25 May, 2022 4:00 am–6:00 pm
Research
Speaker(s)
Christine Parlour
Location
Hand Purvis Conference Room, Dun. 213
Professor Christine Parlour (Haas School of Business UC, Berkeley), is a Weatherall Visiting Scholar to visit QED May 24-25, 2022.
Upon arrival she will be located in Dunning 216B.
Title: "Systemic Fragility in Decentralized Markets", joint with Alfred Lehar.
Abstract:
We analyze a unique data set of liquidations on two DeFi lending platforms -- Compound and Aave. Using Blockchain transaction data, we document the high frequency price impact of these liquidity trades on 9 different decentralized exchanges. Consistent with large block trades in equity markets there is a temporary and permanent price impact of collateral asset sales in DeFi. Our work highlights the systemic fragility of Decentralized Finance.
Organizer