Alex Evans
@alexhevans
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Thrilled to finally announce what we’re up to! Our first $560m venture fund
@baincapcrypto
will invest in open protocols as well as the companies that facilitate their development.
Welcome to Bain Capital Crypto – backing renegades and pioneers building the next generation of open internet infrastructure. We’re excited to share what we’ve been building.
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Between
@UniswapProtocol
and
@BalancerLabs
,
@ethereum
is now home to nearly $100M worth of LP shares
We now have LPs with uneven weights, multiple assets, and even weights that change over time.
What can they offer liquidity providers?
New paper:
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New paper with
@GuilleAngeris
and
@tarunchitra
on Replicating Market Makers.
Pick the (concave) payoff you want for your LPs and this result will give you a custom CFMM.
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Zero Knowledge Proofs: Now you know I know but you know only that I know and if you want to know how I know, my consulting fee is $5k/hr
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With nearly $7Bn in liquidity across
@UniswapProtocol
,
@SushiSwap
and
@BalancerLabs
, what are LPs getting for their capital? How should we set fees to maximize LP value?
We explore this problem in a new paper with
@tarunchitra
and
@GuilleAngeris
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I am pleased to announce I have been acquired by
@tarunchitra
and
@GuilleAngeris
M&A protocol for an undisclosed amount
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Surreal to see Scroll go live!
This is an insane technological achievement and the culmination of years of research and engineering work
Huge congrats
@yezhang1998
,
@shenhaichen
,
@SandyPeng1
and the whole
@Scroll_ZKP
team!
After more than two years of building, we are thrilled to announce the launch of Scroll Mainnet.
As we open the doors to Mainnet, we want to take a moment to reflect on our journey thus far 💛
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To give you a sense:
Even in late 2021, we (like most reasonable people) didn’t believe a performant, bytecode-compatible zkEVM was possible
In October of that year,
@shenhaichen
came by
@BainCapCrypto
and drew up an early version of the Scroll system with me and
@GuilleAngeris
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The pace of development around
@CelestiaOrg
is a great example of a simple protocol engendering complex emergent behavior at the edges
We
@BainCapCrypto
are thrilled to work with and support the incredible builders in the Celestia ecosystem
Today, we announce our $55M raise to launch a modular blockchain network so that anyone in the world can easily deploy their own blockchain.
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While there's a lot more to do, today we get to celebrate the mathematical and engineering brilliance of the Scroll team as well as the entire ZK community whose work made this possible (incl the brilliant teams and individuals that’ve been contributing to Halo2 in recent years)
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In part I of our analysis of curvature in CFMMs with
@GuilleAngeris
and
@tarunchitra
, we discuss what happens when a CFMM dominates the liquidity of a trading pair
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This is a massive achievement from the
@CelestiaOrg
team and a defining moment in the transition to modular architectures
Congrats to
@musalbas
,
@jadler0
,
@KreuzUQuer
and the whole group on the launch
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Super excited to have joined
@jmonegro
@cburniske
@mlaultc
&
@BradUSV
at
@placeholdervc
. Wrote a short intro here:
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For those curious about the theoretical background here, I would recommend this (slightly dated) discussion of velocity in monetary economics:
Really commendable work from
@alexhevans
on
#cryptoasset
valuations, providing a meaningful extension (and revision) of prior MV=PQ work that
@wintonARK
& I have put out.
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Thrilled to be working with
@luketchang
and
@sebastienladuca
as they make onchain privacy mainstream
1/ We're excited to announce our $6M seed round co-led by
@BainCapCrypto
&
@polychain
with participation from
@VitalikButerin
and other members of the Ethereum community.
This round will fund the deployment and continued development of private accounts on Ethereum.
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On a long enough timeline,
@sunnya97
is always right
The last phase of Endgame is the launch of a native blockchain for Maker with the codename NewChain
It will make the ecosystem more secure and efficient
After some research, I believe the Solana codebase should be considered as the basis for NewChain
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🎙️This week,
@annarrose
+
@kobigurk
chat with
@alexhevans
+
@GuilleAngeris
about their paper - Succinct Proofs in Linear Algebra. They cover the use of randomized reductions in zk proofs, the security of FRI + applications of the framework in other systems
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Exceptional work from
@jason_of_cs
,
@ciamac
and
@Tim_Roughgarden
providing a more general framework for reasoning about fees in CFMMs
1/ New paper “Automated Market Making and Arbitrage Profits in the Presence of Fees” by
@jason_of_cs
@ciamac
@Tim_Roughgarden
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We've been obsessed with
@dualityxyz
for well over a year
Excited for
@eljhfx
,
@NicholasEvans14
and
@RonMiasnik
to share more of their gigabrain work
Today, we unveil Duality, the DEX that gives Liquidity Providers superpowers. The next generation exchange is now coming to Cosmos.
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apes can barely write a smart contract while the beeVM can simulate parity circuits and no one is talking about it
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DeFi recreating Wall Street so faithfully they even included weekend
@MTA
delays
❗️❗️1) The Mesa order solver has gotten stuck trying to match up today's orders for the auction.
The Gnosis team are prioritising the MTA mUSD pair for the solver. It has not yet submitted a price solution for MTA.
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A simple axiomatic theory of CFMMs using just sets, geometry and pictures!
New paper with
@theo_diamandis
,
@tarunchitra
,
@ks_kulk
, and
@alexhevans
on the geometry of constant function market makers is (finally) out! It’s even got pretty pictures and everything!
Check it out at:
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8/ What about pools with dynamic weights?
For example, this pool from PieDAO adjusts weights as a function of volatility
Here things get interesting!
🔥 $USD++ is out in the wild 🔥
Very exciting to see this index going live. Huge props to
@tarunchitra
for seeding the idea of a weight function taking in consideration the divergence to peg.
Currently with 0bps Swap Fees 😏
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A key trick that gives us the "S" in SNARKs comes from the simple procedure: Encode, then sample randomly
True to the
@GuilleAngeris
brand, we demonstrate many such reductions using just linear algebra and basic probability
Well, here's our first (official) forage into the Unknown™ Lands™ of ZK™ ! (Work done with
@alexhevans
)
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New bulletin from your local central planning committee on how to price your on-chain resource usage
Comrades
@theo_diamandis
,
@GuilleAngeris
,
@tarunchitra
and I relive the soviet optimizooor’s dream of efficient multi-dimensional resource pricing
How should we allocate and price scarce resources on public blockchains?
@GuilleAngeris
,
@alexhevans
,
@tarunchitra
, & I formalize the multi-dimensional resource pricing problem in blockchains and propose a simple price-setting mechanism!
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I’m the Greek who rugged
@tarunchitra
and I’m quite pleased with the results
Hanging out with Greeks and we’re trying to decide who the Greek god who is the champion rugger is… who do you think it is? Loki is our best guess
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Welcome
@mandyzcamp
!!!
Job update: I’ve joined the brilliant team at
@BainCapCrypto
as Partner and Head of Marketing. Their commitment to hands-on support for the best builders in crypto and research-driven investment theses is unmatched.
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Dr.
@GuilleAngeris
is probably the smartest person I’ve ever met. He’s a brilliant researcher and an even better friend.
Couldn’t think of a better person to head research in all of crypto.
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When the plaintiff-side lawyers whipped out the Riemann Hypothesis in the exhibits, it was over for him
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As a group, we pride ourselves on research and engineering excellence.
We enjoy studying and developing protocols and products and love jamming with exceptional builders.
We’re active from initial design through scale. You'll find our work on chain, in forums and in repos.
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P.S. Many thanks to
@tarunchitra
@GuilleAngeris
@ObadiaAlex
@hal2001
Akis Kattis for their feedback and edits to the paper
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1/ 1-tweet TLDR:
If Uniswap/Balancer fixed-weight LPs had no fees, they’d lose value over time. The expected values of these losses depend on weights, vols and correlations of assets in the pool.
With dynamic weights we can replicate derivatives (eg options) using Balancer LPs
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Our oracle defamation campaign continues on
@zeroknowledgefm
📣 New episode out -
@AnnaRRose
catches up w/
@GuilleAngeris
,
@alexhevans
&
@tarunchitra
on their research of
#CFMMs
and
#AMMs
. They also revisit private AMMs - specifically their recent work on using differential privacy to achieve a more private system.
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9/ We can use Balancer LPs to replicate derivatives like protective puts and covered calls.
How? It’s surprisingly simple.
Adjust the weight of the underlying asset to always equal Δ*Price/Value aka the elasticity or ‘omega’ of the derivative.
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Excited to deepen our collaboration the excellent team at
@RiscZero
We're thrilled to announce that we've raised a $40 million Series A!
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Transitioning to a personal note, it’s an absolute joy to partner with
@stefancoh
He’s a phenomenal investor and an incredibly supportive partner (and borderline enabler).
Everything we’re announcing today is an idea he dreamed up over a year ago.
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Finally,
@tarunchitra
has been shilling control methods in DeFi for some time now. I highly recommend reading his recent piece with
@htkao
on the topic
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6/ In exchange for giving up some vol gains, LPs get
1. Automatic, continual rebalancing to target weights (like ETFs)
2. Information from traders on the price (oracle functionality)
"Eliminate imperm loss" -> lose these properties
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6/ More than 500 $MKR burned from stability fees. If liquidation fees had gone to burning $MKR (as they will in MCD), these would have been 20X higher than stability fees. Unpaid (latent) stability fees were an additional ~650 $MKR as of writing
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The optimizooors
@theo_diamandis
and
@GuilleAngeris
have been working tirelessly for your routing pleasure
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Also, none of this would have happened without
@tarunchitra
and
@hal2001
who supported us throughout.
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Couldn’t be more excited to work with
@lyd_hylton
She’s one of the few crypto investors I’ve met with both the technical depth and commercial chops to work across the stack, from low-level infrastructure to end-user applications
Welcome, Lydia!
1/ Personal update: I’m thrilled to announce today that I’m joining
@BainCapCrypto
as a Partner to help founders build the next generation of web3 infrastructure and applications. Excited to work with
@stefancoh
,
@alexhevans
and the rest of the BCC team! 🎉
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As we pursue greater yield and capital efficiency in PoS and DeFi, what are the benefits of superfluidity and what are the risks?
@tarun
and I spent some quarantine time digging in.
Big Short 2.0: PoS and DeFi are mortgage-backed securities!
@alexhevans
& I tried to find grand unified theory for the financial derivatives hidden in PoS and DeFi ➡️ uncovered mathematical equiv. to MBSs.
Why? Same payoffs and income inequality!
👇🏾
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Let’s try something even more exotic. How about delta-hedging a log contract as part of synthetic volatility swap? There's a Logarithmic Market Maker for that
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We hope these results help you find the CFMM (or Balancer or Uniswap v3 strategy) of your dreams.
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Welcome,
@pchopra28
!!!
~~Life Update~~
Super excited to have joined
@BainCapCrypto
as a principal on the investment team!
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10/ While the set of financial contracts one can replicate with LP shares is constrained by leverage (elasticity), we can likely use an external lending market like
@AaveAave
to replicate levered products like naked options.
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Excited to see
@nocturne_xyz
bring privacy from the fringe to the mainstream
1/ For crypto to reach its next stage of growth, it must be used less for speculation and become more like money. We believe privacy is a necessary condition for this to occur.
@nocturne_xyz
we’re excited to introduce a new primitive to the Ethereum ecosystem—private accounts 🧵
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But what if you wanted a CFMM that hedges moves in price to second order, matching the delta and (negative) gamma of some payoff function? Enter the Quadratic Market Maker™
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A contract paying $1 if Trump is President in February is going for 9c on a prediction market. Does that mean that the PMs “give Trump an 9% chance of winning?" Not really.
Prediction markets *still* give Trump a 9% chance of winning, which is fricking insane. The election is over. He lost. The courts aren't ruling in his favor. Recounts won't overturn Biden's margins. GOP state legislatures aren't entertaining an end-around.
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Thank you to the incredible team at
@placeholdervc
for a magical journey over three years
I’ve learned an incredible amount from each of
@chrisburniske
,
@bradusv
,
@mlphresearch
and
@jmonegro
I couldn’t be more thankful for our time together
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Last but not least! Huge thank you to
@fcmartinelli
@richardchen39
@1HowardWu
@gluk64
@AlokVasudev
@apruden08
@clangfordvc
@StephenKYoung
@mattcharris
@ajay_bcv
@EnriqueSalem
and many more for their references, mentorship, friendship and support getting this off the ground
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Efficient SNARKs over binary fields is a genuinely insane idea
There's a new SNARK on the block.
SNARKs based on towers of binary fields are the future of prover-efficient verifiable computing. Read here about Ulvetanna's research effort and our newly published Rust implementation, Binius.
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7/ A useful heuristic (h/t
@tarunchitra
)
Think of the relative losses of no-fee LPs as a convenience fee you pay arbers to rebalance your portfolio for you.
The price of being passive vs actively trading your position.
Fees may offset all or part of the loss, at a price.
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How about parametric replication of a covered European call? Here's a Black-Scholes Market Maker™ using different implied volatility and time-to-maturity assumptions
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If the US loses its lead in chips, it won't be because we embraced open source
It'll be because our domestic semiconductor industry got better at lobbying and fearmongering of this sort than building chips
US-China tech war: RISC-V chip technology emerges as new battleground
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@placeholdervc
@MakerDAO
Huge thanks to
@visavishesh
his data and ideas have influenced every aspect of this work
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We had to go through all five stages from denial to acceptance before agreeing that the idea might actually work
It's amazing to see the Scroll team take a crazy idea all the way to production
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4/ On a more political note, we might be focusing too much on imperm loss. Constant-mix portfolios also have imperm loss (aka negative gamma), but many still find them attractive. Why?
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The only black magic used here is Fenchel conjugacy. Pick the payoff, take a conjugate and out comes your new CFMM.
This will work for any concave, nondecreasing, 1-homogeneous, nonnegative payoff, but maybe you can find ways to lend and short LP shares to do more.
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Today, we mainly have Uniswap, Balancer, Curve and constant sum CFMMs. Their trading functions look something like these
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2/ The first result is due to arb, not necessarily imperm loss.
In general, low vol, high positive correlation between assets -> fewer expected arb opportunities.
This generalizes a result first noted by
@GuilleAngeris
@tarunchitra
@_charlienoyes
and others for Uniswap LPs.
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Oracles are known to the State of California to cause cancer, birth defects or other reproductive harm
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3/ A version of the result also applies to no-fee pools whose weights vary deterministically with time, such as
LBPs:
Rollover Pools:
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Meeting
@chofmann88
didn’t exactly match my mental image of a meeting with an endowment when he grilled us about atomicity on Solana for 30 mins
It was clear right away that he’s brilliant and willing to venture deep down the rabbit hole
Insanely excited to work with him
Very excited to be part of the team at
@BainCapCrypto
.
@stefancoh
and
@alexhevans
have put together a true giga-brain research team between
@GuilleAngeris
,
@_weidai
, and
@theo_diamandis
.
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5/ Because they are known to profit from volatility in flat, oscillating markets.
G3Ms give up these volatility gains to arbitrageurs because they lag the market during rebalancing.
As a result, they need fees to offset relative losses and attract liquidity providers.
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How about replicating a (covered) short position in a perpetual American put option for different implied vol and interest rates:
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5/ Keepers have been biting CDPs very close to the maximum of 150% (~149%, on average). Only 4 CDPs have slipped through 140%, making up a mere ~$340 in debt. Not a single toxic CDP, despite a >90% decline in ETH price
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Certified Oracle-Free™ variance swaps for your trading pleasure
Another fun example is that it is also possible to do things like variance swaps by—and this one is weird—selling the right to arb a log-payoff pool
(you can thank
@alexhevans
for that weird one :)
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We met
@_weidai
because he developed FLAX, an anonymous smart contract platform that preserves composability.
Wei has a strong command of theoretical cryptography and a pragmatic approach to design and engineering–a dangerous combination. His impact has been huge and immediate.
Incredibly excited to be working alongside an amazing team
@BainCapCrypto
--I'm constantly impressed by the depth, breadth, and diversity of knowledge and experience of
@stefancoh
@alexhevans
@GuilleAngeris
@chofmann88
@theo_diamandis
!
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excellent, balanced explanation of
@PrimitiveFi
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I know you degens are here for the Uniswap memes, but trust me the note is worth reading just for this proof.
Intuition:
1. Convexity crucial for CFMMs — prior work shows this makes optimal arbitrage ‘easy’
2. BUT: also guarantees uniqueness of price <> trade sizes (c.f. strict convex = unique global minima)
@guilleangeris
divined a proof using a separating hyperplane theorem
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Arbers hate him! Local optimizoor exposes shocking secret to super fast routing with this One Weird Trick™
Learn how you can too
We used a neat duality trick to create a super fast routing algorithm.
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@danrobinson
it’s a really fun cfmm!
it can do all kinds of messed up things related to variance in the underlying
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It’s been a blast working with
@SandyPeng1
,
@yezhang1998
,
@shenhaichen
and the excellent team at
@Scroll_ZKP
as they bring a native zkEVM rollup to life
1/19 After a year of building, we are excited to announce Scroll, a zkEVM-based zkRollup on Ethereum. We are researchers and hackers dedicated to creating the most developer friendly scaling solution for Ethereum.
Check us out at:
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So excited to collaborate with
@sabina_beleuz
who is doing phenomenal research on crypto governance, law & policy. Welcome, Sabina!
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Nocturne is on mainnet!
Nocturne v1 is now live on mainnet 🌙 the private vault UI is accessible at
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@HughKarp
Before fees, Uniswap strictly underperforms constant-mix because it rebalances at suboptimal prices
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Qs we'll be asking: How can we use v3 hyperbolas as a basis for convex curves? How should we balance liquidity fragmentation vs customizability for LPs? Can we convince
@danrobinson
to ditch DEs for Fenchel conjugates when designing CFMMs?
Join us with tomorrow at 9pm ET.
Curious about how complex exposures can be emulated on-chain?
Listen in tomorrow to
@tarunchitra
,
@GuilleAngeris
,
@alexhevans
and guest
@danrobinson
talk about the future of CFMMs in a V3 world
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honestly the bees are a mult gate away from running uniswap and then it's game over
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5-star ELI5
@alpastor_taco
@tarunchitra
@danrobinson
@SBF_Alameda
@alexhevans
tl;dr:
In general, Uniswap (or Balancer) have some price they quote. If this price is mismatched to the market price, then arbitrageurs can make a profit by buying low and selling high...
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Thanks to
@_Dave__White_
for helping me think through his fascinating Uniswap result, as well as
@_charlienoyes
who would poke me about this problem once a month for like a year.
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1/ Nearly $250 in cumulative debt issued by Feb 7th 2019. $DAI outstanding grew to $90m & locked PETH to over 2M (~2% of all ETH). Drops in $DAI supply have coincided with heightened liquidations (compare to Bites line in 1A)
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@danrobinson
@0xjepsen
jist is to split the LP into two shares; one gives a claim to the asset side and the other to the numeraire side
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@cburniske
@zooko
@BalancerLabs
@agoric
@marksammiller
@fcmartinelli
@mikeraymcdonald
Yep exactly. Also
@Alexintosh
@PieDAO_DeFi
are working on a multi-stablecoin LP
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Has anyone estimated the cumulative value stolen in oracle attacks?
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