Speaker：Prof Yang, Chen, The Chinese University of Hong Kong

Venue: 苏州大学本部览秀楼105学术报告厅

Date：2026.04.22 周三下午4:00-5:00

Abstract:

Decentralized exchanges using automated market makers create arbitrage opportunities with centralized exchanges, where gas fees and transaction ordering are critical. Existing models largely overlook competition among arbitrageurs, despite price discrepancies being public information. We develop the first equilibrium model of gas fee competition between two arbitrageurs under three transaction reversion settings: no-revert, auto-revert, and selectable-revert. We show that pure symmetric equilibria do not exist, but unique mixed equilibria can be characterized. Comparative analysis reveals that under low inventory risk, the no-revert setting favors arbitrageurs in terms of profit, while auto-revert and selectable-revert settings enhance market efficiency. Under high inventory risk, the no-revert and selectable-revert settings dominate the auto-revert setting in both profitability and efficiency. Using data from Binance and Uniswap V2, we empirically confirm that arbitrageurs face positive inventory risk and validate our model's implications: gas fees increase with price discrepancies and liquidity, while trading amounts rise with both price discrepancies and gas fees.

Bio:

Chen Yang is an Associate Professor in the Department of Systems Engineering and Engineering Management at the Chinese University of Hong Kong. He received a B.Sc. degree in Mathematics and Applied Mathematics from Zhejiang University in 2008 and a Ph.D. degree in Financial Mathematics from the National University of Singapore in 2017. Before joining the Chinese University of Hong Kong, he was a postdoctoral researcher at ETH Zurich from 2017 to 2019. Chen Yang's research interests include portfolio selection, market frictions, stochastic control, and financial technology. Recently, he has been working on the design and analysis of Automated Market Makers on decentralized exchanges.