OASIcs.FAB.2021.3.pdf
- Filesize: 0.73 MB
- 13 pages
Document
DAISIM: A Computational Simulator for the MakerDAO Stablecoin
Authors
-
Part of:
Volume:
4th International Symposium on Foundations and Applications of Blockchain 2021 (FAB 2021)
Series: Open Access Series in Informatics (OASIcs)
Conference: International Symposium on Foundations and Applications of Blockchain (FAB) - License:
Creative Commons Attribution 4.0 International license
- Publication Date: 2021-06-25
File
Document Identifiers
Acknowledgements
This work has been supported at University of Southern California (USC) in part by a gift from SovereignWallet Network.
Cite As Get BibTex
Shreyas Bhat, Ayten Betul Kahya, Bhaskar Krishnamachari, and Rohit Kumar. DAISIM: A Computational Simulator for the MakerDAO Stablecoin. In 4th International Symposium on Foundations and Applications of Blockchain 2021 (FAB 2021). Open Access Series in Informatics (OASIcs), Volume 92, pp. 3:1-3:13, Schloss Dagstuhl – Leibniz-Zentrum für Informatik (2021)
https://doi.org/10.4230/OASIcs.FAB.2021.3
Abstract
We present a computational simulation of the single-collateral DAI stablecoin launched by the MakerDAO project in 2017. At the core of the simulation is a model of cryptocurrency investors acting as rational Markowitz mean-variance portfolio optimizers, with heterogeneous risk tolerance. The simulator, called DAISIM, incorporates automated order matching and price update mechanisms to determine the DAI price. We use the simulator to evaluate how the single-collateral DAI price, as well as portfolio allocations, vary for a given population of investors as a function of exogenous parameters such as the price of ETH and various system parameters including stability rate and transaction fee. DAISIM is being made available as open-source and may be useful in evaluating other similar projects.
Subject Classification
ACM Subject Classification
- Applied computing → Digital cash
Keywords
- Stablecoin
- Simulator
- MakerDAO
Metrics
- Access Statistics
-
Total Accesses (updated on a weekly basis)
0PDF Downloads
References
-
Jeremy Clark, Didem Demirag, and Seyedehmahsa Moosavi. Demystifying stablecoins. Queue, 18(1):39-60, 2020.
-
Wanyun Gu and Tanay Kothari. Simulating stablecoin systems with latent market confidence index. Available at SSRN, 2018.
-
Lewis Gudgeon, Daniel Perez, Dominik Harz, Arthur Gervais, and Benjamin Livshits. The decentralized financial crisis: Attacking defi. arXiv preprint arXiv:2002.08099, 2020.
-
Robert A Haugen and Robert A Haugen. Modern investment theory, volume 5. Prentice Hall Upper Saddle River, NJ, 2001.
- R K Lyons and G V Natraj. What keeps stablecoins stable? Online at https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3508006. Accessed: 2020-05-03.
- MakerDAO Project. Makerdao whitepaper: Overview of the dai stablecoin system. Online at https://makerdao.com/en/whitepaper/#an-overview-of-the-maker-protocol-and-its-features. Accessed: 2020-12-18.
- A Mundt, D Harz, L Gudgeon, J Y Liu, and A Minca. Stablecoins 2.0: Economic foundations and risk-based models. URL: https://arxiv.org/abs/2006.12388v3.
- A Mundt and A Minca. (in)stability for the blockchain: Deleveraging spirals and stablecoin attacks. URL: https://arxiv.org/abs/1906.02152v2.
- A K Mundt and A Minca. While stability lasts: A stochastic model of stablecoins. URL: https://arxiv.org/abs/2004.01304v1.
- Defi pulse: Maker. Online at https://defipulse.com/maker. Accessed: 2019-12-18.
- The Blockchain Team. The state of stablecoins. report online at https://www.blockchain.com/ru/static/pdf/StablecoinsReportFinal.pdf. Accessed: 2019-12-18.
- The Reserve Project. The state of stablecoins 2019: hype vs reality in the race for stable, global, digital money. report online at https://reserve.org/stablecoin-report. Accessed: 2019-12-18.