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Liquidity Risks in Lending Protocols: Evidence from Aave Protocol

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arxiv 2206.11973 v4 pith:7JFYOO2Y submitted 2022-06-23 q-fin.RM cs.CRq-fin.CPq-fin.TR

classification q-fin.RMcs.CRq-fin.CPq-fin.TR
keywords liquidityaavelendingrisksaffectborrowcryptocurrenciesmarket
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Lending Protocols (LPs), as blockchain-based lending systems, allow any agents to borrow and lend cryptocurrencies. However, liquidity risks could occur, especially when salient loans are initiated by a particular group of borrowers. This paper proposes measurements of liquidity risks, focusing on both available liquidity and market concentration in LPs. By using Aave as a case study, we find that liquidity risks are highly volatile and show complex effects on Aave, and liquidity in Aave may affect across on-chain lending market. Compared to new users, regular users that repeatedly borrow cryptocurrencies may negatively affect Aave protocol, implying that user loyalty is a double-edged sword for LPs.

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  1. Market Clearing with Semi-fungible Assets

    cs.GT 2025-05 conditional novelty 6.0 of 10

    Market clearing for divisible, partially ordered assets reduces to one convex program whose dual variables are prices and whose VCG-style payments are dominant-strategy incentive compatible.

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