Related papers: Towards a Theory of Maximal Extractable Value I: C…

Maximal extractable value (MEV) in which block proposers unethically gain profits by manipulating the order in which transactions are included within a block, is a key challenge facing blockchains such as Ethereum today. Left unchecked, MEV…

The asset trading volume on blockchain-based exchanges (DEX) increased substantially since the advent of Automated Market Makers (AMM). Yet, AMMs and their forks compete on the same blockchain, incurring unnecessary network and block-space…

The rise of Ethereum and other blockchains that support smart contracts has led to the creation of decentralized exchanges (DEXs), such as Uniswap, Balancer, Curve, mStable, and SushiSwap, which enable agents to trade cryptocurrencies…

The Ethereum block-building process has changed significantly since the emergence of Proposer-Builder Separation. Validators access blocks through a marketplace, where block builders bid for the right to construct the block and earn MEV…

We investigate the most common type of blockchain-based decentralized exchange, which are known as constant function market makers (CFMMs). We examine the the market microstructure around CFMMs and present a model for valuing the liquidity…

We describe a plausible probabilistic model for a blockchain queueing environment in which rational, profit-maximising schedulers impose adversarial disciplines on incoming messages containing a payload that encodes a state transition in a…

Possible manipulation of user transactions by miners in a permissionless blockchain systems is a growing concern. This problem is a pervasive and systemic issue, known as Miner Extractable Value (MEV), incurs highs costs on users of…

Automated market makers (AMMs) are a new prototype of decentralised exchanges which are revolutionising market interactions. The majority of AMMs are constant product markets (CPMs) where exchange rates are set by a trading function. This…

The rise of Ethereum has lead to a flourishing decentralized marketplace that has, unfortunately, fallen victim to frontrunning and Maximal Extractable Value (MEV) activities, where savvy participants game transaction orderings within a…

Constant Function Market Makers (CFMMs) are a family of automated market makers that enable censorship-resistant decentralized exchange on public blockchains. Arbitrage trades have been shown to align the prices reported by CFMMs with those…

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…

We argue that the machine learning value chain is structurally unsustainable due to an economic data processing inequality: each state in the data cycle from inputs to model weights to synthetic outputs refines technical signal but strips…

The distribution of block maxima of sequences of independent and identically-distributed random variables is used to model extreme values in many disciplines. The traditional extreme value (EV) theory derives a closed-form expression for…

Constant Function Market Makers (CFMMs) are a tool for creating exchange markets, have been deployed effectively in prediction markets, and are now especially prominent in the Decentralized Finance ecosystem. We show that for any set of…

We examine the current state of the cross-domain world, with particular focus on the protocols being used/planned for use by multi-domain users. We build on existing frameworks for analyzing how MEV is extracted, while also adding a new…

We propose a novel neural network architecture that enables non-parametric calibration and generation of multivariate extreme value distributions (MEVs). MEVs arise from Extreme Value Theory (EVT) as the necessary class of models when…

Batch auctions are a classical market microstructure, acclaimed for their fairness properties, and have received renewed interest in the context of blockchain-based financial systems. Constant function market makers (CFMMs) are another…

Blockchain has empowered computer systems to be more secure using a distributed network. However, the current blockchain design suffers from fairness issues in transaction ordering. Miners are able to reorder transactions to generate…

Traditional single-proposer blockchains suffer from miner extractable value (MEV), where validators exploit their serial monopoly on transaction inclusion and ordering to extract rents from users. While there have been many developments at…

The Empirical Revenue Maximization (ERM) is one of the most important price learning algorithms in auction design: as the literature shows it can learn approximately optimal reserve prices for revenue-maximizing auctioneers in both repeated…