岭南学术论坛系列讲座（第688期）

主要内容：
     Automated market makers are a popular mechanism used on decentralized exchange, through 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 trading fees from investors who trade in the pool. We propose a model of optimal liquidity provision in which a risk-averse liquidity provider decides the amount of wealth she would invest in the decentralized market to provide liquidity in a two-asset pool, trade in a centralized market, and consume in multiple periods. We derive the liquidity provider's optimal strategy and the optimal design of the automated market maker that maximizes the liquidity provider's utility. We find that the optimal unit trading fee increases in the volatility of the fundamental exchange rate of the two assets. We also find that the optimal pricing function is chosen to make the asset allocation in the liquidity pool efficient for the liquidity provider.

报告人简介：

       何雪冬教授本科毕业于北京大学，于2009年获得牛津大学博士学位。他于 2009年至2015年担任美国哥伦比亚大学助理教授，并于2016年加入香港中文大学担任副教授，现任香港中文大学工程学院教授，并担任国际顶尖期刊《Operations Research》的领域主编。
   

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      中山大学岭南学术论坛系列讲座是中山大学岭南学院自2012年推出的品牌学术活动，迄今已成功举办680多期，得到了学界的高度评价。 岭南学术论坛分经济学和金融学两大系列，是定期邀请国内外优秀学者前来开展学术交流的平台。