Quantifying Arbitrage in Automated Market Makers: An Empirical Study of Ethereum ZK Rollups
arxiv(2024)
摘要
Arbitrage can arise from the simultaneous purchase and sale of the same asset
in different markets in order to profit from a difference in its price. This
work systematically reviews arbitrage opportunities between Automated Market
Makers (AMMs) on Ethereum ZK rollups, and Centralised Exchanges (CEXs). First,
we propose a theoretical framework to measure such arbitrage opportunities and
derive a formula for the related Maximal Arbitrage Value (MAV) that accounts
for both price divergences and liquidity available in the trading venues. Then,
we empirically measure the historical MAV available between SyncSwap, an AMM on
zkSync Era, and Binance, and investigate how quickly misalignments in price are
corrected against explicit and implicit market costs. Overall, the cumulative
MAV from July to September 2023 on the USDC-ETH SyncSwap pool amounts to
$104.96k (0.24% of trading volume).
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