臺灣博碩士論文加值系統

分散式金融(Decentralized Finance)在近年發展快速，其中也衍生了一些攻擊事件，價格供給預言機(Price Feed Oracle)是其中之重點，而2020年更發生了操縱價格的閃電貸攻擊(Flash Loan Attack)事件，本文利用時間加權平均價格的方法設計出價格處理公式WMA改(WMA_KAI)對價格做處理，使價格不只能加強對閃電貸攻擊之抵抗力，也不會偏離實際價格太遠，以達到安全且實用的價格供給。

With the rapid development of Decentralized Finance (DeFi), some attacks have come to pass, attack of Price Feed Oracle is the focus. In 2020, attackers made money via Flash Loan and price manipulation. This thesis uses Time-Weighted Average Price (TWAP) method to design a metric WMA_KAI to process price, so that the processed price can not only resist Flash Loan attacks, but also close to actual price to achieve safety and practical value.

口試委員會審定書 i
誌謝 ii
中文摘要 iii
Abstract iv
Contents v
Chapter 1 緒論 1
1.1 研究背景 1
1.2 研究動機 2
1.3 研究貢獻 2
Chapter 2 Background 4
2.1 比特幣 4
2.2 以太坊 5
2.2.1 智能合約 6
2.3 Decentralized Finance現況2019年至2020年Q1 6
2.3.1 2019年度 7
2.3.2 2020年Q1 8
2.4 Constant Product Market Maker Model 9
2.4.1 Model交易機制解說與範例說明 10
2.4.2 驅使流動池供給者給出適當比例 12
2.5 Price Feed Oracle 14
Chapter 3 閃電貸款與攻擊模式 15
3.1 第一次閃電貸款攻擊Feb-15-2020 15
3.2 第二次閃電貸款攻擊Feb-18-2020 18
Chapter 4 時間加權平均價格 21
4.1 簡單移動平均 21
4.2 加權移動平均 21
4.3 指數移動平均 22
4.4 WMA_KAI 22
Chapter 5 實驗與分析 29
5.1 Moving Average與現實價格之實驗分析 30
5.2 MA7與WMA7現實價格之實驗分析 38
5.3 MA、WMA、EMA、WMA_KAI 運用在DeFi價格處理之實驗分析 45
5.3.1 與現實價格之差距 46
5.3.2 對抗閃電貸款操縱價格之抵抗力 53
Chapter 6 結論與未來 57
參考資料 59

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