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寻找做市商相关的论文,并总结几种比较好的做市商策略

在寻找做市商相关的论文时,可以参考以下几篇重要的研究:

  1. Avellaneda, Stoikov (2008): 这篇论文探讨了在限价订单簿中进行高频交易的策略。其核心思想是通过计算中间价格的波动来进行做市,类似于布林带的策略。买单放在价格较低的位置,卖单放在价格较高的位置,当两者都执行时,头寸保持不变,从而赚取价差。这种策略在波动较小的市场中尤其有效。

  2. Fodra, Labadie (2012): 这篇论文研究了在库存限制和方向性押注下的高频做市策略。其策略包括对买卖价差的对称设置,以及在市场波动中通过网格策略进行做市。

在总结几种比较好的做市商策略时,可以考虑以下几点:

  • 自动化做市商算法(AMM): 例如Uniswap使用的公式x * y = k,其中x和y是流动性池中两种资产的数量,k是固定常数。AMM允许用户以去中心化的方式参与做市。

  • 主动做市商算法(PMM): 例如DODO的PMM算法,通过价格预言机调整定价曲线,提高资金利用率,降低交易滑点和无常损失。

  • 高频做市策略: 通过快速的买卖订单执行来捕捉市场价差,适合在波动较小的市场中使用。

  • 定制化价格池: 例如Uniswap V3、Balancer V2、Curve V2和DODO V2,允许做市商通过价格差异获利。

这些策略各有优劣,选择合适的策略需要根据市场环境、流动性需求和风险承受能力来决定。

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