Related papers: Cyclic Arbitrage in Decentralized Exchanges
While quantitative automation related to trading crypto-assets such as ERC-20 tokens has become relatively commonplace, with services such as 3Commas and Shrimpy offering user-friendly web-driven services for even the average crypto trader,…
The evolution of blockchain technology, from its origins as a decentralized ledger for cryptocurrencies to its broader applications in areas like decentralized finance (DeFi), has significantly transformed financial ecosystems while…
Blockchain-based cryptocurrencies prioritize transactions based on their fees, creating a unique kind of fee market. Empirically, this market has failed to yield stable equilibria with predictable prices for desired levels of service. We…
We consider a trading marketplace that is populated by traders with diverse trading strategies and objectives. The marketplace allows the suppliers to list their goods and facilitates matching between buyers and sellers. In return, such a…
Decentralized cryptocurrency exchanges offer compelling security benefits over centralized exchanges: users control their funds and avoid the risk of an exchange hack or malicious operator. However, because user assets are fully accessible…
We find an approximate Nash equilibrium in a game between decentralized exchanges (DEXs) that compete for order flow by setting dynamic trading fees. We characterize the equilibrium via a coupled system of partial differential equations and…
The number of attacks and accidents leading to significant losses of crypto-assets is growing. According to Chainalysis, in 2021, approx. $14 billion has been lost due to various incidents, and this number is dominated by Decentralized…
Cryptoassets such as cryptocurrencies and tokens are increasingly traded on decentralized exchanges. The advantage for users is that the funds are not in custody of a centralized external entity. However, these exchanges are prone to…
This paper proposes two decentralised, secure and privacy-friendly protocols for local electricity trading and billing, respectively. The trading protocol employs a bidding algorithm based upon secure multiparty computations and allows…
The Uniswap is a Decentralized Exchange (DEX) protocol that facilitates automatic token exchange without the need for traditional order books. Every pair of tokens forms a liquidity pool on Uniswap, and each token can be paired with any…
Investments in cryptocurrencies (CCs) remain risky due to high volatility. Exchange Traded Funds (ETFs) are a suitable tool to diversify risk and to benefit from the growth of the whole CC sector. We construct an ETF on the CRIX, the…
Many classical blockchains are known to have an embarrassingly low transaction throughput, down to Bitcoin's notorious seven transactions per second limit.Various proposals and implementations for increasing throughput emerged in the first…
Decentralized finance (DeFi) in Ethereum is a financial ecosystem built on the blockchain that has locked over 200 billion USD until April 2022. All transaction information is transparent and open when transacting through the DeFi protocol,…
In this paper, I introduce a profit-maximizing centralized marketplace into a decentralized market with search frictions. Agents choose between the centralized marketplace and the decentralized bilateral trade. I characterize the optimal…
We propose a new, more potent attack on decentralized exchanges. This attack leverages absolute commitments, which are commitments that can condition on the strategies made by other agents. This attack allows an adversary to charge monopoly…
In this paper, we construct a decentralized clearing mechanism which endogenously and automatically provides a claims resolution procedure. This mechanism can be used to clear a network of obligations through blockchain. In particular, we…
In a decentralized environment, exchanging resources requires users to bargain until an agreement is found. Moreover, human agreements involve a combination of collaborative and selfish behavior and often induce circularity, complicating…
One of the exciting recent developments in decentralized finance (DeFi) has been the development of decentralized cryptocurrency exchanges that can autonomously handle conversion between different cryptocurrencies. Decentralized exchange…
This research proposes a novel arbitrage approach in multivariate pair trading, termed the Optimal Trading Technique (OTT). We present a method for selectively forming a "bucket" of fiat currencies anchored to cryptocurrency for monitoring…
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…