Related papers: Cyclic Arbitrage in Decentralized Exchanges
The use of blockchains for automated and adversarial trading has become commonplace. However, due to the transparent nature of blockchains, an adversary is able to observe any pending, not-yet-mined transactions, along with their execution…
We investigate the welfare loss of continuous and discrete order matching models in blockchain-based decentralized exchanges (DEX) that utilize order books to record outstanding orders. Continuous processing matches each incoming…
We investigate the market microstructure of Automated Market Makers (AMMs), the most prominent type of blockchain-based decentralized exchanges. We show that the order execution mechanism yields token value loss for liquidity providers if…
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…
A central question of the Ethereum ecosystem is where Maximal Extractable Value (MEV)revenue originates and to what extent it stems from harming unsuspecting users. It is acceptable if MEV arises from arbitrages between centralised and…
We investigate triangular arbitrage within the spot foreign exchange market using high-frequency executable prices. We show that triangular arbitrage opportunities do exist, but that most have short durations and small magnitudes. We find…
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,…
The Foreign Exchange (Forex) is a large decentralized market, on which trading analysis and algorithmic trading are popular. Research efforts have been focusing on proof of efficiency of certain technical indicators. We demonstrate,…
The rapid growth of Decentralized Finance (DeFi) boosts the Ethereum ecosystem. At the same time, attacks towards DeFi applications (apps) are increasing. However, to the best of our knowledge, existing smart contract vulnerability…
We consider a prediction market in which all aspects are controlled by market forces, in particular the correct outcomes of events are decided by the market itself rather than by trusted arbiters. This kind of a decentralized prediction…
The XRP Ledger (XRPL) is a peer-to-peer cryptographic ledger. It features a decentralized exchange (DEX) where network participants can issue and trade user-defined digital assets and currencies. We present Jack the Rippler, a bot that…
We develop a model of coordination and allocation of decentralized multi-sided markets, in which our theoretical analysis is promisingly optimizing the decentralized transaction packaging process at high-throughput blockchains or Web 3.0…
The decentralized exchange (DEX) leverages smart contracts to trade digital assets for users on the blockchain. Developers usually develop several smart contracts into one project, implementing complex logic functions and multiple…
The limit order book mechanism has been the core trading mechanism of the modern financial market. In the cryptocurrency market, centralized exchanges also adopt this limit order book mechanism and a centralized matching engine dynamically…
The advent of Ethereum 2.0 has introduced significant changes, particularly the shift to Proof-of-Stake consensus. This change presents new opportunities and challenges for arbitrage. Amidst these changes, we introduce BriDe Arbitrager, a…
Algorithmic trading is well studied in traditional financial markets. However, it has received less attention in centralized cryptocurrency exchanges. The Commodity Futures Trading Commission (CFTC) attributed the $2010$ flash crash, one of…
Exchanges acquire excess processing capacity to accommodate trading activity surges associated with zero-sum high-frequency trader (HFT) "duels." The idle capacity's opportunity cost is an externality of low-latency trading. We build a…
Statistical arbitrage exploits temporal price differences between similar assets. We develop a unifying conceptual framework for statistical arbitrage and a novel data driven solution. First, we construct arbitrage portfolios of similar…
The transaction ordering dependency of the smart contracts building decentralized exchanges (DEXes) allow for predatory trading strategies. In particular, front-running attacks present a constant risk for traders on DEXes. Whereas legal…
Machine learning and AI-assisted trading have attracted growing interest for the past few years. Here, we use this approach to test the hypothesis that the inefficiency of the cryptocurrency market can be exploited to generate abnormal…