论文标题
一项对uniswap和sushiswap中效率低下的市场效率的实证研究
An Empirical Study of Market Inefficiencies in Uniswap and SushiSwap
论文作者
论文摘要
分散的交流正在革新财务。随着他们的受欢迎程度不断增长，一个自然的问题是：这些新市场的效率有多高？ 我们发现，将近30％的分析交易以不利的速度执行。此外，我们观察到，尤其是在2020年的Defi夏季，市场上的价格不准确。但是，uniswap和sushiswap迅速适应了它们的量增加。在观察期间，我们看到市场效率的提高。但是，当加密货币价格高度波动时，Dexes仍然很难跟踪参考市场。在这样的高波动率时期，我们观察到市场的效率降低 - 表现为循环套利机会的患病率增加。
Decentralized exchanges are revolutionizing finance. With their ever-growing increase in popularity, a natural question that begs to be asked is: how efficient are these new markets? We find that nearly 30% of analyzed trades are executed at an unfavorable rate. Additionally, we observe that, especially during the DeFi summer in 2020, price inaccuracies across the market plagued DEXes. Uniswap and SushiSwap, however, quickly adapt to their increased volumes. We see an increase in market efficiency with time during the observation period. Nonetheless, the DEXes still struggle to track the reference market when cryptocurrency prices are highly volatile. During such periods of high volatility, we observe the market becoming less efficient - manifested by an increased prevalence in cyclic arbitrage opportunities.
