Michael Egorov
@newmichwill
Curve and Yield Basis
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Joined November 2013
514 Following 43.1K Followers
Ahhh cool, in dynamic fee LLAMMA code I guessed it to be 1/4 of the price move. Was close: it's 25.38% (whoah, very specific number)
4/10 Main finding: The maximum dislocation value is reached only at a zero fee on arbitrage.
Any positive fee reduces it, and the difference isn't transferred to anyone. It's never created in the first place.
At the fee that maximizes the pool's own revenue, that loss is 25.38%
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