财务与金融系学术讲座系列2025年第13讲

来源：财务与金融系

主　题：去中心化金融中的量化投资

主讲人：Evgeny Lyandres（特拉维夫大学教授）

协调人：任泓霖、倪政辉

时　间：2025年10月24日（周五）上午 10:00-11:30

地　点：中关村校区明德商学楼1008室

语　言：英文

讲座摘要：

This paper performs a comprehensive empirical investigation of liquidity provision into concentrated liquidity (Uniswap V3) pools on the Ethereum blockchain. To examine the performance of liquidity provision strategies and their determinants, we reverse-engineer each liquidity pool’s history and measure every liquidity position’s return. We also decompose each position’s return to components, including its core elements – non-concentrated liquidity provision and liquidity concentration, as well as elements orthogonal to liquidity provision – holding return. We find that returns to liquidity provision are negative on average, but are higher for active liquidity providers . We also compare quantitative and discretionary liquidity provision strategies and their performance and find that quant investors significantly underperform discretionary ones. Those quant investors who are successful employ strategies that are not markedly different from those of successful discretionary investors.

主讲人简介：

Professor Evgeny Lyandres studies how firms’ financial and operating strategies interact, including the impact of product market competition on capital structure, M&A, and IPO decisions. He also works on real options applications in finance and, more recently, on blockchain technology in financial contexts. His theoretical and empirical papers have been published in leading finance journals, such as the Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Management Science, Journal of Business, Review of Finance, and Journal of Financial and Quantitative Analysis among many others, and received numerous awards and prizes. Evgeny serves as a Co-editor of Journal of Corporate Finance and as an Associate Editor of several journals.

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