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B6: Market Microstructure
Time:
Friday, 19/Sept/2025:
11:30am - 1:00pm
Session Chair: Lennart Sperling
Location: Building 11, Room D 0002/3
Presentations
11:30am - 12:00pm Liquidity mechanisms in decentralized finance: Design, fragmentation, and arbitrage in real-world asset markets
Ralf Laschinger1 , Heiko Leonhard 2 , Gregor Dorfleitner3 , Wolfgang Schäfers4
1 LMU Munich School of Management, Germany; 2 International Real Estate Business School, University of Regensburg; 3 Department of Finance, University of Regensburg; 4 International Real Estate Business School, University of Regensburg
Discussant: Lennart Sperling (FernUniversität in Hagen)
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.
12:00pm - 12:30pm SOFR so good: Transaction costs and resilience in the post-Libor swap market
Jan Gabriel Roth , Anders Bjerre Trolle
Copenhagen Business School, Denmark
Discussant: Heiko Leonhard (University of Regensburg)
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.
