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Added AMM paper.

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Chen Yang
2024-04-20 15:58:44 +08:00
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@@ -99,6 +99,14 @@ Stochastic Control; Market Frictions; Market Microstructure; FinTech; Deep Learn
<p>
<h3>Selected Publications</h3>
<ul style="list-style-type:square">
<li>Liquidity Pool Design on Automated Market Makers (with <a href="https://sites.google.com/site/xuedonghepage/home" target="_blank">Xuedong He</a> and Yutian Zhou).<br>
[<a href="" onclick="toggleAbstract('abs_AMM');return false">Abstract</a>|<a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4801468" target="_blank">SSRN</a>]<br>
<div style="display:none" id="abs_AMM">
<hr>
<i>Automated market makers are a popular type of decentralized exchange in which users trade assets with each other directly and automatically through a liquidity pool and a fixed pricing function. The liquidity provider contributes to the liquidity pool by supplying assets to the pool and in return they earn transaction fees from traders who trade through the pool. We propose a model of optimal liquidity provision in which the risk-averse liquidity provider decides the investment proportion of wealth she would like to supply to the pool, trade in a centralized market, and consume in multiple periods. We derive the liquidity provider's optimal strategy by dynamic programming and numerically find the optimal liquidity pool that maximizes the liquidity provider's utility. Our findings indicate that the exchange rate volatility on the centralized market exerts a positive effect on the optimal transaction fee. Moreover, the optimal constant mean pricing formula is found to be related to the relative performance of the underlying assets on the centralized market.</i>
</div>
</li><br>
<li>Patience is a Virtue: Optimal Investment in the Presence of Market Resilience (with <a href="https://www1.se.cuhk.edu.hk/~nchenweb/index.htm" target="_blank">Nan Chen</a>, <a href="https://sites.google.com/view/mindai/home" target="_blank">Min Dai</a>, and Qiheng Ding).<br>
<b>submitted</b>. [<a href="" onclick="toggleAbstract('abs_LOB');return false">Abstract</a>|<a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4671774" target="_blank">SSRN</a>]<br>
<div style="display:none" id="abs_LOB">