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We consider the impact of trading fees on the profits of arbitrageurs trading against an automated marker marker (AMM) or, equivalently, on the adverse selection incurred by liquidity providers due to arbitrage. We extend the model of Milionis et al. [10] for a general class of two asset AMMs to both introduce fees and discrete Poisson block generation times. In our setting, we are able to compute the expected instantaneous rate of arbitrage profit in closed form.

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Automated Market Making and Arbitrage Profits in the Presence of Fees

  • 会议论文

  • 发表日期：

    2025年

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  • Jason Milionis,
  • Ciamac C. Moallemi,
  • Tim Roughgarden

摘要

We consider the impact of trading fees on the profits of arbitrageurs trading against an automated marker marker (AMM) or, equivalently, on the adverse selection incurred by liquidity providers due to arbitrage. We extend the model of Milionis et al. [10] for a general class of two asset AMMs to both introduce fees and discrete Poisson block generation times. In our setting, we are able to compute the expected instantaneous rate of arbitrage profit in closed form.