Time: 2 Sept, 2025, 15:30-17:30

Speaker: Min Dai, Chair Professor, HK Polytechnic University

Venue: 览秀楼105学术报告厅

Abstract:  Using address-level blockchain data, we show that Bitcoin, as a virtual resource, does not conform to the Hotelling rule: miners’ supply decisions respond to inventory levels but not to prices. To explain this, we develop a dynamic mining model that balances the option value of holding Bitcoin against its opportunity cost. Partial irreversibility of supply ensures a positive option value, but high jump risk reduces it, leading miners to supply at rates largely independent of price and proportional to inventories. Model calibration demonstrates alignment with miners’ inventory dynamics and variations in average transaction fee rates. This work is jointly with Wei Jiang, Steven Kou, and Cong Qin.

Bio:戴民教授现任香港理工大学讲座教授，曾任新加坡国立大学数量金融中心主任、风险管理研究所副所长。在金融衍生产品定价与对冲、动态投资策略、缺乏流动性的投资组合设计等领域做了很多深入的工作。文章发表在Journal of Finance, Journal of Economic Theory, Management Science, Mathematical Finance, Review of Financial Studies等国际top期刊。目前担任SIAM Journal on Financial Mathematics，Journal of Economic Dynamics & Control等期刊编委。