License: Creative Commons Attribution 4.0 International license (CC BY 4.0)
When quoting this document, please refer to the following
DOI: 10.4230/OASIcs.FAB.2021.3
URN: urn:nbn:de:0030-drops-139899
URL: http://dagstuhl.sunsite.rwth-aachen.de/volltexte/2021/13989/
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Bhat, Shreyas ; Kahya, Ayten Betul ; Krishnamachari, Bhaskar ; Kumar, Rohit

DAISIM: A Computational Simulator for the MakerDAO Stablecoin

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OASIcs-FAB-2021-3.pdf (0.7 MB)

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.

BibTeX - Entry

@InProceedings{bhat_et_al:OASIcs.FAB.2021.3,
  author =	{Bhat, Shreyas and Kahya, Ayten Betul and Krishnamachari, Bhaskar and Kumar, Rohit},
  title =	{{DAISIM: A Computational Simulator for the MakerDAO Stablecoin}},
  booktitle =	{4th International Symposium on Foundations and Applications of Blockchain 2021 (FAB 2021)},
  pages =	{3:1--3:13},
  series =	{Open Access Series in Informatics (OASIcs)},
  ISBN =	{978-3-95977-196-2},
  ISSN =	{2190-6807},
  year =	{2021},
  volume =	{92},
  editor =	{Gramoli, Vincent and Sadoghi, Mohammad},
  publisher =	{Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik},
  address =	{Dagstuhl, Germany},
  URL =		{https://drops.dagstuhl.de/opus/volltexte/2021/13989},
  URN =		{urn:nbn:de:0030-drops-139899},
  doi =		{10.4230/OASIcs.FAB.2021.3},
  annote =	{Keywords: Stablecoin, Simulator, MakerDAO}
}

Keywords: Stablecoin, Simulator, MakerDAO
Collection: 4th International Symposium on Foundations and Applications of Blockchain 2021 (FAB 2021)
Issue Date: 2021
Date of publication: 25.06.2021
Supplementary Material: Software (Source Code): https://github.com/ANRGUSC/DAISIM

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