CFEM and UBS AI & Data Research Seminars: Dr. Thomas Li (NYU Courant Institute)
The final speaker for the semester in the CFEM and UBS AI & Data Research Seminars is Dr. Thomas Li (NYU Courant Institute)! His discussion topic is "Yield Farming for Liquidity Provision."
Abstract (Full Article): Yield farming is a decentralized finance strategy in which liquidity is provided in exchange for rewards in the form of transaction fees paid by liquidity takers. This article analyzes transaction costs, returns, and risks using on-chain data from major decentralized exchanges. To understand the economic mechanisms of yield farming, we present a mathematical model that incorporates stochastic returns, impermanent loss as a source of risk, and transaction costs. By calibrating the model to the data, we gain insights into the trade-off between future benefits and transaction costs, offering a valuable understanding of yield farming's economic dynamics.
Speaker Bio: Dr. Thomas Li works at a startup firm as a data scientist. He accomplished the Ph.D in mathematics study at the Courant Institute of Mathematical Sciences. His research interests are stochastic control and optimisation, machine learning, and financial mathematics.