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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…
Decentralized Ledger Technology, popularized by the Bitcoin network, aims to keep track of a ledger of valid transactions between agents of a virtual economy without a central institution for coordination. In order to keep track of a…
In financial applications, latency advantages -- the ability to make decisions later than others, even without the ability to see what others have done -- can provide individual participants with an edge by allowing them to gather…
The recently proposed Transaction Fee Mechanism (TFM) literature studies the strategic interaction between the miner of a block and the transaction creators (or users) in a blockchain. In a TFM, the miner includes transactions that maximize…
Maximal Extractable Value (MEV) searching has gained prominence on the Ethereum blockchain since the surge in Decentralized Finance activities. In Ethereum, MEV extraction primarily hinges on fee payments to block proposers. However, in…
Multi-block MEV (MMEV) denotes the practice of securing k-consecutive blocks in an attempt at extracting surplus value by manipulating transaction ordering. Following the implementation of pro-poser/builder separation (PBS) on Ethereum,…
Modern cryptocurrency systems, such as Ethereum, permit complex financial transactions through scripts called smart contracts. These smart contracts are executed many, many times, always without real concurrency. First, all smart contracts…
The paper deals with a sharing economy system with various management factors by using a bulk input G/M/1 type queuing model. The effective management of operating costs is vital for controlling the sharing economy platform and this…
While many distributed consensus protocols provide robust liveness and consistency guarantees under the presence of malicious actors, quantitative estimates of how economic incentives affect security are few and far between. In this paper,…
We study a model of congestible resources, where pricing and scheduling are intertwined. Motivated by the problem of pricing cloud instances, we model a cloud computing service as linked $GI/GI/\cdot$ queuing systems where the provider…
Blockchains add transactions to a distributed shared ledger by arriving at consensus on sets of transactions contained in blocks. This provides a total ordering on a set of global transactions. However, total ordering is not enough to…
Quorum is a permissioned blockchain platform built from the Ethereum codebase with adaptations to make it a permissioned consortium platform. It is one of the key contenders in the permissioned ledger space. Quorum supports confidentiality…
In a financial market, for agents with long investment horizons or at times of severe market stress, it is often changes in the asset price that act as the trigger for transactions or shifts in investment position. This suggests the use of…
We use historical data to estimate the potential benefit of speculative techniques for executing Ethereum smart contracts in parallel. We replay transaction traces of sampled blocks from the Ethereum blockchain over time, using a simple…
Order placement tactics play a crucial role in high-frequency trading algorithms and their design is based on understanding the dynamics of the order book. Using high quality high-frequency data and a set of microstructural features, we…
We develop a dynamic model of the Bitcoin market where users set fees themselves and miners decide whether to operate and whom to validate based on those fees. Our analysis reveals how, in equilibrium, users adjust their bids in response to…
The use of blockchains for automated and adversarial trading has become commonplace. However, due to the transparent nature of blockchains, an adversary is able to observe any pending, not-yet-mined transactions, along with their execution…
Using data from a live trading experiment on the Binance Bitcoin perpetual, we examine the effects of (i) basic order book mechanics and (ii) the persistence of price changes from immediate to short timescales, revealing the interplay…
Ethereum, as a representative of Web3, adopts a novel framework called Proposer Builder Separation (PBS) to prevent the centralization of block profits in the hands of institutional Ethereum stakers. Introducing builders to generate blocks…
Classical optimal auction theory assumes that bids reach the seller directly. We study how this picture changes when a revenue-maximizing intermediary controls access to the seller's auction. Motivated by blockchain auctions, online…