Personal website:
https://sites.google.com/view/myriam-kassoul
Contact:
Research fields:
Primary fields: Financial Econometrics, Market Microstructure
Secondary fields: Financial Networks, Financial Contagion, Systemic Risk, Blockchain & Cryptocurrencies
Presentation:
In a rapidly evolving financial landscape, my research has revolved around conducting comprehensive assessments of market microstructures in decentralized exchanges and evaluating systemic risks in decentralized lending protocols.
Job Market Paper:
The Market Microstructure of Uniswap
Abstract: Uniswap is the largest decentralized exchange operating on the Ethereum Blockchain. It allows users to exchange one cryptoasset for another through liquidity pools whose exchange rate is set algorithmically. Uniswap has gained popularity as an oracle, providing real-time price data to diverse Decentralized Finance (DeFi) protocols. To maintain its reputation as a reliable oracle, it is crucial that Uniswap’s prices closely track reference market prices. This accuracy in pricing crucially relies on arbitrage activity. However, inventory holding costs can impact the ability of traders to engage in arbitrage. This paper develops a microstructure model to analyze the impact of these costs on the price accuracy of Uniswap. The model is estimated using price data from Uniswap and Binance. I find that traders are less likely to close the arbitrage opportunities as the size of the pool increases, a finding that is in line with the impact of inventory holding costs.
Link: https://drive.google.com/file/d/1Exoj9ksfeX0KGxOPQ6e_hNuOAK4xSS57/view