Walraswap: a solution to uniform price batch auctions

Paper: arXiv 2310.12255

Authors: Sergio A. Yuhjtman

Abstract

Consider a finite set of trade orders and automated market makers (AMMs) at some state. We propose a solution to the problem of finding an equilibrium price vector to execute all the orders jointly with corresponding optimal AMMs swaps. The solution is based on Brouwer’s fixed-point theorem. We discuss computational aspects relevant for realistic situations in public blockchain activity.

Complexity vs Empirical Score

• Math Complexity: 8.0/10
• Empirical Rigor: 2.5/10
• Quadrant: Lab Rats — theoretically deep, empirically untested

Why this score: The paper introduces a mathematically robust framework utilizing Brouwer’s fixed-point theorem to solve equilibrium price vectors for batch auctions and AMMs. However, it is primarily a theoretical paper with limited empirical validation or real-world backtesting against historical blockchain data.

Research Flowchart

  flowchart TD
    A[Goal: Find equilibrium price vector for joint order & AMM execution] --> B[Inputs: Finite set of trade orders & initial AMM states]
    B --> C[Methodology: Apply Brouwer's Fixed-Point Theorem]
    C --> D[Compute optimal AMM swaps & batch execution prices]
    D --> E[Address computational aspects for public blockchain scaling]
    E --> F[Outcome: Walraswap solution for uniform price batch auctions]