Related papers: Cyclic Arbitrage in Decentralized Exchanges
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…
We introduce systematic tests exploiting robust statistical and behavioral patterns in trading to detect fake transactions on 29 cryptocurrency exchanges. Regulated exchanges feature patterns consistently observed in financial markets and…
There is vast empirical evidence that given a set of assumptions on the real-world dynamics of an asset, the European options on this asset are not efficiently priced in options markets, giving rise to arbitrage opportunities. We study…
We study optimal execution in markets with transient price impact in a competitive setting with $N$ traders. Motivated by prior negative results on the existence of pure Nash equilibria, we consider randomized strategies for the traders and…
A seller offers an asset in a decentralised market. Buyers have private signals about their common value. I study whether the market becomes allocatively more efficient with (i) more buyers, (ii) better-informed buyers. Both increase the…
Decentralized Finance (DeFi) money markets have seen explosive growth in recent years, with billions of dollars borrowed in various cryptocurrency assets. Key to the safety of money markets is the implementation of interest rates that…
We investigate the optimal execution of contracts that are used in merger\&acquisition deals. We consider cash-settled and physically delivered contracts between a broker and a counterpart. Contracts are linear (total returns swaps),…
The increasing use of cryptoassets for international remittances has proven to be faster and more cost-effective, particularly for migrants without access to traditional banking. However, the inherent volatility of cryptoasset prices,…
There is growing interest in providing programmatic access to the value locked in Bitcoin, which famously offers limited programmability itself. Various approaches have been put forth in recent years, with the vast majority of proposed…
In this paper we formulate the fixed budget resource allocation game to understand the performance of a distributed market-based resource allocation system. Multiple users decide how to distribute their budget (bids) among multiple machines…
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…
Improving transaction throughput is one of the main challenges in decentralized payment systems. Attempts to improve transaction throughput in cryptocurrencies are usually a trade-off between throughput and security or introduce a central…
Automated design of multi-agent interactions with desirable equilibrium outcomes is inherently difficult due to the computational hardness, non-uniqueness, and instability of the resulting equilibria. In this work, we propose the use of…
In barter exchanges agents enter seeking to swap their items for other items on their wishlist. We consider a centralized barter exchange with a set of agents and items where each item has a positive value. The goal is to compute a…
In this paper, we present a pricing mechanism that aligns incentives of agents who exchange resources on a decentralized ledger with the goal of maximizing transaction throughput. Subdividing a blockchain ledger into shards promises to…
Decentralized Finance (DeFi) is a nascent set of financial services, using tokens, smart contracts, and blockchain technology as financial instruments. We investigate four possible drivers of DeFi returns: exposure to cryptocurrency market,…
Cross-chain bridges are essential decentralized applications (DApps) to facilitate interoperability between different blockchain networks. Unlike regular DApps, the functionality of cross-chain bridges relies on the collaboration of…
Bitcoin is a digital currency designed to rely on a decentralized, trustless network of anonymous agents. Using a pseudonymous-address-linking procedure that achieves >99% sensitivity and >99% specificity, we reveal that between launch…
Financial markets have evolved over centuries, and exchanges have converged to rely on the order book mechanism for market making. Latency on the blockchain, however, has prevented decentralized exchanges (DEXes) from utilizing the order…
We explore stability and fairness considerations in decentralized networked markets with bilateral contracts, building on the trading networks framework [Hatfield et al., 2013]. In our trading network game, we show that a well-defined…