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IndexCoop / index-coop-analytics

A repository for the Analytics Working Group.
MIT License
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Added Balancer Writeup #184

Closed alexwdong closed 2 years ago

alexwdong commented 2 years ago

Summary: Math for calculating new balances after arbitrarily adjusting the weights.

This work provides 3 contributions:

  1. Equations (and proof/derivation of equation) for calculating the new balances in a balancer portfolio after arbitrarily adjusting the weights, and allowing the market to arbitrage.
  2. A python function that can be used to calculate the new balances after weight shift and arbitrage.
  3. A spreadsheet with a toy example.