成为 Uniswap 的 LP 到底是亏还是赚?

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成为 Uniswap 的 LP 到底是亏还是赚?

成为 Uniswap 的 LP 到底是亏还是赚?

ZHEISHIYIPIANYANJIUZAIHEZHONGQINGKUANGXIACHENGWEI Uniswap SHANGMOUJIAOYIDUIDE LP SHIYOULIKETUDEZHUANGTAIDEWENZHANG。

WENTIYOUDIANAOKOU,DAGEBIFANG,NIYOU 3 GEYITAIFANG,TONGSHIYEYONGYOUDENGJIAZHIDE USDT,NEIMESHIJIANGZHEIBIZIJINJIUZHEIMEFANGZAIQIANBAOLIMIANYOUGENGDUODESHOUYI,HAISHITOURUDAO Uniswap SHANGDE ETH JIAOYICHIZHONGZHUANQUGENGDUODEGUDINGSHOUYI?

BENWENZUOLEHENDUODESHUXUETUIDAO,DANSHIJIELUNSHIJIANDANDE:

  • 如果波动性带来的损失超过其平均回报的 200%,Uniswap 的再平衡将不能消除足够的波动性影响,这种情况最好还是持有现金。
  • 如果波动性带来的损失低于其平均回报的 66%,那么通过 Uniswap 进行再平衡来抵消波动性影响的代价将是不值得的,此时最好只是持有资产。
  • 在此范围内,成为 Uniswap 的 LP 可以创造收益。

BODONGXINGSUNSHISHIJINRONGSHUXUESHUYU,MIAOSHUDESHIDAETOUZISUNSHIFUHEHUIBAO。YIXIASHIGAISHUYUDEFAMINGZHEMAKE·SIPICINAREERDEJIESHI:

JIJINDETOUZIZUHESUNSHIHUIPOHUAIZHANGQIDEFUHENIANZENGZHANGLV(CAGR)。CONGDIDEDUODEQIDIANHUIFUXUYAOHENZHANGSHIJIAN:SUNSHI 50%,NIXUYAOZUODAO 100%CAINENGHUIFUDAOYUANLAIDEZHUANGTAI。ZAIZHEIZHONGQINGKUANGXIA,WOCHENGZHEIZHONGCHENGBENJIANGTOUZIZUHEDE+ 25%DEPINGJUNSUANSHUHUIBAOZHUANHUAWEILING CAGR (YINCISHITOUZIZUHEDELIRUNWEILING)CHENGWEI“BODONGXINGSUNSHI”:ZHEISHIYIZHONGYINXINGDE,QIPIANXINGDEFEIYONG,TOUZIZHEYINWEISHICHANGBODONGDEFUMIANYINGXIANGERXUYAOEWAIFUCHUDECHENGBEN。

成为 Uniswap 的 LP 到底是亏还是赚?

Uniswap LP“BEIPO”ZHIFU

1 问题

10 YUE 14 RI,Charlie Noyes ZAI Twitter SHANGFABULEYIGETAHE Dan Robinson YIZHIZAIBIANLUNDEWENTI:DUIYURENHE Uniswap DEJIAOYIDUI,ZUIJIAFEIYONGSHIDUOSHAO?ZHEIZHONGZUIJIAFEIYONGNENGFOUCHAOGUOWEIZHONGXINPINGHENGDETOUZIZUHESHIXIAN“WUZANSHIXINGKUISUN”SHENZHISHICHAOYUQIDEZENGZHANG?

1.1 基础规则

ZIDONGHUADEZUOSHISHANG AMM SHIYIZHONGQUZHONGXINHUADEJIAOYIJIZHI,KEYIRANGYONGHUZAIJIAOYIXIANG USDC、ETH DENGDELIANSHANGZICHAN。

Uniswap SHIYITAIFANGSHANGZUISHOUHUANYINGDE AMM。XIANGDADUOSHU AMM YIYANG,Uniswap TONGGUOCHIYOULIANGZHONGZICHANDECHUBEILAISHIXIANJIAOYIDUIZHIJIANDEDUIHUAN。BINGCHUBEILIANGQUEDINGJIAOYIJIAGE,SHIJIAGEYUDAPANBAOCHIYIZHI。

WEI“ZIJINCHI”TIGONGLIUDONGXINGDERENCHENGWEI“LP”,LP WEIQITAYONGHUTIGONGLELIUDONGZICHANYIJINXINGJIAOYI。LP XUYAOTONGSHIZHURULIANGZHONGZICHAN,CHENGDANLEJIAOYIFENGXIANYIHUANQUYIBUFEN Uniswap DESHOUYI。

1.2 问题设定

WENTIZAIYU,ZIJINCHISHIZAIZIJINHELINGYIZHONGJIAGEHUISUIJIBODONGDEZICHANZHIJIANTIGONGLIUDONGXING。GENGCANKUDEJIASHESHI,SUOYOUDEJIAOYIJIHUDOUSHITAOLIJIAOYI—ZHIYOUDANG AMM DEJIAGECHAOCHUSHICHANGSHUIPINGSHICAIHUIFASHENG。

HUANJUHUASHUO,MEIBIJIAOYIDOUHUIDAOZHIZIJINCHIZHONGDEZIJINKUISUN。

1.3 一般情况

ZHAYIKAN,ZHEIZHONGQINGKUANGHUICHENGWEI Uniswap DE LP DEDAIJIAGAOANGDECUOWU。

YINWEIZUOSHISHANGYAOQIUDEMAIRUJIADIYUMAICHUJIA,SUOYIDANGZICHANJIAGEBUDONGSHI,ZUOSHISHANGZHIJIEHUOLI,TAMENDEDAODEMAIRUHEMAICHULIANGDAZHIPINGHENG。ZHEIXIEJIAOYITONGCHANGBEICHENGWEI“BUZHIQING”JIAOYI,YINWEITAMENYUDUANQIJIAGEBIANDONGMEIYOUGUANLIAN。

LINGYIFANGMIAN,ZUOSHISHANGZAIJIAGEXIADIEZHIQIANMAIRU,HUOZAISHANGZHANGZHIQIANMAICHU,DOUHUIKUISUN。YINCI,ZUOSHISHANGZUIDANXINDEJIAOYIDUISHOUZHIYIJIUSHITAOLIZHE,TAOLIZHEZHIYOUZAIJIAGEFASHENGBIANHUASHICAIJINXINGJIAOYI。TAOLIZHEDEMEIBIJIAOYIDUIQILAISHUODOUSHICHUNLIRUN,DUIYUZUOSHISHANGLAISHUOZECHUNKUISUN。

YOUYU Uniswap ZHONGMEIYOUBUZHIQINGDEJIAOYI(SHIJISHANGMEIBIJIAOYIDOUSHITAOLIJIAOYI),YINCI LP XIANRANHUISUNSHICANZHONG。

SHENZHIKEYIHUAIYI,DUIYUYIXIEQIANZAIDEJIAGEBODONG,ZUOWEI Uniswap DE LP ZAIMEIYIBIJIAOYIZHONGDOUHUIBEITAOLAO。

2 解决方案

RUGUOYIXIANGZICHANXIANGDUIYUQIPINGJUNHUIBAOLVDEBODONGXINGZUGOUGAO,NEIMESUIZHESHIJIANDETUIYI,Uniswap SHANGDE LP JIANGBI HODLer SHOUYIGENGHAO,JISHIJINCHANGDEZHIYOUTAOLIJIAOYI。

ZHEISHIYOUYUYIZHONGCHENGWEI“BODONGXINGSHOUYI”DEXIANXIANGZAOCHENGDE:ZAIMOUXIETIAOJIANXIA,TONGGUOZHOUQIXINGDIDUILIANGZHONGZICHANJINXINGZAIPINGHENG,TAMENDEBIAOXIANYOUKENENGCHAOGUORENHEJINGTAITOUZIZUHE。ZAIZHEIZHONGQINGKUANGXIA,“ZAIPINGHENG”SHIZHITONGGUOJIAOYISHIMEIXIANGZICHANZHONGCHIYOUDEBILIFANHUIDAOGUDINGDE 50/50。

YINCI,DANGTAMENBEITAOLISHI,LP HUIXIANGSHICHANGZHIFUYIBIFEIYONG,WEITAMENZHONGXINPINGHENGTOUZIZUHE。ZAIZHEIGETESHUDESHUZISHEZHIZHONG,ZHEIZHONGZAIPINGHENGSHIYOUYIDE,KEYIXIWANGJINKENENGDUODIZHEIYANGZUO。ZHEIYIWEIZHE LP YINGJIANGQIFEIYONG(JUEDINGFASHENGZAIPINGHENGDEJIAGECHANGKOU)SHEZHIWEIJINKENENGDIERBUWEILING。

ZHEIDUIYU Uniswap LAISHUOSHIGEHAOXIAOXI,YINWEIZHEIYIWEIZHEJISHIZAITAOLIJIAOYIZHANZHUDAODEQINGKUANGXIA,DIFEIYONGRENGRANSHIYOUYIYIDE,ZHEISHI Uniswap ZAILIANSHANGDINGDANBUDUANZENGJIABINGKAISHITIGONGGENGXIAODEJIACHASHIBAOCHIJINGZHENGLI。

YEJIUSHISHUO,ZHIDEQIANGDIAODESHI,ZHEIXIEJIEGUOSHIYONGYUFEICHANGTESHUDECHENGSHIHUASHUZISHEZHI,QIZHONGSHEJIDEJIASHEYU Black-Scholes QIQUANDINGJIAMOXINGDEJIASHEFEICHANGXIANGSI。

2.1 比较标准

WOMENTONGGUOBIJIAOBUTONGCELVEDE“JIANJINCAIFUZENGZHANGLV”LAIPINGGUTAMEN,ZHEIXIE“JIANJINCAIFUZENGZHANGLV”HENGLIANGLETAMENZAIHENZHANGYIDUANSHIJIANNEIZENGZHI(HUOBIANZHI)DESUDU。

WOMENJIANGSUOYOUCELVEYU“FEIZAIPINGHENGTOUZIZUHE”JINXINGBIJIAO,“FEIZAIPINGHENGTOUZIZUHE”YIBANSHIXIANJINXINGSHI,YIBANSHICHIYOUFENGXIANZICHANXINGSHI,BINGBAOCHIBUBIAN。ZHEIYIWEIZHE,ZAIZUIHUAIDEQINGKUANGXIA,DANGFENGXIANZICHANSANGSHIQIQUANBUJIAZHISHI,“FEIZAIPINGHENGZICHANZUHE”JIANGJIHUQUANBUYOUXIANJINZUCHENG,CONGZHANGYUANLAIKANQIZENGZHANGLVWEILING。LINGYIFANGMIAN,RUGUOFENGXIANZICHANCHENGZHISHUZENGZHANG,TAJIANGHENKUAIZAI“FEIZAIPINGHENGTOUZIZUHE”ZHONGZHANJUZHUDAODIWEI,YINCIQIZENGZHANGLVYUFENGXIANZICHANXIANGTONG。

ZHIDEZHUYIDESHI,LIANGZHONGZICHANKEYIGONGXIANGXIANGTONGDE“JIANJINCAIFUZENGZHANGLV”,DANBIAOXIANDECHAYIYEHENDA。LIRU,RUGUOFENGXIANZICHANDEZENGZHANGLVWEILING,NEIMEXIANGYOULINGSHOUXUFEIDE Uniswap JIAZHIJIANGSHIZHONGDIYU“FEIZAIPINGHENGTOUZIZUHE”,DANYOUYUYUQILIANGZHEDOUBUHUISUIZHESHIJIANFUHEZENGZHANGHUOKUISUN,LIANGZHEDECAIFUZENGZHANGLVDOUJIANGWEILING。

2.2 波动阻力

成为 Uniswap 的 LP 到底是亏还是赚?

BODONGZULIDUIYU 50%SUNSHI / 75%SHOUYIDEZUOYONGGUOCHENG

YAOLIJIEZHEIXIEJIEGUO,SHOUXIANYAOLIJIEBODONGZULIDEGAINIAN。JIASHEMEINIANWOMENDEFENGXIANZICHANJIAGEYAOMEXIADIE 75% YAOMESHANGZHANG 50%,LIANGZHEFASHENGDEGAILVXIANGDENG。

ZAIRENHETEDINGNIANFEN,RUGUOWOMENTOUZI $100,“QIWANGZHI”SHI 50/2+175/2=$112.5。RUGUOZHISHIGOUMAIBINGCHIYOU,TOUZIZUHEYUQIJIANGMEINIANZENGJIA 12.5%—ZHEISIHUSHIYIBIBUCUODEJIAOYI。

BUXINGDESHI,ZAIXIANSHISHIJIEZHONG,WOMENDELIRUNQISHIWUFASHIXIAN。RUGUOWOMENGOUMAIBINGCHIYOUCIZUHE,ZUIZHONGJIANGSHIQUYIQIE。ZHEISHIYINWEI,SUIZHESHIJIANDELIUSHI,CAIFUZENGJIAJIANGDAILAIJUDADESUNSHI。

RUGUODIYINIANSUNSHI 50% ,DIERNIANZENGZHI 75% ,DIERNIANQIMOYUEJIANGZHIYOU 50%∗175%=87.5%。TONGYANG,RUGUODIYINIANSHOUYI 75%,DIERNIANKUISUN 50%,DIERNIANQIMOYUEYIJIUSHI 175%∗50%=87.5%。SUIZHESHIJIANTUIYI,DASHUDINGLVXIADENEIBUSHOUYILVJIANGSHINIANHUA -12.5%,JIANGBUKEBIMIANDIPOCHAN。

2.3 怎么回事儿?

NIKENENGHUIJUEDESHANGMIANDEJIELUNHENQIGUAISHENZHISHICUOWUDE。

SHIJISHANG,QIWANGZHISHIYIGELILUNLIANG,YONGYUHENGLIANGWOMENZAI“TONGSHI”FUZHIJIDINGDE“DUBO”XINGWEIHUIFASHENGSHENMEQINGKUANG。DANQISHI,MEICI“DUBO”SHIYICIJINXINGDE,JIEGUOHUISUISHIJIANTUIYIERXINGCHENG。

DAIRUSHUZI,DANGWOMENANZHAO“-50%/+75%”DEYINGLVYIBIANYOUYIBIANDIDUBO,MEICIDOUJIANGZIJINZAITOUZI,QIWANGZHIJIUHUIDAFUZENGZHANG,ZHEIZHUYAOSHIYINWEIZHIYOUHENSHAOJITIAOLUJINGDOUNENGWANQUANZHENGQUE,CONGERDAILAITIANWENSHUZIBANDEHUIBAO。DANSUIZHESHIJIANDETUIYI,ZHEIXIELUJINGZAISUOYOUKENENGLUJINGZHONGSUOZHANDEBILIYUELAIYUEXIAO,ERWOMENSHIJIKANDAOQIZHONGYITIAOLUJINGSHIXIANDEJILVYESUOXIAODAOLING。

2.4 再平衡的价值

MIANDUIBODONGDEYINGXIANG,JISHIQIWANGZHIKENENGSHIZHENGDETOUZIJUECE,YEYOUBIYAOBAOLIUBUFENZIJIN。ZHEIYANG,DANGCHUXIANWENTISHI,KEYIJIANSHAOSUNSHI,CONGZHANGYUANLAIKANHUIDAILAIFUHESHOUYI。

DANGJIAGESHANGZHANGSHI,PINGCANGBUFENTOUCUNYISUODINGLIRUN,YIFANGJIAGEZAICIXIADIE。DANGJIAGEXIADIESHI,YOUSHIYOUBIYAODIJIAMAIRUHUODEYUQIDEWEILAIHUIBAO。

ZAIMOUXIEQINGKUANGXIA,ZUIJIACELVESHIBUDUANDIAOZHENGTOUZIZUHE,YISHIJIANGGUDINGBILIDECAIFUTOUZIDAOMEIGETOUCUNSHANG,LIRUYIBANXIANJIN,YIBANFENGXIANZICHAN。DANZHEIBINGBUZONGSHIZUIJIADEPINGHENG,YIBANLAISHUO,NIXIWANGTOUZIZUHEZHONGDEFENGXIANZICHANYUEDUO,QIHUIBAOLVXIANGDUIYUQIBODONGXINGYUEGAO。

ZHONGXINPINGHENGZHANGQICAIFUZENGZHANGDEHAOCHUKENENGSHIJUDADE,BINGQIEKENENGYIWEIZHEYINGLIYUPOCHANZHIJIANDEQUBIE。JISHIMEIBIZAIPINGHENGJIAOYIDEJIAGEDOUBULI,BINGZAOCHENGSHUNSHISUNSHI,JIEGUOYESHIRUCI。

2.5 炼金术

成为 Uniswap 的 LP 到底是亏还是赚?

FEIYONGCONG 0% QIDEZICHANZENGZHANGLV

ZAISHANGMIANDESHEDINGZHONG,YIZUIXIAODECHENGBENGENGPINFANDEJINXINGZAIPINGHENG,JIANGDUI LP YOUYI。YINCIXUYAOJIANGFEIYONGSHEZHIWEI >0%,YIJIANGDIJIAGEBODONGLVJIUKEYICHUFAZAIPINGHENG。DANSHIDANGFEIYONGQIAHAO =0% SHI,ZAIPINGHENGDESUOYOUHAOCHUJIUHUIXIAOSHI,BINGQIEDAGAILV,LP YAOBICHIYOUFEIZAIPINGHENGZUHESHIDESHOUYIGENGCHA。

Uniswap SHIYONG“CHANGSHUCHENGJI”BUBIAN,ZHEIYIWEIZHEZAIMEIYOUFEIYONGDEQINGKUANGXIA,MEIBIJIAOYIBIXUBAOCHICHUBEIJINYUEDECHENGJIBUBIAN。BENWENBIAOSHIWEI Rα Rβ=C ,JINGUANYIJINGSHUXI Uniswap DEDUZHEKENENGGENGXIGUANYU x*y=k。

DANSHI,SHISHIZHENGMINGZHEIGE C BIXUSHISHULIANGZENGJIADE,CAINENGSHIZAIPINGHENGWEIWOMENTIGONGCAIFUZENGZHANG。ZAIMIANFEIDEQINGKUANGXIA, C HUIBAOCHIBUBIAN,JIUMEIYOUCAIFUZENGZHANGDEYINQING。

ZAI Uniswap HUOQIANWENDESHEZHIZHONGSHISHIDEFEI 0% DEFEIYONG,KEQUEBAO C MEIBIJIAOYIDOUZENGJIA。C SUISHIJIANTUIYIZENGJIA,YIWEIZHECHUBEIJINYUEBUJINZAIZENGZHANG,ERQIEHAIZAIBAOCHIZHEPINGHENG,CONGERTIGONGLESHOUYI。

3 数学

ZONGSHANGSUOSHU,XIANZAIKEYIZHUNQUEDIHUIDA Charlie Noyes TICHUDEWENTI。ZHONGFUSHUOMINGYIXIA,TAMENGUANZHUDESHI Uniswap YILEIDE AMM DECAIFUZENGZHANGLV,ZHEIZHONG AMM SHOUQU 1−γ BAIFENBIDEFEIYONG,ZAIXIANJINHEYIZHONGZICHANZHIJIANXINGCHENGSHICHANG,ERZHEIZHONGZICHANDEJIAGEYIJIHEBULANGYUNDONGDEXINGSHIBIANDONG,DAIYOUCANSHU μ (PIANYI) HE σ (BODONGLV).。

3.1 LP 资产的增长率

成为 Uniswap 的 LP 到底是亏还是赚?

3.2 最优费用与超额收益

当且仅当μ>0 和
成为 Uniswap 的 LP 到底是亏还是赚?时,成为 LP 比持有一半现金和一半代币的非再平衡投资组合有更多收益。

ZAIZHEIZHONGQINGKUANGXIA,LP YINGJIANGTAMENDEFEIYONGSHEZHIWEIJINKENENGDIDEZHIERBUSHI 0%,TAMENDEZICHANZENGZHANGLVJIANGYUEWEI μ/2 - σ²/8。

3.3 解释

YOUYU“JIHEBULANGYUNDONG”MONIFUHEZENGZHANG,YINCITAMENYEHUISHOUDAOBODONGZULIDEYINGXIANG,ZAISHUXUESHANGKEYIJIANG GBM DEZICHANZENGZHANGLVBIAOSHIWEI -σ²/2:

G=μ-σ²/2

这意味着在范围
成为 Uniswap 的 LP 到底是亏还是赚?内,Uniswap 上的 LP 对应于资产增长率为 -μ

ZHEIGEJIEGUOXIANSHI,ZAIPINGHENGNENGGOUDIXIAOBUFENJICHUZICHANBODONGXINGDEYINGXIANG。

LINGYIFANGMIAN,RUGUOMEIYOUBODONGXINGYINGXIANGDEPINGJUNSHOUYIWEIZHENG:

  • 如果波动性带来的损失超过其平均回报的 200%,Uniswap 的再平衡将不能消除足够的波动性影响,这种情况最好还是持有现金。
  • 如果波动性带来的损失低于其平均回报的 66%,那么通过 Uniswap 进行再平衡来抵消波动性影响的代价将是不值得的,此时最好只是持有资产。
  • 在此范围内,成为 Uniswap 的 LP 可以创造收益。
  • 免责声明
    发文时比特币价格:$16778

    当前比特币价格: $18,476.11

    当前比特币涨幅: 3.40%

    免责声明:

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