Wednesday May 20th, 2026
6:30 PM Seminar Begins
8:00 PM Reception
Hybrid Event
Fordham University
McNally Amphitheater
140 West 62nd Street
New York, NY 10023
Free Registration!
For Virtual Attendees: Please select virtual instead of member type upon registration.
Abstract:
We derive the optimal long-term growth rate for an agent investing in a market composed of a numéraire asset, a risky asset subject to transaction costs, and a liquidity pool within an Automated Market Maker (AMM). We first establish the necessary conditions to ensure a no-arbitrage environment within this market structure. Under these conditions, we determine the asymptotically optimal trading strategy for liquidity providers. Finally, we provide economic intuition for the strategy’s sensitivity to various market parameters, supported by numerical illustrations of our theoretical results.
Bio:
Maxim Bichuch holds a M.S. from NYU and a Ph.D. from CMU both in Financial Mathematics. He was a Postdoctoral Research Associate & Lecturer in the ORFE department in Princeton, and an Assistant Professor at WPI and JHU, before joining the department of Mathematics at UB. Prior to obtaining his Ph.D. He has also gained corporate experience working for Citigroup and Bear Stearns. His research interests include optimal investment, optimal control, stochastic volatility, credit, funding and counterparty risks, and most recently electricity markets, machine learning and AI, decentralized finance and fintech.
