Michael Egorov
@newmichwill
Curve and Yield Basis
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加入 November 2013
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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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