Damien Challet

Optimal Execution on Uniswap v2/v3 under Transient Price Impact

We study the optimal liquidation of a large position on Uniswap v2 and Uniswap v3 in discrete time. The instantaneous price impact is derived from the AMM pricing rule. Transient impact is modelled to capture either exponential or approximately power-law decay, together with a pe...