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Falkenblog
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Economy

Falkenblog - Economy

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Falkenblog

11.05.2024

Falkenblog: More Proof Perp Funding Rates are an Insider Scam

On Tuesday , I argued that the main reason why perps do not dominate spot markets, as in TradFi, is that big players rightfully do not trus...

Falkenblog

08.05.2024

Falkenblog: Will Perps Replace Broken AMMs?

AMMs are not in equilibrium. While LPs for the top Uniswap pools have become profitable, returns within a rounding error of zero. Most peop...

Falkenblog

01.05.2024

Falkenblog: Dark Spirits and Ancient Aliens

Michael Heiser Joe Rogan and Tucker Carlson mentioned demonic spirits in a recent podcast , and my first thought was that they need to look ...

Falkenblog

25.04.2024

Falkenblog: Why Evolution is False

Recently deceased philosopher Daniel Dennett called Darwin's idea of natural selection the best idea anyone ever had, a universal solvent t...

Falkenblog

17.04.2024

Falkenblog: How to Eliminate Impermanent Loss

Generally, markets are efficient in that it isn't easy to make above-average returns day-trading, and most mutual funds underperform market...

Falkenblog

09.04.2024

Falkenblog: Spurious High Frequency Autocorrelation

A curious aspect of high-frequency data is that most come from centralized limit order books (CLOBs) where the bid-ask spread makes the dat...

Falkenblog

15.03.2024

Falkenblog: Moallemi's Auction-Managed AMM

A recent paper by Columbia professor Ciamac Moallemi and three Uniswap affiliates (Adams, Reynolds, and Robinson) presents a mechanism f...

Falkenblog

12.03.2024

Falkenblog: LvR, Impermanent Loss, Theta, and Arbitrage Profits

arbprofit Columbia professor Ciamac Moallemi, Uniswap's Adams, Reynolds, and Dan Robinson released a paper last...

Falkenblog

08.03.2024

Falkenblog: LP Profitability on Long-Tail Pools

The crypto bull market is back, best exemplified by worthless meme coins PEPE and Shiba rising to market caps of $3B and $21B, respectively....

Falkenblog

01.03.2024

Falkenblog: AMM LP Unprofitability: irrationality, volatility premium, or passive trading?

A puzzling aspect of automated market makers (AMMs) is that LPs, in aggregate, lose money, and no one seems to care. Uniswap is the most pr...

Falkenblog

28.02.2024

Falkenblog: Hedging Negative Convexity

Automated market makers (AMMs) invariably present their Liquidity Providers (LPs) with convexity costs. Hedging does not eliminate or even ...

Falkenblog

22.02.2024

Falkenblog: Academic CLOB Model

Last week, I commented on the University of Chicago professor Eric Budish et al. 's hedge fund sniping model but neglected a more significan...

Falkenblog

20.02.2024

Falkenblog: Hyperliquid's CLOB

The latest horrid DEX simulacrum is Hyperlink , a perp CLOB emphasizing shit coins. It runs on its own dapp-specific L1 using a version of ...

Falkenblog

14.02.2024

Falkenblog: Budish's Plan to Replace CLOBs

I don't keep up with the latest economics journals because I've learned that very little of it is fruitful. Like many subjects, the basics a...

Falkenblog

09.02.2024

Falkenblog: Uniswap V2 Made Money. What Happened?

I was surprised to see a tweet by @AnthonyLeeZhang that referenced a short paper showing liquidity providers (LPs) making money on Uniswap'...

Falkenblog

31.03.2023

Falkenblog: FTX's Mythical Origin Story

One of the biggest mysteries about the Sam Bankman-Fried (SBF) debacle has been how he initially vaulted into the wealth stratosphere. The ...

Falkenblog

24.03.2023

Falkenblog: Uniswap LP Profitability Update

Most crypto traders are confused by the Impermanent Loss (IL) generated in Uniswap’s Automated Market Maker (AMM). The question below posed...

Falkenblog

22.03.2023

Falkenblog: Why Trusted Blockchains Cannot Support CLOBs

Today's most efficient and liquid exchanges are central limit order books (CLOBs). It is a computerized system that aggregates and matches ...

Falkenblog

17.03.2023

Falkenblog: Perp Funding Rate Farce Continues

Recent 20% crypto movements have demonstrated again that perp markets continue to gouge their customers. I have written about this several...

Falkenblog

30.11.2022

Falkenblog: Why Slavery in the Bible Doesn't Bother Me

Slavery is often considered a shining example of how "the moral arc of the universe is long, but it bends towards justice." Many people cann...

Falkenblog

30.11.2022

Falkenblog: $1000 Covid Bet with Robin Hanson

"The whole aim of practical politics is to keep the populace alarmed by menacing it with an endless series of hobgoblins, most of them imagi...

Falkenblog

30.11.2022

Falkenblog: Evolutionary Biology of Left-Right

not really true, but funny It's straightforward to explain why a binary set of competing coalitions within a collective is common. Give...

Falkenblog

30.11.2022

Falkenblog: BitMex Funding Rate Arbitrage

Last year I wrote about the peculiar BitMEX ether perpetual swap. The average funding rate paid by long ETH swap holders has been 50% annua...

Falkenblog

30.11.2022

Falkenblog: Decentralized Networks Need Centralized Oracles

I created an open-source contract and web-front-end, OracleSwap , because I want to see crypto move back to its off-the-grid roots. I can...

Falkenblog

30.11.2022

Falkenblog: Convexity Implies Loss for AMMs Regardless of Hedging

When investors are exposed to options, the hope is that somehow the exposure can be hedged without cost. This delusion is especially pernici...

Falkenblog

30.11.2022

Falkenblog: A Simpler Formula for Impermanent Loss

There are many articles on impermanent loss, and most present an explanation where a formula is alluded to in many words but never presented...

Falkenblog

30.11.2022

Falkenblog: My $340k Hack

On Monday, April 4, 2022, a hacker stole $340,000 worth of crypto from my 401k’s Kraken account. Below is a post-mortem in that, hopefully...

Falkenblog

30.11.2022

Falkenblog: A Simple Equity Volatility Estimator

While short-term asset returns are unpredictable, volatility is highly predictable theoretically and practically. The VIX index is a forw...

Falkenblog

30.11.2022

Falkenblog: How to Eliminate Impermanent Loss

Impermanent loss ( IL ) is like an exogenous tax on the suppliers in automated market makers ( AMMs ). While liquidity providers ( LP...

Falkenblog

30.11.2022

Falkenblog: The Real Corporate Bond Puzzle

The conventional academic corporate bond puzzle has been that 'risky' bonds generate too high a return premium (see here ). The most co...

Falkenblog

30.11.2022

Falkenblog: OracleSwap: An Open-Source Derivative Contract Suite

A couple of years ago, I thought it would be good to create a crypto fund. I soon discovered that as a registered US firm my options we...

Falkenblog

30.11.2022

Falkenblog: Dates of US Bear Markets Since 1873

It's useful to test longer-term rules, such as trend-following, across many cycles. To this end, it is useful to have dates for bull and bea...

Falkenblog

30.11.2022

Falkenblog: An Alternative Capital Efficient AMM

Uniswap v3 introduced restricted ranges to address automated market maker capital efficiency. An alternative way to economize capital would...

Falkenblog

30.11.2022

Falkenblog: Factor Momentum vs Factor Valuation

I am not a fan of most equity factors, but if any equity factor exists, it is the value factor. Graham and Dodd, Warren Buffet, Fama and Fr...

Falkenblog

30.11.2022

Falkenblog: Fermi's Intuition on Models

In this video snippet, Freeman Dyson talks about an experience he had with Enrico Fermi in 1951. Dyson was originally a mathematician who...

Falkenblog

30.11.2022

Falkenblog: Cumulative vs. Simultaneous Mutations

Intelligent design is fascinating because when biologists debate probabilities they often disagree by orders of magnitude. For example, Dou...

Falkenblog

30.11.2022

Falkenblog: AMMs are Broken

Yield farming protocols are primarily based on fees generated by providing liquidity on automated Market Makers (AMM) like Uniswap. Typical...

Falkenblog

30.11.2022

Falkenblog: Uniswap LPs are Losing Money

[I'm posting these are Substack at efalken.substack.com , but I thought I post a couple here in case some people don't see those]. It is eas...

Falkenblog

30.11.2022

Falkenblog: One-Month Trading Strategies

About half of Robeco’s Quantitative Investing team recently published a short paper on monthly trading strategies (see Blitz et everybody ...

Falkenblog

30.11.2022

Falkenblog: BitMex's ETHUSD Funding Rate Anomaly

The average funding rate paid by long ETH swap holders has been 63% annualized since it started trading in August 2018, considerably higher...

home›Falkenblog›Economy

Falkenblog - Economy

Falkenblog: More Proof Perp Funding Rates are an Insider Scam

Falkenblog: Will Perps Replace Broken AMMs?

Falkenblog: Dark Spirits and Ancient Aliens

Falkenblog: Why Evolution is False

Falkenblog: How to Eliminate Impermanent Loss

Falkenblog: Spurious High Frequency Autocorrelation

Falkenblog: Moallemi's Auction-Managed AMM

Falkenblog: LvR, Impermanent Loss, Theta, and Arbitrage Profits

Falkenblog: LP Profitability on Long-Tail Pools

Falkenblog: AMM LP Unprofitability: irrationality, volatility premium, or passive trading?

Falkenblog: Hedging Negative Convexity

Falkenblog: Academic CLOB Model

Falkenblog: Hyperliquid's CLOB

Falkenblog: Budish's Plan to Replace CLOBs

Falkenblog: Uniswap V2 Made Money. What Happened?

Falkenblog: FTX's Mythical Origin Story

Falkenblog: Uniswap LP Profitability Update

Falkenblog: Why Trusted Blockchains Cannot Support CLOBs

Falkenblog: Perp Funding Rate Farce Continues

Falkenblog: Why Slavery in the Bible Doesn't Bother Me

Falkenblog: $1000 Covid Bet with Robin Hanson

Falkenblog: Evolutionary Biology of Left-Right

Falkenblog: BitMex Funding Rate Arbitrage

Falkenblog: Decentralized Networks Need Centralized Oracles

Falkenblog: Convexity Implies Loss for AMMs Regardless of Hedging

Falkenblog: A Simpler Formula for Impermanent Loss

Falkenblog: My $340k Hack

Falkenblog: A Simple Equity Volatility Estimator

Falkenblog: How to Eliminate Impermanent Loss

Falkenblog: The Real Corporate Bond Puzzle

Falkenblog: OracleSwap: An Open-Source Derivative Contract Suite

Falkenblog: Dates of US Bear Markets Since 1873

Falkenblog: An Alternative Capital Efficient AMM

Falkenblog: Factor Momentum vs Factor Valuation

Falkenblog: Fermi's Intuition on Models

Falkenblog: Cumulative vs. Simultaneous Mutations

Falkenblog: AMMs are Broken

Falkenblog: Uniswap LPs are Losing Money

Falkenblog: One-Month Trading Strategies

Falkenblog: BitMex's ETHUSD Funding Rate Anomaly

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