Related papers: Cyclic Arbitrage in Decentralized Exchanges
A blockchain replaces central counterparties with time-consuming consensus protocols to record the transfer of ownership. This settlement latency slows cross-exchange trading, exposing arbitrageurs to price risk. Off-chain settlement,…
We present a measurement study on compositions of Decentralized Finance protocols, which aim to disrupt traditional finance and offer services on top of distributed ledgers, such as Ethereum. DeFi compositions may impact the development of…
As cryptocurrency evolved, new financial instruments, such as lending and borrowing protocols, currency exchanges, fungible and non-fungible tokens (NFT), staking and mining protocols have emerged. A financial ecosystem built on top of a…
This paper addresses the question of how much to bid to maximize the profit when trading in two electricity markets: the hourly Day-Ahead Auction and the quarter-hourly Intraday Auction. For optimal coordinated bidding many price scenarios…
Uniswap is a decentralized exchange (DEX) and was first launched on November 2, 2018 on the Ethereum mainnet [1] and is part of an Ecosystem of products in Decentralized Finance (DeFi). It replaces a traditional order book type of trading…
We study a new "laminated" queueing model for orders on batched trading venues such as decentralised exchanges. The model aims to capture and generalise transaction queueing infrastructure that has arisen to organise MEV activity on public…
Modern distributed data management systems face a new challenge: how can autonomous, mutually-distrusting parties cooperate safely and effectively? Addressing this challenge brings up questions familiar from classical distributed systems:…
We identify a subtle security issue that impacts the design of smart contracts, because agents may themselves deploy smart contracts (side contracts). Typically, equilibria of games are analyzed in vitro, under the assumption that players…
Current blockchain technologies provide very limited interoperability. Restrictions with regards to asset transfers and data exchange between different blockchains reduce usability and comfort for users, and hinder novel developments within…
Transaction fee mechanism design is a new decentralized mechanism design problem where users bid for space on the blockchain. Several recent works showed that the transaction fee mechanism design fundamentally departs from classical…
We consider the problem of learning stable matchings with unknown preferences in a decentralized and uncoordinated manner, where "decentralized" means that players make decisions individually without the influence of a central platform, and…
A blockchain system is a replicated state machine that must be fault tolerant. When designing a blockchain system, there is usually a trade-off between decentralization, scalability, and security. In this paper, we propose a novel…
This paper studies the optimal clearing problem for prosumers in peer-to-peer (P2P) energy markets. It is proved that if no trade weights are enforced and the communication structure between successfully traded peers is connected, then the…
In recent years, cryptocurrencies have attracted growing attention from both private investors and institutions. Among them, Bitcoin stands out for its impressive volatility and widespread influence. This paper explores the predictability…
This research analyses high-frequency data of the cryptocurrency market in regards to intraday trading patterns related to algorithmic trading and its impact on the European cryptocurrency market. We study trading quantitatives such as…
While online interactions and exchanges have grown exponentially over the past decade, most commercial infrastructures still operate through centralized protocols, and their success essentially depends on trust between different economic…
Traditional public blockchain systems typically had very limited transaction throughput because of the bottleneck of the consensus protocol itself. With recent advances in consensus technology, the performance limit has been greatly lifted,…
The classical discrete time model of proportional transaction costs relies on the assumption that a feasible portfolio process has solvent increments at each step. We extend this setting in two directions, allowing for convex transaction…
Matching algorithms have demonstrated great success in several practical applications, but they often require centralized coordination and plentiful information. In many modern online marketplaces, agents must independently seek out and…
We present an experimental study of decentralized two-sided matching markets with no transfers. Experimental participants are informed of everyone's preferences and can make arbitrary non-binding match offers that get finalized when a…