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CFEM and UBS AI & Data Research Seminars: Dr. Thomas Li (NYU Courant Institute)

Tuesday, November 21, 2023 at 6:00pm to 7:00pm

Virtual Event

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." 

This webinar is free and open to all. Registration is required (RSVP). You will receive the webinar link and dial-in info upon registration (the confirmation email will come from no-reply@zoom.us). 

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. 

Dial-In Information

To be provided upon registration.

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Event Type

Financial

Departments

Operations Research and Information Engineering, Cornell Financial Engineering Manhattan (CFEM)

Tags

engineering, orie, financial

Contact E-Mail

rab426@cornell.edu

Contact Name

Roselle Bajet

Speaker

Dr. Thomas Li

Speaker Affiliation

NYU Courant Institute

Speaker Web Site

https://www.orie.cornell.edu/orie/cfem

Registration Status

Open

Open To

Public

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