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This paper presents the results of a comprehensive empirical study of losses to arbitrageurs (following the formalization of loss-versus-rebalancing by [Milionis et al., 2022]) incurred by liquidity providers on automated market makers…
Interaction strategies for reward in competitive environments are significantly influenced by the nature and extent of available information. In financial markets, particularly foreign exchange (forex), traders operate independently with…
Traders buy and sell financial instruments in hopes of making profit, and brokers are responsible for the transaction. There are several hypotheses and conspiracy theories arguing that in some situations, brokers want their traders to lose…
We performed the first systematic study of a new attack on Ethereum that steals cryptocurrencies. The attack is due to the unprotected JSON-RPC endpoints existed in Ethereum nodes that could be exploited by attackers to transfer the Ether…
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…
Money laundering is a global problem that concerns legitimizing proceeds from serious felonies (1.7-4 trillion euros annually) such as drug dealing, human trafficking, or corruption. The anti-money laundering systems deployed by financial…
The evaluation of the financial markets to predict their behaviour have been attempted using a number of approaches, to make smart and profitable investment decisions. Owing to the highly non-linear trends and inter-dependencies, it is…
Rollups have become the de facto scalability solution for Ethereum, securing more than $55B in assets. They achieve scale by executing transactions on a Layer 2 ledger, while periodically posting data and finalizing state on the Layer 1,…
We develop a game theoretic model of malware protection using the state-of-the-art sandbox method, to characterize and compute optimal defense strategies for anti-malware. We model the strategic interaction between developers of malware (M)…
Due to the broad range of applications of stochastic multi-armed bandit model, understanding the effects of adversarial attacks and designing bandit algorithms robust to attacks are essential for the safe applications of this model. In this…
With the success of modern machine learning, it is becoming increasingly important to understand and control how learning algorithms interact. Unfortunately, negative results from game theory show there is little hope of understanding or…
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 past decade has witnessed the burgeoning and continuous development of blockchain and its applications. Besides various cryptocurrencies, an industry that has quickly embraced this trend is gaming. Thanks to the support of blockchain,…
We study optimal liquidation in the presence of linear temporary and transient price impact along with taking into account a general price predicting finite-variation signal. We formulate this problem as minimization of a cost-risk…
Automated market makers (AMMs) allocate fee revenue \textit{proportional} to the amount of liquidity investors deposit. In this paper, we study the economic consequences of the competition between passive liquidity providers (LPs) caused by…
This study investigates the prevention of market manipulation using a price-impact model of financial market trading as a linear system. First, I define a trading game between speculators such that they implement a manipulation trading…
Despite the popularity of Hashed Time-Locked Contracts (HTLCs) because of their use in wide areas of applications such as payment channels, atomic swaps, etc, their use in exchange is still questionable. This is because of its incentive…
The web3 applications have recently been growing, especially on the Ethereum platform, starting to become the target of scammers. The web3 scams, imitating the services provided by legitimate platforms, mimic regular activity to deceive…
Algorithmic trading in modern financial markets is widely acknowledged to exhibit strategic, game-theoretic behaviors whose complexity can be difficult to model. A recent series of papers (Chriss, 2024b,c,a, 2025) has made progress in the…
We consider the impact of trading fees on the profits of arbitrageurs trading against an automated market maker (AMM) or, equivalently, on the adverse selection incurred by liquidity providers (LPs) due to arbitrage. We extend the model of…