Convex optimization for fun and profit.

Last update: Dec 29, 2022

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Overview

CFMM Optimal Routing

This repository contains the code needed to generate the figures used in the paper Optimal Routing for Constant Function Market Makers.

Requirements

The requirements for running these examples are:

NumPy
Matplotlib
Cvxpy (see here for installation)

In order to generate the figures as done in the paper you will also need a working TeX distribution.

How to run

All examples are self-contained and can be run directly, e.g.:

python arbitrage.py

The figures were generated by running

python two-asset.py

but note that this requires a working TeX distribution. (This can be avoided by commenting out any call to latexify in two-asset.py which requires ps as a backend for plotting.)

Owner

Guillermo Angeris

BS/MS/PhD in Electrical Engineering interested in optimization, physics, and puppies; I also sometimes pretend to do research and things.

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