Liquidity Provision on Blockchain-Based Decentralized Exchanges

• 成果类型: Article
• 署名作者: Capponi, Agostino; Jia, Ruizhe
• 署名单位: Columbia University; Stanford University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454; 1465-7368
• DOI: 10.1093/rfs/hhaf046
• 发表日期: 2025-10
• 页码: 3040-3085
• 关键词: D47; G14; G23

摘要

We show that the infrastructure of decentralized exchanges subjects liquidity providers (LPs) to a tragedy of the commons. Liquidity providers lack incentives to exit liquidity pools to prevent arbitrage losses, as these are collectively shared, while withdrawal costs are borne individually. Arbitrage rents primarily flow to validators as infrastructure fees, with the median arbitrageur transferring 96% of profits. Proposed solutions-speed technology, alternative sequencing rules, and flexible pricing curves-fail to reduce these rents. Leveraging the Silicon Valley Bank crisis as a natural experiment, we show that LPs defensively adopt more convex pricing curves to mitigate adverse selection risks.