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8月19日（周三）14:00-16:00
武东路100号金融学院同德楼208
研讨背景
去中心化交易所的自动化做市商（Automated Market Maker, AMM）与传统公司债券市场虽分属不同资产类别，却共同触及资产定价的核心命题：交易成本、信息不对称及非货币效用等摩擦如何影响均衡价格，又如何在实证中加以识别与度量。本次“资产定价与市场微观结构前沿博士生研讨会”邀请两位博士生报告人，分别从AMM流动性供给与债券新闻信息溢出两个视角切入，运用理论与实证相结合的方法，系统探讨流动性提供者的最优决策，以及基于新闻关联的债券同行动量效应及其信息扩散机制。两场报告兼顾理论深度与实证可操作性，旨在为量化策略设计、DeFi协议优化及债券风险管理提供新的分析工具，并促进关于市场效率与定价异象的跨方向学术交流。此外，会议特别邀请Durham University Business School会计与金融讲席教授、金融系主任Julian Williams教授出席，对报告论文进行点评，并与参会者展开深入讨论。
流程安排
报告简介
报告一
Speaker: Zhao, Yang
Title：Equilibrium Liquidity Provision in Automated Market Makers: A Present-Value Approach
Abstract：Decentralized exchanges (DEXs) facilitate the trustless trading of digital assets via Automated Market Makers (AMMs), replacing traditional intermediaries with deterministic smart contracts. This paper introduces a continuous-time present value framework to evaluate equilibrium liquidity provision in AMMs, reconciling trading fee revenues with structural economic costs. Our framework addresses a gap between macro-tokenomics and market microstructure by introducing the token’s latent convenience yield into the liquidity provider’s hurdle rate—a pricing factor widely recognized in tokenomics but absent from existing AMM literature. We mathematically decompose the total economic friction into this foregone non pecuniary utility and a microstructural adverse selection cost. We show that as transaction fees vanish, this adverse selection cost asymptotically converges to a continuous flow cost that generalizes standard Loss-Versus-Rebalancing (LVR) by explicitly penalizing the passive portfolio for forfeited directional drift and systematic tail risk. When calibrated to high-frequency ETH-USDT transaction data from Uniswap and Binance, our dynamic extension endogenously replicates the sticky, low-frequency nature of empirical mint and burn events through a state dependent no-adjustment band. Finally, we invert the equilibrium condition using our flow-form approximation to provide an empirical methodology for extracting a token’s latent convenience yield directly from the net returns of active AMM pools.
报告二
Speaker: Lu, Ziyi
Title：News linkage and corporate bond returns
Abstract：This paper finds that there is significant momentum spillover effect in the cross-section of corporate bonds based on news linkage. The bond peer momentum constructed from news linkage (NCR) significantly and positively predicts future 1-month bond returns, and this finding is robust to various controls. A long-short strategy realizes significant profits of 0.22% per month, which cannot be explained by various bond and stock factors. The return predictive ability of NCR is stronger for bonds with higher credit risk, smaller issue size and longer maturity. Slow information diffusion is the underlying reason for such predictive effect of NCR on bond returns.
编辑 | 司思
