Bloomberg Quant (BBQ) Seminar – March 2025
In this seminar chaired by Bruno Dupire, Agostino Capponi, Columbia University, will present the keynote, followed by “lightning talks” of 5 minutes each in quick succession.
5:30PM
Keynote Speaker: Agostino Capponi
Professor, Department of Industrial Engineering and Operations Research
Director of the Center for Digital Finance and Technologies
Columbia University
The Microstructure of Automated Market Makers: Automated Market Makers (AMMs) are an innovative market structure that facilitates asset trading through crowdsourced liquidity pools. Currently, AMMs account for approximately 15-20% of global crypto-asset trading volume. In this talk, I discuss the market microstructure of AMMs. Unlike centralized limit order books (CLOBs), which rely on dynamic and active order placements and cancellations by market makers, AMM prices are determined entirely by the liquidity pool's inventory through a bonding curve, allowing liquidity providers to remain passive.
I conceptualize AMM pricing rules through the lens of a synthetic limit order book, demonstrating how the convexity of the bonding curve directly influences the distribution of liquidity across price levels in the synthetic order book. I examine how price impact depends jointly on the liquidity pool's depth and the AMM curve's convexity. I discuss refinements to the basic AMM market structure aimed at enhancing capital efficiency, enabling liquidity providers to concentrate their assets within specific price ranges rather than distributing liquidity across all prices. However, this refinement exposes liquidity providers to the risk of being crowded out by just-in-time liquidity providers, potentially reducing their pro-rata share of fees and leading to liquidity freezes.
6:30 PM
Lightning Talks
- Frederic Siboulet | New York University
AI Old Myth and New Reality
- Dan Wang | JP Morgan Asset Management
Polymodels for Asset Allocation with Machine Learning
- Meriel Melendrez Mees | Independent Scholar
A Double Bind in Collective Intelligence: An Opportunity to Reconsider Evolutionary Finance - Ruben Wiedemann | Imperial College
Operator Deep Smoothing for Implied Volatility
- Abhinav Havaldar | Bloomberg
Transformers Are All You Need
Speakers
Bruno Dupire
Global Head of Quantitative Research, CTO Office
Bloomberg
Bruno Dupire is the Global Head of Quantitative Research, CTO Office at Bloomberg, which he joined in 2004. Prior to this assignment in New York, he has headed the Derivatives Research teams at Société Générale, Paribas Capital Markets and Nikko Financial Products where he was a Managing Director. He is best known for having pioneered the widely used Local Volatility model (simplest extension of the Black-Scholes-Merton model to fit all option prices) in 1993 and the Functional Itô Calculus (framework for path dependency) in 2009. He is a Fellow and Adjunct Professor at NYU and he is in the Risk magazine “Hall of Fame”. He is the recipient of the 2006 “Cutting edge research” award of Wilmott Magazine and of the Risk Magazine “Lifetime Achievement” award for 2008. He runs and organizes the Bloomberg Quant (BBQ) seminar, the largest monthly event of this kind.
Agostino Capponi
Professor, Department of Industrial Engineering and Operations Research
Columbia University
Agostino Capponi is a Professor in the Department of Industrial Engineering and Operations Research at Columbia University, where he is also a member of the Data Science Institute and the founding director of the Columbia Center for Digital Finance and Technology. His current research interests are in decentralized finance, machine learning in finance, market microstructure, systemic and liquidity risk, climate finance, and financial networks. Agostino's research has been recognized with the 2018 NSF CAREER award, a JP Morgan AI Research Faculty award, the UBRI Innovator award, and the Presidential Early Career Award for Scientists and Engineers award. His research has also been covered by various media outlets, including Bloomberg, the Financial Times, Vox, and Politico. Agostino is a fellow of the crypto and blockchain economics research forum, and an academic fellow of Alibaba's Luohan academy. Agostino is co-editor of the book Machine Learning and Data Sciences for Financial Markets: A Guide to Contemporary Practices, published in 2023 by the Cambridge University press.