报  告  人：秦聪   上海财经大学金融学院

报告时间：2025年12月18日（周四）下午4:00-5:00

报告地点：览秀楼 105学术报告厅

报告摘要：A decentralized exchange (DEX) facilitates trustless trading of digital assets via an Automated Market Maker (AMM), which operates on blockchain technology to eliminate intermediaries. In an AMM, liquidity providers earn passive income from transaction fees paid by liquidity takers and arbitrageurs but are exposed to impermanent loss upon withdrawal. The pro-rata sharing rule in v2 protocol implies that the marginal benefit of providing liquidity equals the average of the pool’s net present value. No entry and exit costs indicate that the marginal cost equals the current value of assets. Consequently, the equilibrium liquidity is dynamically determined by the tradeoff between this marginal benefit and cost. In particular, higher volatility translates into greater arbitrage trading volume and fee revenue, which incentivizes liquidity provision and leads to an expansion of the pool size — a prediction corroborated by empirical evidence.