Conference Agenda

Tokenization of real-world assets (RWAs) promises enhanced accessibility and tradability in traditionally illiquid markets. Yet, achieving sustained liquidity and efficient price discovery in digital asset markets remains uncertain. We examine three liquidity mechanisms—automated market makers (AMMs), peer-to-peer (P2P) marketplaces, and centralized buybacks—using a dataset of 444,535 tokenized RWA transactions (2019–2024). We document arbitrage-driven liquidity flows, market fragmentation, and variations in investor sophistication. AMMs provide continuous liquidity but face systematic arbitrage-induced drainage. P2P marketplaces facilitate efficient price discovery, while buybacks offer stable yet inflexible exits. Our findings highlight the necessity of hybrid liquidity models integrating centralized and decentralized features; otherwise, RWA markets risk evolving into fragmented digital search markets rather than efficient trading ecosystems.

Using novel transaction and quote data, we show that transaction costs in the SOFR swap market are 1) low on average; 2) higher for client-to-dealer than interdealer trades reflecting differences in (permanent) price impact; 3) increase in trade size (measured in terms of interest rate risk), are lower for package transactions, and increase in interest rate volatility, client order imbalance, and dealer credit spreads; 4) moderately higher than for similar-sized interdealer Treasury trades; 5) stable over time, except during the banking crisis in March 2023 and the tariff-induced crisis in April 2025. Overall we determine that the SOFR swap market operates efficiently, though the functioning of the client-to-dealer segment may deteriorate somewhat during crisis periods.