Related papers: Do backrun auctions protect traders?
Execution Tickets are currently discussed as a next evolutionary step in Ethereum's block space allocation mechanism, separating consensus rewards from execution rewards and selling execution rights through a dedicated market. We present a…
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…
Price benchmarks are used to incorporate market price trends into contracts, but their use can create opportunities for manipulation by parties involved in the contract. This paper examines this issue using a realistic and tractable model…
In this work, we develop an equilibrium model for price formation of securities in a market composed of two populations of different types: the first one consists of cooperative agents, while the other one consists of non-cooperative…
We develop a model of coordination and allocation of decentralized multi-sided markets, in which our theoretical analysis is promisingly optimizing the decentralized transaction packaging process at high-throughput blockchains or Web 3.0…
Equity auctions display several distinctive characteristics in contrast to continuous trading. As the auction time approaches, the rate of events accelerates causing a substantial liquidity buildup around the indicative price. This, in…
The rise of the machine learning (ML) model economy has intertwined markets for training datasets and pre-trained models. However, most pricing approaches still separate data and model transactions or rely on broker-centric pipelines that…
Market participants regularly send bid and ask quotes to exchange-operated limit order books. This creates an optimization challenge where their potential profit is determined by their quoted price and how often their orders are…
Sealed-bid auctions ensure fair competition and efficient allocation but are often deployed on centralized infrastructure, enabling opaque manipulation. Public blockchains eliminate central control, yet their inherent transparency conflicts…
Cloud auctions provide cost-effective strategies for cloud VM allocation. Most existing cloud auctions simply assume that the auctioneer is trustable, and thus the fairness of auctions can be easily achieved. However, in fact, such a…
We study blockchain trade-intent auctions, which currently intermediate about USD 10 billion in trades each month. These auctions are combinatorial because executing multiple trade intents jointly generates additional efficiencies. However,…
Randomized mechanisms, which map a set of bids to a probability distribution over outcomes rather than a single outcome, are an important but ill-understood area of computational mechanism design. We investigate the role of randomized…
We investigate the welfare loss of continuous and discrete order matching models in blockchain-based decentralized exchanges (DEX) that utilize order books to record outstanding orders. Continuous processing matches each incoming…
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…
This paper presents a stochastic model for discrete-time trading in financial markets where trading costs are given by convex cost functions and portfolios are constrained by convex sets. The model does not assume the existence of a cash…
Financial regulators have long-standing concerns about fully decentralized exchanges that run 'on-chain' without any obvious regulatory hooks. The popularity of Uniswap, an automated market makers (AMM), made these concerns a reality. AMMs…
We analyse two models of liquidity provision to determine the retail traders' preference for marketable order routing. Order internalization is captured by a model of market makers competing for the retail order flow in a Bertrand fashion.…
In peer-to-peer (P2P) energy trading, a secured infrastructure is required to manage trade and record monetary transactions. A central server/authority can be used for this. But there is a risk of central authority influencing the energy…
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…
Blockchain enables peer-to-peer transactions in cyberspace without a trusted third party. The rapid growth of Ethereum and smart contract blockchains generally calls for well-designed Transaction Fee Mechanisms (TFMs) to allocate limited…