Related papers: Cyclic Arbitrage in Decentralized Exchanges
As of August 2022, blockchain-based assets boast a combined market capitalisation exceeding one trillion USD, among which the most prominent are the decentralised autonomous organisation (DAO) tokens associated with decentralised finance…
Intent-based cross-chain bridges have emerged as an alternative to traditional interoperability protocols by allowing off-chain entities (\emph{solvers}) to immediately fulfill users' orders by fronting their own liquidity. While improving…
Deep Reinforcement Learning solutions have been applied to different control problems with outperforming and promising results. In this research work we have applied Proximal Policy Optimization, Soft Actor-Critic and Generative Adversarial…
In the ever evolving landscape of decentralized finance automated market makers (AMMs) play a key role: they provide a market place for trading assets in a decentralized manner. For so-called bluechip pairs, arbitrage activity provides a…
We present efficient protocols for amortized secure multiparty computation with penalties and secure cash distribution, of which poker is a prime example. Our protocols have an initial phase where the parties interact with a cryptocurrency…
This paper presents an optimal peer-to-peer (P2P) energy transaction mechanism leveraging decentralized blockchain technology to enable a secure and scalable retail electricity market for the increasing penetration of distributed energy…
Decentralized Finance (DeFi) applications introduce novel financial instruments replicating and extending traditional ones through blockchain-based smart contracts. Among these applications, DeFi derivatives protocols enable the creation…
This paper introduces peer to peer (P2P) trading mechanisms based on decentralized Blockchain to facilitate retail electricity market for ever-increasing distributed energy resources (DERs). The Blockchain network supports fast and secure…
Financial speculators often seek to increase their potential gains with leverage. Debt is a popular form of leverage, and with over 39.88B USD of total value locked (TVL), the Decentralized Finance (DeFi) lending markets are thriving.…
We propose a smart contract that allows two mutually distrusting parties to transact any non-digital good or service by deploying a smart contract on a blockchain to act as escrow. The contract settles disputes by letting parties wager that…
As cryptocurrencies gain popularity and credibility, marketplaces for cryptocurrencies are growing in importance. Understanding the dynamics of these markets can help to assess how viable the cryptocurrnency ecosystem is and how design…
An automated market maker (AMM) is a state machine that manages pools of assets, allowing parties to buy and sell those assets according to a fixed mathematical formula. AMMs are typically implemented as smart contracts on blockchains, and…
We consider Geometric Mean Market Makers -- a special type of Decentralized Exchange -- with two types of users: liquidity takers and arbitrageurs. Liquidity takers trade at prices that can create arbitrage opportunities, while arbitrageurs…
Traditional blockchain design gives miners or validators full control over transaction ordering, i.e., they can freely choose which transactions to include or exclude, as well as in which order. While not an issue initially, the emergence…
We study recurrent patterns in volatility and volume for major cryptocurrencies, Bitcoin and Ether, using data from two centralized exchanges (Coinbase Pro and Binance) and a decentralized exchange (Uniswap V2). We find systematic patterns…
The development of blockchain technologies has enabled the trustless execution of so-called smart contracts, i.e. programs that regulate the exchange of assets (e.g., cryptocurrency) between users. In a decentralized blockchain, the state…
Decentralized crypto-currencies based on the blockchain architecture under-utilize available network bandwidth, making them unable to scale to thousands of transactions per second. We define the Blockclique architecture, that addresses this…
We construct an empirically founded model of a repo trade intermediated by two broker-dealers and prove multiple equilibrium and the existence of equilibrium at the joint profit maximizing volume of trade. We then present a smart contract…
The standard approach for compensating liquidity providers on many decentralized exchanges (DEX) for serving as counter-party to swaps is through charging a small percentage of fees. The expected payoff from the cash flow of this mode of…
Opportunities for stochastic arbitrage in an options market arise when it is possible to construct a portfolio of options which provides a positive option premium and which, when combined with a direct investment in the underlying asset,…