I am a research associate at the WBS Gillmore Centre for Financial Technology.
I hold Ph.D. in Finance from Warwick Business School of the University of Warwick.
My research interests include Financial Market Structures, Economic Networks and DeFi.
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Zhengge Zhou (modified in August 2026)
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.
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