list":null,"apc_paid":null,"fwci":4.4528,"has_fulltext":false,"cited_by_count":22,"citation_normalized_percentile":{"value":0.9502967,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":100},"biblio":{"volume":null,"issue":null,"first_page":"71","last_page":"74"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9976000189781189,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9976000189781189,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":0.9973999857902527,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9908999800682068,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/market-liquidity","display_name":"Market liquidity","score":0.7356195449829102},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.48257437348365784},{"id":"https://openalex.org/keywords/metric","display_name":"Metric (unit)","score":0.4679606854915619},{"id":"https://openalex.org/keywords/offset","display_name":"Offset (computer science)","score":0.4564925730228424},{"id":"https://openalex.org/keywords/market-impact","display_name":"Market impact","score":0.4398248791694641},{"id":"https://openalex.org/keywords/order-book","display_name":"Order book","score":0.4333137273788452},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.4263612627983093},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4251835346221924},{"id":"https://openalex.org/keywords/market-microstructure","display_name":"Market microstructure","score":0.3715618848800659},{"id":"https://openalex.org/keywords/business","display_name":"Business","score":0.35436609387397766},{"id":"https://openalex.org/keywords/microeconomics","display_name":"Microeconomics","score":0.33444273471832275},{"id":"https://openalex.org/keywords/order","display_name":"Order (exchange)","score":0.3129592537879944},{"id":"https://openalex.org/keywords/monetary-economics","display_name":"Monetary economics","score":0.3003728687763214},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.2010146677494049},{"id":"https://openalex.org/keywords/operations-management","display_name":"Operations management","score":0.1379147171974182}],"concepts":[{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.7356195449829102},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.48257437348365784},{"id":"https://openalex.org/C176217482","wikidata":"https://www.wikidata.org/wiki/Q860554","display_name":"Metric (unit)","level":2,"score":0.4679606854915619},{"id":"https://openalex.org/C175291020","wikidata":"https://www.wikidata.org/wiki/Q1156822","display_name":"Offset (computer science)","level":2,"score":0.4564925730228424},{"id":"https://openalex.org/C127288500","wikidata":"https://www.wikidata.org/wiki/Q1241055","display_name":"Market impact","level":4,"score":0.4398248791694641},{"id":"https://openalex.org/C2779309563","wikidata":"https://www.wikidata.org/wiki/Q649206","display_name":"Order book","level":3,"score":0.4333137273788452},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4263612627983093},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4251835346221924},{"id":"https://openalex.org/C51926234","wikidata":"https://www.wikidata.org/wiki/Q3312426","display_name":"Market microstructure","level":3,"score":0.3715618848800659},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.35436609387397766},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.33444273471832275},{"id":"https://openalex.org/C182306322","wikidata":"https://www.wikidata.org/wiki/Q1779371","display_name":"Order (exchange)","level":2,"score":0.3129592537879944},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.3003728687763214},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.2010146677494049},{"id":"https://openalex.org/C21547014","wikidata":"https://www.wikidata.org/wiki/Q1423657","display_name":"Operations management","level":1,"score":0.1379147171974182},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1145/3560832.3563441","is_oa":false,"landing_page_url":"https://doi.org/10.1145/3560832.3563441","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the 2022 ACM CCS Workshop on Decentralized Finance and Security","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G5702735371","display_name":null,"funder_award_id":"CCF-2006737, CNS-221274","funder_id":"https://openalex.org/F4320306076","funder_display_name":"National Science Foundation"}],"funders":[{"id":"https://openalex.org/F4320306076","display_name":"National Science Foundation","ror":"https://ror.org/021nxhr62"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":7,"referenced_works":["https://openalex.org/W1444520626","https://openalex.org/W3124816035","https://openalex.org/W3165904785","https://openalex.org/W3175236651","https://openalex.org/W3210093622","https://openalex.org/W4288079488","https://openalex.org/W4291961646"],"related_works":["https://openalex.org/W3124346233","https://openalex.org/W2266588756","https://openalex.org/W3123519265","https://openalex.org/W2383789177","https://openalex.org/W2294336238","https://openalex.org/W2949405765","https://openalex.org/W3107875619","https://openalex.org/W1986795259","https://openalex.org/W2357122709","https://openalex.org/W4298687658"],"abstract_inverted_index":{"We":[0,127],"consider":[1],"the":[2,17,33,40,100,137,141,146,151,172,188],"market":[3,7,13,48,160],"microstructure":[4],"of":[5,20,35,42,105,140,143,179,190,198],"automated":[6],"making":[8],"and,":[9],"specifically,":[10],"constant":[11],"function":[12],"makers":[14],"(CFMMs),":[15],"from":[16,99],"economic":[18],"perspective":[19],"passive":[21],"liquidity":[22,91,148],"providers":[23],"(LPs).":[24],"In":[25],"a":[26,46,52,77,123,194],"frictionless,":[27],"continuous-time":[28],"Black-Scholes":[29],"setting":[30],"and":[31,51,55,120,131,145,162,175,184],"in":[32,88,132,150,170],"absence":[34],"trading":[36,85],"fees,":[37],"we":[38,59],"decompose":[39],"return":[41],"an":[43],"LP":[44,181],"into":[45],"instantaneous":[47],"risk":[49,66],"component":[50,57],"non-negative,":[53],"non-decreasing,":[54],"predictable":[56],"which":[58],"call":[60],"\"loss-versus-rebalancing''":[61],"(\u0141VR,":[62],"pronounced":[63],"\"lever'').":[64],"Market":[65],"can":[67,185],"be":[68,82,94],"fully":[69],"hedged,":[70],"but":[71],"once":[72],"eliminated,":[73],"\u0141VR":[74,96,129,155,166],"remains":[75],"as":[76,118],"running":[78,125],"cost":[79],"that":[80],"must":[81],"offset":[83],"by":[84],"fee":[86],"income":[87],"order":[89],"for":[90],"provision":[92],"to":[93,159,203],"profitable.":[95],"is":[97,114,121,136,156],"distinct":[98],"more":[101,115,195],"commonly":[102],"known":[103],"metric":[104,113],"\"impermanent":[106],"loss''":[107],"or":[108],"\"divergence":[109],"loss'';":[110],"this":[111,199],"latter":[112],"fundamentally":[116],"described":[117],"\"loss-versus-holding''":[119],"not":[122],"true":[124],"cost.":[126],"express":[128],"simply":[130],"closed-form:":[133],"instantaneously,":[134],"it":[135],"scaled":[138],"product":[139],"variance":[142],"prices":[144],"marginal":[147],"available":[149],"pool.":[152],"As":[153],"such,":[154],"easily":[157],"calibrated":[158],"data":[161],"specific":[163],"CFMM":[164,180,191],"structure.":[165],"provides":[167],"tradeable":[168],"insight":[169],"both":[171],"ex":[173,176],"ante":[174],"post":[177],"assessment":[178],"investment":[182],"decisions,":[183],"also":[186],"inform":[187],"design":[189],"protocols.":[192],"For":[193],"complete":[196],"version":[197],"paper,":[200],"please":[201],"refer":[202],"https://arxiv.org/pdf/2208.06046.pdf.":[204]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":13},{"year":2024,"cited_by_count":3},{"year":2023,"cited_by_count":4},{"year":2022,"cited_by_count":1}],"updated_date":"2026-05-06T08:25:59.206177","created_date":"2025-10-10T00:00:00"}