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0xEvan

0xEvan

decentralized bankster
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Past Writings

November 19th, 2022
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Using Topological Data Analysis to Identify Distinct MEV Behavior

November 4th, 2022
Topological data analysis (TDA) is a powerful data analytics technique that uses the underlying topological and geometric structures of data to create non-trivial, meaningful categories. The Mapper algorithm is a TDA tool that transforms data, which lives in a continuous Reeb space, to a simplicial complex, a topological combinatorial graph which lives in a discrete space. TDA started to turn heads when the Mapper algorithm was used to identify a highly treatable cluster of breast cancer patients from a highly dimensional dataset in 2011.
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MEV Arbitrage on Olympus POL

October 6th, 2022
Maximal extractable value (MEV) bots perform atomic arbitrage transactions on DEX-based liquidity pools. Although accounting for less than 1% of total unique addresses,  these bots execute the majority of transactions in Olympus protocol owned liquidity (POL) both in transaction size and trading volume. This handful of bot addresses creates greater capital efficiency by increasing liquidity utilization and contributes most of the POL fees. Atomic arbitrage bots are also more motivated to execute higher valued swaps to allow OHM price to reflect the true market price. This behavior also extends to the OHM-BTRFLY liquidity pair, where MEV bots contribute the majority of trading volume (90%+) and liquidity utilization to the pool.
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TIL #2 - The AMM Design Trilemma

August 31st, 2022
Recently I have been on a quest to understand AMM’s from a historical context (pre-DeFi). This 2013 paper by Othman et al titled “A Practical Liquidity-Sensitive Automated Market Maker” takes an axiomatic approach to unify AMM designs by characterizing AMMs by three properties - path independence, translation invariance, and liquidity sensitivity.
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TIL #1 - Pari-Mutuel Market Design

August 30th, 2022
I read a paper from 2009 by Agrawal et al titled “A Unified Framework for Dynamic Pari-Mutuel Information Market Design” and these are my takeaways:
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Replicating Market Makers and Super Hedging Portfolios

May 27th, 2022
Decentralized exchanges (DEXs) have fueled immense growth and activity on the Ethereum blockchain, trading over 1 trillion USD in volume in 2021. Constant function market makers (CFMM) such as Uniswap are the most widely used DEX designs and offer permissionless ways for users to provide liquidity and trade tokens. CFMMs allow investors to permissionlessly construct short gamma portfolios and provide liquidity for a spot market for these portfolio positions.
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Liquidity Management and Supply Issuance Optimization Model

April 17th, 2022
This paper extends the results of DeFi Liquidity Management via Optimal Control (Tarun, Kshitij, Guillermo, Alex, Victor) by optimizing liquidity management and supply issuance via bonding and staking. The result is increased capital efficiency of bond supply issuance, decreased risk by minimizing price volatility, and sustainable long term supply emissions growth. By implementing this liquidity management model in practice, this will add an additional layer of risk management and capital efficiency to POL (protocol owned liquidity)  assets and increase decentralized exchange volume.
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DeFi Primitive Risk Methodology (DPRM)

April 2nd, 2022
“DeFi Primitive Risk Methodology (DPRM) is an open source risk management library (currently in development) that lets users perform both quantitative and qualitative risk analysis on groups of DeFi primitives using stochastic methods to simulate first and second order effects from any combination of tokenomics designs.”
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Quantitative Modeling on Rebase Tokens (Ohm)

January 13th, 2022
This research was done in an effort to understand what the ideal trading strategy is for tokens with rebase mechanics. The rebase yield is amplified when a protocol is in the early days and has a high rebase rate. The (3,3) vanilla strategy captures 100% of the rebase yield and sets a high benchmark to beat.
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