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Optimal Bidding Strategy for Maker Auctions

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arxiv 2009.07086 v2 pith:B6SKTI2X submitted 2020-09-15 q-fin.TR q-fin.PM

Michael Darlin , Nikolaos Papadis , Leandros Tassiulas This is my paper · ORCID
classification q-fin.TRq-fin.PM
keywords auctionspricesbiddingoptimalapplicationauctioncostshistorical
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The Maker Protocol is a decentralized finance application that enables collateralized lending. The application uses open-bid, second-price auctions to complete its loan liquidation process. In this paper, we develop a bidding function for these auctions, focusing on the costs incurred to participate in the auctions. We then optimize these costs using parameters from historical auction data, and compare our optimal bidding prices to the historical auction prices. We find that the majority of auctions end at higher prices than our recommended optimal prices, and we propose several theories for these results.

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    An operational model of DeFi lending protocols with proved invariants, strategic front-running theorems, and formalized price and utilization manipulation attacks.

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