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DeFi-Risk-Modelling-Awesome

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Resources for the budding field of risk modelling and analysis in DeFi

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# 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](https://arxiv.org/abs/1911.03380) by Guillermo Angeris, Hsien-Tang Kao, Rei Chiang, Charlie Noyes, Tarun Chitra
- [(In)Stability for the Blockchain: Deleveraging Spirals and Stablecoin Attacks](https://arxiv.org/abs/1906.02152) by Ariah Klages-Mundt, Andreea Minca

### 2020

- [Competitive equilibria between staking and on-chain lending](https://arxiv.org/abs/2001.00919) by Tarun Chitra
- [Improved Price Oracles: Constant Function Market Makers](https://arxiv.org/abs/2003.10001) by Guillermo Angeris, Tarun Chitra
- [When does the tail wag the dog? Curvature and market making](https://arxiv.org/abs/2012.08040) by Guillermo Angeris, Alex Evans, Tarun Chitra
- [While Stability Lasts: A Stochastic Model of Non-Custodial Stablecoins](https://arxiv.org/abs/2004.01304) by Ariah Klages-Mundt, Andreea Minca
- [Why Stake When You Can Borrow?](https://arxiv.org/abs/2006.11156) by Tarun Chitra, Alex Evans

### 2021

- [A Note on Privacy in Constant Function Market Makers](https://arxiv.org/abs/2103.01193) by Guillermo Angeris, Alex Evans, Tarun Chitra
- [Constant Function Market Makers: Multi-Asset Trades via Convex Optimization](https://arxiv.org/abs/2107.12484) by Guillermo Angeris, Akshay Agrawal, Alex Evans, Tarun Chitra, Stephen Boyd
- [Optimal Fees for Geometric Mean Market Makers](https://arxiv.org/abs/2104.00446) by Alex Evans, Guillermo Angeris, Tarun Chitra
- [Presentation and Publication: Loss and Slippage in Networks of Automated Market Makers](https://arxiv.org/abs/2110.09872) by Daniel Engel, Maurice Herlihy
- [Replicating Market Makers](https://arxiv.org/abs/2103.14769) by Guillermo Angeris, Alex Evans, Tarun Chitra
- [Replicating Monotonic Payoffs Without Oracles](https://arxiv.org/abs/2111.13740) by Guillermo Angeris, Alex Evans, Tarun Chitra

### 2022

- [A Framework for Single-Item NFT Auction Mechanism Design](https://arxiv.org/abs/2209.11293) by Jason Milionis, Dean Hirsch, Andy Arditi, Pranav Garimidi
- [A multi-asset, agent-based approach applied to DeFi lending protocol modelling](https://arxiv.org/abs/2211.08870) by Amit Chaudhary, Daniele Pinna
- [Automated Market Making and Loss-Versus-Rebalancing](https://arxiv.org/abs/2208.06046) by Jason Milionis, Ciamac C. Moallemi, Tim Roughgarden, Anthony Lee Zhang
- [Dynamic Pricing for Non-fungible Resources: Designing Multidimensional Blockchain Fee Markets](https://arxiv.org/abs/2208.07919) by Theo Diamandis, Alex Evans, Tarun Chitra, Guillermo Angeris
- [Optimal Routing for Constant Function Market Makers](https://arxiv.org/abs/2204.05238) by Guillermo Angeris, Tarun Chitra, Alex Evans, Stephen Boyd
- [Toxic Liquidation Spirals](https://arxiv.org/abs/2212.07306) by Jakub Warmuz, Amit Chaudhary, Daniele Pinna
- [TWAP Oracle Attacks: Easier Done than Said?](https://eprint.iacr.org/2022/445) by Torgin Mackinga, Tejaswi Nadahalli, Roger Wattenhofer

### 2023

- [A Myersonian Framework for Optimal Liquidity Provision in Automated Market Makers](https://arxiv.org/abs/2303.00208) by Jason Milionis, Ciamac C. Moallemi, Tim Roughgarden
- [An Efficient Algorithm for Optimal Routing Through Constant Function Market Makers](https://arxiv.org/abs/2302.04938) by Theo Diamandis, Max Resnick, Tarun Chitra, Guillermo Angeris
- [Attacks on Dynamic DeFi Interest Rate Curves](https://arxiv.org/abs/2307.13139) by Tarun Chitra, Peteris Erins, Kshitij Kulkarni
- [Automated Market Making and Arbitrage Profits in the Presence of Fees](https://arxiv.org/abs/2305.14604) by Jason Milionis, Ciamac C. Moallemi, Tim Roughgarden
- [Blockchain scaling and liquidity concentration on decentralized exchanges](https://arxiv.org/abs/2306.17742) by Basile Caparros, Amit Chaudhary, Olga Klein
- [Complexity-Approximation Trade-offs in Exchange Mechanisms: AMMs vs. LOBs](https://arxiv.org/abs/2302.11652) by Jason Milionis, Ciamac C. Moallemi, Tim Roughgarden
- [Detecting Depegs: Towards Safer Passive Liquidity Provision on Curve Finance](https://arxiv.org/abs/2306.10612) - Thomas N. Cintra, Maxwell P. Holloway
- [FLAIR: A Metric for Liquidity Provider Competitiveness in Automated Market Makers](https://arxiv.org/abs/2306.09421) by Jason Milionis, Xin Wan, Austin Adams
- [Fragmentation and optimal liquidity supply on decentralized exchanges](https://arxiv.org/abs/2307.13772) by Alfred Lehar, Christine Parlour, Marius Zoican
- [Mitigating Decentralized Finance Liquidations with Reversible Call Options](https://eprint.iacr.org/2023/254) by Kaihua Qin, Jens Ernstberger, Liyi Zhou, Philipp Jovanovic, Arthur Gervais
- [Oracle Counterpoint: Relationships between On-chain and Off-chain Market Data](https://arxiv.org/abs/2303.16331) by Zhimeng Yang, Ariah Klages-Mundt, Lewis Gudgeon
- [The Geometry of Constant Function Market Makers](https://arxiv.org/abs/2308.08066) by Guillermo Angeris, Tarun Chitra, Theo Diamandis, Alex Evans, Kshitij Kulkarni
- [The Pricing And Hedging Of Constant Function Market Makers](https://arxiv.org/abs/2306.11580) by Richard Dewey, Craig Newbold
- [The Principal–Agent Problem in Liquid Staking](https://eprint.iacr.org/2023/605) by Apostolos Tzinas, Dionysis Zindros
- [When Bidders Are DAOs](https://arxiv.org/abs/2306.17099) by Maryam Bahrani, Pranav Garimidi, Tim Roughgarden

### 2024

- [Agents' Behavior and Interest Rate Model Optimization in Defi Lending](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4802776) by Charles Bertucci, Louis Bertucci, Mathis Gontier Delaunay, Olivier Gueant, Matthieu Lesbre
- [An Analysis of Intent-Based Markets](https://arxiv.org/abs/2403.02525) by Tarun Chitra, Kshitij Kulkarni, Mallesh Pai, Theo Diamandis
- [am-AMM: An Auction-Managed Automated Market Maker](https://arxiv.org/abs/2403.03367) by Austin Adams, Ciamac Moallemi, Sara Reynolds, Dan Robinson
- [Don't Let MEV Slip: The Costs of Swapping on the Uniswap Protocol](https://arxiv.org/abs/2309.13648) by Austin Adams, Benjamin Y Chan, Sarit Markovich, Xin Wan
- [Layer 2 be or Layer not 2 be: Scaling on Uniswap v3](https://arxiv.org/abs/2403.09494) by Austin Adams
- [Shill-Proof Auctions](https://arxiv.org/abs/2404.00475) by Andrew Komo, Scott Duke Kominers, Tim Roughgarden

## Research from Risk Modelling Firms

- [Gauntlet](https://www.gauntlet.xyz/resources)
- [Chaos Labs](https://chaoslabs.xyz/research)
- [Warden Finance](https://warden.ghost.io/)
- [20squares](https://blog.20squares.xyz/)
- [RiskDAO](https://riskdao.org/)
- [Block Analitica](https://medium.com/block-analitica)
- [Xenophon Labs](https://xenophonlabs.com/portfolio.html)

## Tools

- [Euler Oracle Manipulation Tool](https://oracle.euler.finance/)
- [Chaos Lab Uniswap v3 Oracle Manipulation Risk](https://community.chaoslabs.xyz/uniswap/twap)
- [Agent Buttercup simulation engine](https://github.com/Cozy-Finance/agent-buttercup)
- [Curve simulation tool](https://github.com/curveresearch/curvesim)
- [Curve stablecoin simulation tool](https://github.com/xenophonlabs/crvUSDrisk)
- [DELV agent-based simulation tool](https://github.com/delvtech/elf-simulations)
- Uniswap v3 simulator [option 1](https://github.com/Bella-DeFinTech/uniswap-v3-simulator), [option 2](https://github.com/aloelabs/uniswap-simulator), [option 3](https://github.com/DefiLab-xyz/uniswap-v3-simulator)

## Other Resources

DeFi-Risk-Modelling-Awesome

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