Related papers: Non-Atomic Arbitrage in Decentralized Finance
The rise of Ethereum has lead to a flourishing decentralized marketplace that has, unfortunately, fallen victim to frontrunning and Maximal Extractable Value (MEV) activities, where savvy participants game transaction orderings within a…
We study optimal auction design for Maximum Extractable Value (MEV) auction markets on Ethereum. Using a dataset of 2.2 million transactions across three major orderflow providers, we establish three empirical regularities: extracted values…
With the emergence of Miner Extractable Value (MEV), block construction markets on blockchains have evolved into a competitive arena. Following Ethereum's transition from Proof of Work (PoW) to Proof of Stake (PoS), the Proposer Builder…
We investigate the market microstructure of Automated Market Makers (AMMs), the most prominent type of blockchain-based decentralized exchanges. We show that the order execution mechanism yields token value loss for liquidity providers if…
An automated market maker (AMM) is a state machine that manages pools of assets, allowing parties to buy and sell those assets according to a fixed mathematical formula. AMMs are typically implemented as smart contracts on blockchains, and…
We study the amount of maximal extractable value (MEV) captured by validators, as a function of searcher competition, in blockchains with competitive block building markets such as Ethereum. We argue that the core is a suitable solution…
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…
The Ethereum block-building process has changed significantly since the emergence of Proposer-Builder Separation. Validators access blocks through a marketplace, where block builders bid for the right to construct the block and earn MEV…
Blockchain's economic value lies in enabling financial and economic transactions without relying on trusted, centralized intermediaries. In practice, however, transactions pass through a fragmented chain of intermediaries before being…
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…
Ethereum block builders run sealed auctions among searchers, but nothing in the protocol forces a builder to honor the auction outcome after observing submitted bundles. This paper studies the commitment problem. We model a builder who…
The rise of Ethereum and other blockchains that support smart contracts has led to the creation of decentralized exchanges (DEXs), such as Uniswap, Balancer, Curve, mStable, and SushiSwap, which enable agents to trade cryptocurrencies…
This Systematization of Knowledge (SoK) provides a comprehensive historical analysis of Maximal Extractable Value (MEV) in blockchain systems, tracing its conceptual evolution through three distinct eras. We organize the fragmented…
Trading on decentralized exchanges has been one of the primary use cases for permissionless blockchains with daily trading volume exceeding billions of U.S.~dollars. In the status quo, users broadcast transactions and miners are responsible…
This study investigates the rapid centralization of the Ethereum builder market under the Proposer-Builder Separation (PBS) architecture. We argue that existing research, by focusing predominantly on influential order flows, lacks a…
The detection of Maximal Extractable Value (MEV) in blockchain is crucial for enhancing blockchain security, as it enables the evaluation of potential consensus layer risks, the effectiveness of anti-centralization solutions, and the…
This document analyzes price discovery in cryptocurrency markets by comparing centralized and decentralized exchanges, as well as spot and futures markets. The study focuses first on Ethereum (ETH) and then applies a similar approach to…
We study builder-driven MEV arbitrage on BNB Smart Chain (BSC). BSC's Proposer-Builder Separation (PBS) adopts a leaner design: only whitelisted builders can participate, blocks are produced at shorter intervals, and private order flow…
In this paper, we analyze traders' behavior within both centralized exchanges (CEXs) and decentralized exchanges (DEXs), focusing on the volatility of Bitcoin prices and the trading activity of investors engaged in perpetual future…
MEV attacks have been an omnipresent evil in the blockchain world, an implicit tax that uninformed users pay for using the service. The problem arises from the miners' ability to reorder and insert arbitrary transactions in the blocks they…