ASRM Seminar Series

Title: Optimal Long-Term Growth Rate for Liquidity Providers in
Automated Market Makers

Abstract: We derive the optimal long-term growth rate for an agent
investing in a market composed of a numéraire asset, a risky asset
subject to transaction costs, and a liquidity pool within an Automated
Market Maker (AMM). We first establish the necessary conditions to
ensure a no-arbitrage environment within this market structure. Under
these conditions, we determine the asymptotically optimal trading
strategy for liquidity providers. Finally, we provide economic
intuition for the strategy’s sensitivity to various market parameters,
supported by numerical illustrations of our theoretical results

Bio:
Maxim Bichuch holds a M.S. from NYU and a Ph.D. from CMU both in
Financial Mathematics. He was a Postdoctoral Research Associate &
Lecturer in the ORFE department in Princeton, and an Assistant
Professor at WPI and JHU, before joining the department of Mathematics
at UB. Prior to obtaining his Ph.D. He has also gained corporate
experience working for Citigroup and Bear Stearns. His research
interests include optimal investment, optimal control, stochastic
volatility, credit, funding and counterparty risks, and most recently
electricity markets, machine learning and AI, decentralized finance
and fintech.