Related papers: Invariance properties of maximal extractable value
We investigate approximately optimal mechanisms in settings where bidders' utility functions are non-linear; specifically, convex, with respect to payments (such settings arise, for instance, in procurement auctions for energy). We provide…
In today's programmable blockchains, smart contracts are limited to being deterministic and non-probabilistic. This lack of randomness is a consequential limitation, given that a wide variety of real-world financial contracts, such as…
Blockchain offers a decentralized, immutable, transparent system of records. It offers a peer-to-peer network of nodes with no centralised governing entity making it unhackable and therefore, more secure than the traditional paper-based or…
We provide a characterization of revenue-optimal dynamic mechanisms in settings where a monopolist sells k items over k periods to a buyer who realizes his value for item i in the beginning of period i. We require that the mechanism…
We introduce a modified Schnorr signature scheme to allow for time-bound signatures for transaction fee auction bidding and smart contract purposes in a blockchain context, ensuring an honest producer can only validate a signature before a…
A monopolist wishes to maximize her profits by finding an optimal price policy. After she announces a menu of products and prices, each agent $x$ will choose to buy that product $y(x)$ which maximizes his own utility, if positive. The…
Maximum likelihood estimation (MLE) of latent variable models is often recast as the minimization of a free energy functional over an extended space of parameters and probability distributions. This perspective was recently combined with…
Blockchains have block-size limits to ensure the entire cluster can keep up with the tip of the chain. These block-size limits are usually single-dimensional, but richer multidimensional constraints allow for greater throughput. The…
A growing body of literature is aimed at designing private mempools in blockchains. The ultimate goal of this research is addressing several phenomena broadly classed under MEV with sandwich attacks as the canonical example. The literature…
We consider the problem of designing an expected-revenue maximizing mechanism for allocating multiple non-perishable goods of $k$ varieties to flexible consumers over $T$ time steps. In our model, a random number of goods of each variety…
Milionis et al.(2023) studied the rate at which automated market makers leak value to arbitrageurs when block times are discrete and follow a Poisson process, and where the risky asset price follows a geometric Brownian motion. We extend…
A decentralized blockchain is a distributed ledger that is often used as a platform for exchanging goods and services. This ledger is maintained by a network of nodes that obeys a set of rules, called a consensus protocol, which helps to…
Using duality theory techniques we derive simple, closed-form formulas for bounding the optimal revenue of a monopolist selling many heterogeneous goods, in the case where the buyer's valuations for the items come i.i.d. from a uniform…
Blockchain technology has emerged as a transformative paradigm for decentralized and secure data management across diverse application domains, including healthcare, supply chain management, and the Internet of Things. Its core features,…
Several phenomena are available representing market activity: volumes, number of trades, durations between trades or quotes, volatility - however measured - all share the feature to be represented as positive valued time series. When…
We investigate how and when to diversify capital over assets, i.e., the portfolio selection problem, from a signal processing perspective. To this end, we first construct portfolios that achieve the optimal expected growth in i.i.d.…
This paper provides a comprehensive empirical analysis of the economics and dynamics behind arbitrages between centralized and decentralized exchanges (CEX-DEX) on Ethereum. We refine heuristics to identify arbitrage transactions from…
Traditional blockchain design gives miners or validators full control over transaction ordering, i.e., they can freely choose which transactions to include or exclude, as well as in which order. While not an issue initially, the emergence…
Many blockchain platform are subject to maximal value extraction (MEV), and users on the platform are losing money while sending transactions because the transaction order can be manipulated to extract value from them. Consensus protocols…
This work applies reinforcement learning (RL) from the AI machine learning field to derive an optimal Bitcoin-like blockchain mining strategy without knowing the details of the blockchain network model. Previously, the most profitable…