I am a Lecturer in Digital Finance at the University of Western Australia Business School.
I hold a PhD in Finance from Warwick Business School and an MSc in Financial Mathematics from UCL.
My research topics include Financial Market Structures, Economic Networks and FinTech.
Email: seczhou AT outlook.com
Working papers
Optimal Automated Market Makers
The Walrasian auctioneer in standard economics achieves efficient asset allocation but remains a theoretical abstraction. In the context of blockchain-based financial exchanges, this paper demonstrates that an automated market-making algorithm can act as a Walrasian auctioneer. Specifically, this algorithm results in a pricing schedule formed as a (liquidity-) weighted average over the demand schedules submitted by liquidity providers, whereby minimising trading costs for exchange traders. This design is implementable when liquidity providers govern the exchange in a decentralised manner.
Inventory Management in Networked Over-the-counter Markets
Dealers are interconnected through a network of trading relationships. While a fully connected interdealer network is optimal in social welfare, it may not benefit the OTC market stability when key dealers enter or exit the market.
Middlemen in OTC Markets with Search Frictions and Asymmetric Information w/ Roman Kozhan (Warwick)
Despite losses caused by adverse selection and search frictions, dealers continue to enter the OTC market and trade with speculative customers for information. Dealers exploit this information by re-trading with liquidity customers in later stages.