嘉宾简介：

Dr. Guangwu Liu is currently a professor in Department of Management Sciences, College of Business at City University of Hong Kong. His research interests include stochastic simulation and machine learning, with applications in financial engineering and risk management. He has published in journals including INFORMS Journal on Computing, Management Science, Operations Research, and Production and Operations Management. He currently serves as an associate editor for Naval Research Logistics and Operations Research.

讲座简介：

基于区块链的交易平台的自动做市商（AMM）由 Uniswap 于 2018 年首创，已成为最具变革性的金融技术之一，Uniswap 截至 2025 年 2 月累计交易量超过 15 万亿美元的成绩便证明了这一点。与传统电子市场中流动性由活跃的做市商通过限价订单簿来维持不同，自动做市商通过流动性提供者（LP）贡献的资产池来提供流动性。这些流动性池通过精心设计的确定性机制，充当所有交易者的被动交易对手方。虽然流动性提供者能按其在资产池中的贡献比例赚取交易费用，但他们面临着价格波动带来的重大风险，这使得风险管理成为一项关键挑战。为应对这一挑战，我们将流动性提供者的决策过程建模为马尔可夫决策过程，并开发算法来优化关键绩效指标。我们的研究作为针对自动做市商流动性提供者的风险对冲解决方案，具有巨大的商业化潜力。我们的方法在永续/期货自动做市商平台上的初步应用，已显示出卓越的经风险调整后的回报率。