Related papers: Invariance properties of maximal extractable value
Decentralized finance (DeFi) markets spread across Layer-1 (L1) and Layer-2 (L2) blockchains rely on arbitrage to keep prices aligned. Today most price gaps are closed against centralized exchanges (CEXes), whose deep liquidity and fast…
The energy sustainability of blockchains, whose consensus protocol rests on the Proof-of-Work, nourishes a heated debate. The underlying issue lies in a highly energy-consuming process, defined as mining, required to validate crypto-asset…
With the rapid growth of Internet of Things (IoT) applications, there's a big demand for more processing power and resources in devices. Mobile Edge Computing (MEC) looks promising for enhancing performance and reducing costs by offloading…
It is interesting but difficult and challenging to study Ethereum with multiple mining pools. One of the main difficulties comes from not only how to represent such a general tree with multiple block branches (or sub-chains) related to the…
Mining fairness in blockchain refers to equality between the computational resources invested in mining and the block rewards received. There exists a dilemma wherein increasing the transaction processing capacity of a blockchain…
Decentralized Finance (DeFi) is a rapidly evolving segment of blockchain technology that enables a transformative approach to financial services through Web3 applications. By leveraging smart contracts, DeFi allows developers to build…
The mining process in blockchain requires solving a proof-of-work puzzle, which is resource expensive to implement in mobile devices due to the high computing power and energy needed. In this paper, we, for the first time, consider edge…
The Variation Evolving Method (VEM), which seeks the optimal solutions with the variation evolution principle, is further developed to be more flexible in solving the Optimal Control Problems (OCPs) with terminal constraint. With the…
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…
In this paper, we study a mean-variance optimization problem in an infinite horizon discrete time discounted Markov decision process (MDP). The objective is to minimize the variance of system rewards with the constraint of mean performance.…
In this paper, we provide a novel dynamic decision method of blockchain selfish mining by applying the sensitivity-based optimization theory. Our aim is to find the optimal dynamic blockchain-pegged policy of the dishonest mining pool. To…
The Ethereum blockchain utilizes the EIP-1559 algorithm to manage transaction inclusion and block assembly. However, EIP-1559 and much of the existing literature study this problem from a static perspective, focusing on price evolution…
This study provides a practical introduction to high-frequency trading in blockchain-based currency markets. These types of markets have some specific characteristics that differentiate them from the stock markets, such as a large number of…
Extreme value analysis for time series is often based on the block maxima method, in particular for environmental applications. In the classical univariate case, the latter is based on fitting an extreme-value distribution to the sample of…
Traditional blockchain untraceability schemes, such as mixers and privacy coins, obscure the sender-receiver relationship by placing transfers within an anonymity set. This paper studies a stronger goal: whether the transfer event itself…
The study of order volumes in financial markets has shown that these display several non-trivial statistical properties. Most studies have been focused on the bulk properties of volume of incoming orders or of realized transactions rather…
Maximum likelihood estimators (MLE) and control variate estimators (CVE) have been used in conjunction with known information across sketching algorithms and applications in machine learning. We prove that under certain conditions in an…
We study merchant energy production modeled as a compound switching and timing option. The resulting Markov decision process is intractable. State-of-the-art approximate dynamic programming methods applied to realistic instances of this…
The blockchain is a safe, reliable and innovative mechanism for managing numerous vehicles seeking connectivity. However, following the principles of the blockchain, the number of transactions required to update ledgers pose serious issues…
Portfolio construction is the science of balancing reward and risk; it is at the core of modern finance. In this paper, we tackle the question of optimal decision-making within a Bayesian paradigm, starting from a decision-theoretic…