Related papers: Invariance properties of maximal extractable value
This paper studies the optimal extraction and taxation of nonrenewable natural resources. It is well known that the market values of the main strategic resources such as oil, natural gas, uranium, copper,..., etc, fluctuate randomly…
In a PoW-based blockchain network, mining pools (the solo miner could be regarded as a mining pool containing one miner) compete to successfully mine blocks to pursue rewards. Generally, the rewards include the fixed block subsidies and…
Traditional blockchains grant the miner of a block full control not only over which transactions but also their order. This constitutes a major flaw discovered with the introduction of decentralized finance and allows miners to perform MEV…
Recently, blockchain has gained momentum in the academic community thanks to its decentralization, immutability, transparency and security. As an emerging paradigm, Multi-access Edge Computing (MEC) has been widely used to provide…
We empirically test predictability on asset price by using stock selection rules based on maximum drawdown and its consecutive recovery. In various equity markets, monthly momentum- and weekly contrarian-style portfolios constructed from…
This publication describes the block winner selection process that will be used in a novel Proof-of-Useful-Work blockchain for High Energy Physics that the authors are currently working on. Instead of spamming hashing operations to mine…
This study explores the intricacies of waiting games, a novel dynamic that emerged with Ethereum's transition to a Proof-of-Stake (PoS)-based block proposer selection protocol. Within this PoS framework, validators acquire a distinct…
We study a continuous-time portfolio optimization problem under an explicit constraint on the Deviation Conditional Value-at-Risk (DCVaR), defined as the difference between the CVaR and the expected terminal wealth. While the mean-CVaR…
In a discrete-time market, we study model-independent superhedging, while the semi-static superhedging portfolio consists of {\it three} parts: static positions in liquidly traded vanilla calls, static positions in other tradable, yet…
Many of the key enabling technologies of the fifth-generation (5G), such as network slicing, spectrum sharing, and federated learning, rely on a centralized authority. This may lead to pitfalls in terms of security or single point of…
Motivated by governance models adopted in blockchain applications, we study the problem of selecting appropriate system updates in a decentralised way. Contrary to most existing voting approaches, we use the input of a set of motivated…
Aside from the conception of new blockchain architectures, existing blockchain optimizations in the literature primarily focus on system or data-oriented optimizations within prevailing blockchains. However, since blockchains handle…
There has been a growing interest in shared sequencing solutions, in which transactions for multiple rollups are processed together. Their proponents argue that these solutions allow for better composability and can potentially increase…
When selling many goods with independent valuations, we develop a distributionally robust framework, consisting of a two-player game between seller and nature. The seller has only limited knowledge about the value distribution. The seller…
Currently, over 90% of Ethereum blocks are built using MEV-Boost, an auction that allows validators to sell their block-building power to builders who compete in an open English auction in each slot. Shortly after the merge, when MEV-Boost…
One of the most celebrated results in mechanism design is Myerson's characterization of the revenue optimal auction for selling a single item. However, this result relies heavily on the assumption that buyers are indifferent to risk. In…
The participation of electric vehicle (EV) aggregators in real-time electricity markets offers promising revenue opportunities through price-responsive energy arbitrage. A central challenge in economic bidding lies in quantifying the…
Due to their immutable log of information, blockchains can be considered as a transparency-enhancing technology. The immutability, however, also introduces threats and challenges with respect to privacy laws and illegal content. Introducing…
In an equity market model with "Knightian" uncertainty regarding the relative risk and covariance structure of its assets, we characterize in several ways the highest return relative to the market that can be achieved using nonanticipative…
A fundamental problem in revenue management is to optimally choose the attributes of products, such that the total profit or revenue or market share is maximized. Usually, these attributes can affect both a product's market share…