Related papers: Toxic Liquidation Spirals
We develop a new framework to detect wash trading in crypto assets through real-time liquidity fluctuation. We propose that short-term price jumps in crypto assets results from wash trading-induced liquidity fluctuation, and construct two…
The Ethereum blockchain platform supports the execution of decentralised applications or smart contracts. These typically hold and transfer digital currency to other parties on the platform; however, they have been subject to numerous…
This paper addresses the lack of research on quantifying Maximal Extractable Value (MEV) on Ethereum Layer 2 networks (L2s). Our findings reveal a substantial amount of MEV to be extracted on L2s, particularly on Polygon, with a lower bound…
In this article, we develop an interdisciplinary analysis of MEV which desires to merge the gap that exists between technical and legal research supporting policymakers in their regulatory decisions concerning blockchains, DeFi and…
Blockchain sharding improves the scalability of blockchain systems by partitioning the whole blockchain state, nodes, and transaction workloads into different shards. However, existing blockchain sharding systems generally suffer from a…
Optimal liquidation of an asset with unknown constant drift and stochastic regime-switching volatility is studied. The uncertainty about the drift is represented by an arbitrary probability distribution; the stochastic volatility is…
Autonomous Market Makers (AMMs) rely on arbitrage to facilitate passive price updates. Liquidity fragmentation poses a complex challenge across different blockchain networks. This paper proposes FluxLayer, a solution to mitigate fragmented…
Structured data-quality issues, such as missing values correlated with demographics, culturally biased labels, or systemic selection biases, routinely degrade the reliability of machine-learning pipelines. Regulators now increasingly demand…
Blockchains offer strong security guarantees, but they cannot protect the ordering of transactions. Powerful players, such as miners, sequencers, and sophisticated bots, can reap significant profits by selectively including, excluding, or…
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…
Maximal Extractable Value (MEV) refers to a wide class of economic attacks to public blockchains, where adversaries with the power to reorder, drop or insert transactions in a block can "extract" value from smart contracts. Empirical…
In a one-sided limit order book, satisfying some realistic assumptions, where the unaffected price process follows a Levy process, we consider a market agent that wants to liquidate a large position of shares. We assume that the agent has…
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…
The Ethereum blockchain network enables transaction processing and smart-contract execution through levies of transaction fees, commonly known as gas fees. This framework mediates economic participation via a market-based mechanism for gas…
Client diversity is a cornerstone of blockchain resilience, yet most networks suffer from a dangerously skewed distribution of client implementations. This monoculture exposes the network to very risky scenarios, such as massive financial…
Regulatory authorities aim to tackle illegal activities by targeting the economic incentives that drive such behaviour. This is typically achieved through the implementation of financial sanctions against the entities involved in the…
Airdrops are a popular mechanism used by blockchain protocols to bootstrap communities, reward early adopters, and decentralize token distribution. Despite their widespread adoption, the effectiveness of airdrops in achieving long-term user…
The smart contract-based markets for non-fungible tokens (NFTs) on the Ethereum blockchain have seen tremendous growth in 2021, with trading volumes peaking at 3.5b in September 2021. This dramatic surge has led to industry observers…
We propose a unified structural credit risk model incorporating both insolvency and illiquidity risks, in order to investigate how a firm's default probability depends on the liquidity risk associated with its financing structure. We assume…
Recently, the notion of cryptocurrencies has come to the fore of public interest. These assets that exist only in electronic form, with no underlying value, offer the owners some protection from tracking or seizure by government or…