AMM Deep Dive 2/3 — Model Optimization

TL;DR

AMM Parameters

Dataset & Assumptions

Assumption Mapping Example

Evaluation Matrix

Deep intial haircut 0.5: directional vs. non-directional integrity (lylv)
0.7 vs. 0.5 haircut: with 3.5% liquidation and non-directional integrity (lylv)
0.7 vs. 0.5 haircut: with 3.5% liquidation and non-directional integrity (hyhv)

Low Yield Low Volatility

High Yield High Volatility

Risk Analysis

Low Yield Low Volatility: Duration Time Series for Selected AMM Parameters
High Yield High Volatility: Duration Time Series for Selected AMM Parameters
Low Yield Low Volatility: DV01% of Total Staking Liquidity
Daily Return% Histogram under different market conditions

Dynamic Decision-Making

Extreme Value Analysis

GLO gets the champion with minimum statistics and maximum p-value

Disclaimer

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