DeFi Risk Modelling Awesome

This repository is a compilation of DeFi cryptoeconomic research and risk modelling research. The economics of lower level blockchain design, such as block production and MEV, is mostly out of scope of this repository.

Papers

2019

• An analysis of Uniswap markets by Guillermo Angeris, Hsien-Tang Kao, Rei Chiang, Charlie Noyes, Tarun Chitra
• (In)Stability for the Blockchain: Deleveraging Spirals and Stablecoin Attacks by Ariah Klages-Mundt, Andreea Minca

2020

• Competitive equilibria between staking and on-chain lending by Tarun Chitra
• Improved Price Oracles: Constant Function Market Makers by Guillermo Angeris, Tarun Chitra
• When does the tail wag the dog? Curvature and market making by Guillermo Angeris, Alex Evans, Tarun Chitra
• While Stability Lasts: A Stochastic Model of Non-Custodial Stablecoins by Ariah Klages-Mundt, Andreea Minca
• Why Stake When You Can Borrow? by Tarun Chitra, Alex Evans

2021

• A Note on Privacy in Constant Function Market Makers by Guillermo Angeris, Alex Evans, Tarun Chitra
• Constant Function Market Makers: Multi-Asset Trades via Convex Optimization by Guillermo Angeris, Akshay Agrawal, Alex Evans, Tarun Chitra, Stephen Boyd
• Optimal Fees for Geometric Mean Market Makers by Alex Evans, Guillermo Angeris, Tarun Chitra
• Presentation and Publication: Loss and Slippage in Networks of Automated Market Makers by Daniel Engel, Maurice Herlihy
• Replicating Market Makers by Guillermo Angeris, Alex Evans, Tarun Chitra
• Replicating Monotonic Payoffs Without Oracles by Guillermo Angeris, Alex Evans, Tarun Chitra

2022

• A Framework for Single-Item NFT Auction Mechanism Design by Jason Milionis, Dean Hirsch, Andy Arditi, Pranav Garimidi
• A multi-asset, agent-based approach applied to DeFi lending protocol modelling by Amit Chaudhary, Daniele Pinna
• Automated Market Making and Loss-Versus-Rebalancing by Jason Milionis, Ciamac C. Moallemi, Tim Roughgarden, Anthony Lee Zhang
• Dynamic Pricing for Non-fungible Resources: Designing Multidimensional Blockchain Fee Markets by Theo Diamandis, Alex Evans, Tarun Chitra, Guillermo Angeris
• Optimal Routing for Constant Function Market Makers by Guillermo Angeris, Tarun Chitra, Alex Evans, Stephen Boyd
• Toxic Liquidation Spirals by Jakub Warmuz, Amit Chaudhary, Daniele Pinna
• TWAP Oracle Attacks: Easier Done than Said? by Torgin Mackinga, Tejaswi Nadahalli, Roger Wattenhofer

2023

• A Myersonian Framework for Optimal Liquidity Provision in Automated Market Makers by Jason Milionis, Ciamac C. Moallemi, Tim Roughgarden
• An Efficient Algorithm for Optimal Routing Through Constant Function Market Makers by Theo Diamandis, Max Resnick, Tarun Chitra, Guillermo Angeris
• Attacks on Dynamic DeFi Interest Rate Curves by Tarun Chitra, Peteris Erins, Kshitij Kulkarni
• Automated Market Making and Arbitrage Profits in the Presence of Fees by Jason Milionis, Ciamac C. Moallemi, Tim Roughgarden
• Blockchain scaling and liquidity concentration on decentralized exchanges by Basile Caparros, Amit Chaudhary, Olga Klein
• Complexity-Approximation Trade-offs in Exchange Mechanisms: AMMs vs. LOBs by Jason Milionis, Ciamac C. Moallemi, Tim Roughgarden
• Detecting Depegs: Towards Safer Passive Liquidity Provision on Curve Finance - Thomas N. Cintra, Maxwell P. Holloway
• FLAIR: A Metric for Liquidity Provider Competitiveness in Automated Market Makers by Jason Milionis, Xin Wan, Austin Adams
• Fragmentation and optimal liquidity supply on decentralized exchanges by Alfred Lehar, Christine Parlour, Marius Zoican
• Mitigating Decentralized Finance Liquidations with Reversible Call Options by Kaihua Qin, Jens Ernstberger, Liyi Zhou, Philipp Jovanovic, Arthur Gervais
• Oracle Counterpoint: Relationships between On-chain and Off-chain Market Data by Zhimeng Yang, Ariah Klages-Mundt, Lewis Gudgeon
• The Geometry of Constant Function Market Makers by Guillermo Angeris, Tarun Chitra, Theo Diamandis, Alex Evans, Kshitij Kulkarni
• The Pricing And Hedging Of Constant Function Market Makers by Richard Dewey, Craig Newbold
• The Principal–Agent Problem in Liquid Staking by Apostolos Tzinas, Dionysis Zindros
• When Bidders Are DAOs by Maryam Bahrani, Pranav Garimidi, Tim Roughgarden

2024

• Agents' Behavior and Interest Rate Model Optimization in Defi Lending by Charles Bertucci, Louis Bertucci, Mathis Gontier Delaunay, Olivier Gueant, Matthieu Lesbre
• An Analysis of Intent-Based Markets by Tarun Chitra, Kshitij Kulkarni, Mallesh Pai, Theo Diamandis
• am-AMM: An Auction-Managed Automated Market Maker by Austin Adams, Ciamac Moallemi, Sara Reynolds, Dan Robinson
• Don't Let MEV Slip: The Costs of Swapping on the Uniswap Protocol by Austin Adams, Benjamin Y Chan, Sarit Markovich, Xin Wan
• Layer 2 be or Layer not 2 be: Scaling on Uniswap v3 by Austin Adams
• Shill-Proof Auctions by Andrew Komo, Scott Duke Kominers, Tim Roughgarden

Research from Risk Modelling Firms

• Gauntlet
• Chaos Labs
• Warden Finance
• 20squares
• RiskDAO
• Block Analitica
• Xenophon Labs

Tools

• Euler Oracle Manipulation Tool
• Chaos Lab Uniswap v3 Oracle Manipulation Risk
• Agent Buttercup simulation engine
• Curve simulation tool
• Curve stablecoin simulation tool
• DELV agent-based simulation tool
• Uniswap v3 simulator option 1, option 2, option 3

Other Resources