Related papers: Lissy: Experimenting with on-chain order books
Automated Market Makers (AMMs) are used to provide liquidity for combinatorial prediction markets that would otherwise be too thinly traded. They offer both buy and sell prices for any of the doubly exponential many possible securities that…
New technologies, such as blockchain, are designed to address various system weaknesses, particularly those related to security. Blockchain can enhance numerous aspects of traditional banking systems by transforming them into digital,…
As an integral part of the decentralized finance (DeFi) ecosystem, decentralized exchanges (DEXs) with automated market maker (AMM) protocols have gained massive traction with the recently revived interest in blockchain and distributed…
Consensus protocols are currently the bottlenecks that prevent blockchain systems from scaling. However, we argue that transaction execution is also important to the performance and security of blockchains. In other words, there are ample…
This paper measures price differences between Hegic option quotes on Arbitrum and a model-based benchmark built on Black--Scholes model with regime-sensitive volatility estimated via a two-regime MS-AR-(GJR)-GARCH model. Using option-level…
Billions of dollars are lost every year in DeFi platforms by transactions exploiting business logic or accounting vulnerabilities. Existing defenses focus on static code analysis, public mempool screening, attacker contract detection, or…
Automated Market Makers (AMMs) have cemented themselves as an integral part of the decentralized finance (DeFi) space. AMMs are a type of exchange that allows users to trade assets without the need for a centralized exchange. They form the…
Decentralized exchanges are widely used platforms for trading crypto assets. The most common types work with automated market makers (AMM), allowing traders to exchange assets without needing to find matching counterparties. Thereby,…
In the last few years, electric utility companies have increasingly invested into transactive energy systems. This trend was primarily caused by the integration of distributed energy resources (DERs) and internet-of-things (IoT) devices…
Decentralized exchanges (DEXs) allow parties to participate in financial markets while retaining full custody of their funds. However, the transparency of blockchain-based DEX in combination with the latency for transactions to be…
The properties of tokens within the Ethereum blockchain, such as their current prices, trade volumes, and potential future values, have been the subjects of numerous studies. Employing social networks and graphs, as powerful tools for…
Limited scalability and transaction costs are, among others, some of the critical issues that hamper a wider adoption of distributed ledger technologies (DLT). That is particularly true for the Ethereum blockchain, which, so far, has been…
Blockchain systems come with the promise of being inclusive for a variety of decentralized applications (DApps) that can serve different purposes and have different urgency requirements. Despite this, the transaction fee mechanisms…
The study proposes a quote-driven predictive automated market maker (AMM) platform with on-chain custody and settlement functions, alongside off-chain predictive reinforcement learning capabilities to improve liquidity provision of…
Participation in permissionless blockchains results in competition over system resources, which needs to be controlled with fees. Ethereum's current fee mechanism is implemented via a first-price auction that results in unpredictable fees…
In the context of decentralized blockchains, accurately simulating the outcome of order flow auctions (OFAs) off-chain is challenging due to adversarial sequencing, encrypted bids, and frequent state changes. Existing approaches, such as…
Financial exchanges are migrating to the cloud, but the best-effort nature of the public cloud is at odds with the stringent latency requirements of exchanges. We present Jasper, a system for meeting the networking requirements of financial…
Automated Market Makers (AMMs) are a class of smart contracts on Ethereum and other blockchains that "make markets" autonomously. In other words, AMMs stand ready to trade with other market participants that interact with them, at the…
Liquidity providers (LPs) on decentralized exchanges (DEXs) can protect themselves from adverse selection risk by updating their positions more frequently. However, repositioning is costly, because LPs have to pay gas fees for each update.…
Atomic swaps have been widely considered to be an ideal solution for cross-chain cryptocurrency transactions due to their trustless and decentralized nature. However, their adoption in practice has been strictly limited compared to…