NUS Quantitative Finance Joint Seminar Series (Webinar)
NUS Quantitative Finance Joint Seminar Series (Webinar)
This webinar is jointly organised by Risk Management Institute and Centre for Quantitative Finance
Programme
Title: Coexisting Exchange Platforms: Limit Order Books and Automated Market Makers
Prof. Jun Aoyagi (Hong Kong University of Science and Technology)
Abstract: Blockchain-based decentralized exchanges have adopted automated market makers—algorithms that pool liquidity and make it available to liquidity takers by automatically determining prices. We develop a theoretical framework to analyze coexisting market-making structures: a traditional centralized limit-order market and a decentralized automated market. Traders face asymmetric information and endogenously choose trading venues. We show that liquidity on the automated market complements that on the limit-order market. A unique and stable general equilibrium exists with endogenous liquidity on both platforms, and we investigate the impact of adopting automated market makers on asset prices and traders' behavior.
Co-author: Yuki Ito, University of California, Berkeley
About the Speaker
Jun Aoyagi is Assistant Professor of Finance at Hong Kong University of Science and Technology and a project scholar at the University of Tokyo, Digital Economy. He received his Ph.D. in Economics from the University of California, Berkeley. His research interest includes Finance, Market Microstructure, FinTech, Information and Economics
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