今回は、Posted: 21 Feb 2025に掲載された「小型株市場における自動市場メイキングの重要性とは？ 〜流動性を生み出す力〜」の論文を分かりやすく解説・要約しました。
元の論文は下記の通りです。
Let There Be Liquidity: Automated market making in small stocks’ markets
出典元：SSRN
それでは早速見ていきましょう。
Automated Market Making: Enhancing Liquidity and Efficiency in Stock Markets
Introduction
Liquidity plays a vital role in the efficiency of stock markets, particularly for small and medium-sized enterprises (SMEs). Traditional stock exchanges often face challenges in providing adequate liquidity for small stocks, impacting market participation and accessibility to capital. This paper delves into the concept of Automated Market Makers (AMMs) and their potential to revolutionize trading, focusing on the application of the Constant Product Market Maker (CPMM) in SME stock markets.
AMMs vs. Traditional Exchanges
AMMs, such as the CPMM, offer a decentralized alternative to traditional Central Limit Order Books (CLOBs), aiming to enhance liquidity provision while maintaining competitive transaction costs. By utilizing automated protocols instead of order books, AMMs streamline the trading process and incentivize liquidity providers to participate actively in the market. This shift towards AMMs presents an opportunity to integrate DeFi-inspired innovations into regulated securities trading.
Benefits of AMMs
Studies have shown that AMMs have the potential to reduce transaction costs, minimize impermanent loss, and improve overall liquidity in financial markets. The CPMM model, in particular, addresses impermanent loss concerns and ensures that liquidity providers are fairly compensated for their contributions. By incentivizing trading activity and optimizing liquidity pool sizes, AMMs create a more efficient and liquid trading environment for SME stocks.
Implementation and Challenges
Implementing AMMs in traditional markets requires careful calibration and optimization of parameters such as Initial Liquidity Pool Size (ILPS) and transaction costs. By replicating historical price data and aligning theoretical prices with actual market prices, the modCPMM model ensures accurate price discovery and efficient trading. Additionally, introducing mechanisms like skimming can further incentivize trading activity, although challenges related to capital requirements and market dynamics must be considered.
Conclusion
In conclusion, the integration of AMMs into stock markets offers a promising solution to liquidity constraints and cost-efficiency challenges, particularly for SME stocks. By enhancing liquidity provision, reducing transaction costs, and incentivizing market participation, AMMs pave the way for a more inclusive and dynamic trading environment. Further empirical validation and regulatory considerations are necessary to refine and optimize this approach for widespread adoption.
