How it works
  1. Protocol whitepaper

    This whitepaper describes the protocol and explores how traders, market makers, and node operators interact to collectively run high performance, fully decentralised markets in a deterministic way without the need for human intervention.

  2. Technical overview

    This three-page document describes the architecture and trading core components of the Vega framework, from an engineering perspective.

  3. Margins and Credit Risk on Vega

    This whitepaper, written by Dr David Siska, provides an initial summary of certain technical and business essentials underlying the Vega Protocol.

  4. Perpetual Futures on Vega

    This note describes the perpetual futures on Vega protocol, focusing on how funding payments are calculated, how they can be customised and what impacts this has.

  1. Wendy, the Good Little Fairness Widget

    Current blockchains either provide explicit ways to front run or leave transaction ordering to the full discretion of the miners. In this paper Klaus Kursawe proposes a new definition of fairness in terms of transaction ordering on blockchains using local time.

  2. Wendy grows up

    Klaus Kursawe has developed his original research for Wendy, the good little fairness widget, to include a framework for implementation across all blockchains and a simulator to calculate latency and throughput implications.

  3. Vega Market Sim: A Protocol Analysis, Parameter Optimisation and Exploration Tool

    Tom McLean and David Siska discuss the Vega Market Simulations and their uses for exploring the behaviour of the protocol itself, alongside the advantages of agent based modelling and simulations in DeFi in general.

  4. Incentives for Model Calibration on Decentralised Derivatives Exchanges: Consensus in Continuum

    In this research, Dr David Siska writes on the problem of risk model calibration faced by all decentralised derivative exchanges, and presents empirical results for simple situations that arise when the risk model is assumed to be a linear function of calibration parameters.

  5. Market Based Mechanisms for Incentivising Exchange Liquidity Provision

    A key problem for exchanges is how to attract liquidity providers and retain their support in all market conditions. This paper develops mechanisms for creating open, automated and scalable liquidity markets. It outlines formal methods to quantify liquidity, determine its price and allocate rewards derived from trading fees between market makers.

  6. Inefficiency of CFMs: hedging perspective and agent-based simulations

    Co-authored by Dr David Siska, this paper explores whether the fee income from trades on the CFM is sufficient for the liquidity providers to hedge away the exposure to market risk.

  7. The Case for Variable Fees in Constant Product Markets: An Agent Based Simulation

    Dr David Siska co-authored paper on how the relationship between the fee in a constant product market (CPM) and the volatility of the swapped pair on other liquid exchanges influences the losses / gains of the liquidity providers.