Related papers: Do backrun auctions protect traders?
We investigate the most common type of blockchain-based decentralized exchange, which are known as constant function market makers (CFMMs). We examine the the market microstructure around CFMMs and present a model for valuing the liquidity…
We study the strategic purchasing of priorities in a time-dependent accumulating priority M/G/$1$ queue. We formulate a non-cooperative game in which customers purchase priority coefficients with the goal of reducing waiting costs in…
This paper introduces a new representation for the actions of a market maker in an order-driven market. This representation uses scaled beta distributions, and generalises three approaches taken in the artificial intelligence for market…
The long-term success of cryptocurrencies largely depends on the incentive compatibility provided to the validators. Bribery attacks, facilitated trustlessly via smart contracts, threaten this foundation. This work introduces, implements,…
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…
We address the problem of executing large client orders in continuous double-auction markets under time and liquidity constraints. We propose a model predictive control (MPC) framework that balances three competing objectives: order…
The efficient market hypothesis (EMH) famously stated that prices fully reflect the information available to traders. This critically depends on the transfer of information into prices through trading strategies. Traders optimise their…
This paper presents an adversary model and a simulation framework specifically tailored for analyzing attacks on distributed systems composed of multiple distributed protocols, with a focus on assessing the security of blockchain networks.…
Revert protection is a feature provided by some blockchain platforms that prevents users from incurring fees for failed transactions. We study the economic implications and benefits of revert protection in the context of priority gas…
A leveraged ETF is a fund aimed at achieving a rate of return several times greater than that of the underlying asset such as Nikkei 225 futures. Recently, it has been suggested that rebalancing trades of a leveraged ETF may destabilize the…
We use historical data to estimate the potential benefit of speculative techniques for executing Ethereum smart contracts in parallel. We replay transaction traces of sampled blocks from the Ethereum blockchain over time, using a simple…
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…
The transaction ordering dependency of the smart contracts building decentralized exchanges (DEXes) allow for predatory trading strategies. In particular, front-running attacks present a constant risk for traders on DEXes. Whereas legal…
Blockchain has many benefits including decentralization, availability, persistency, consistency, anonymity, auditability and accountability, and it also covers a wide spectrum of applications ranging from cryptocurrency, financial services,…
In this article we consider combinatorial markets with valuations only for singletons and pairs of buy/sell-orders for swapping two items in equal quantity. We provide an algorithm that permits polynomial time market-clearing and -pricing.…
Trading through decentralized exchanges (DEXs) has become crucial in today's blockchain ecosystem, enabling users to swap tokens efficiently and automatically. However, the capacity of miners to strategically order transactions has led to…
The advent of Ethereum 2.0 has introduced significant changes, particularly the shift to Proof-of-Stake consensus. This change presents new opportunities and challenges for arbitrage. Amidst these changes, we introduce BriDe Arbitrager, a…
In dealer markets, dealers provide prices at which they agree to buy and sell the assets and securities they have in their scope. With ever increasing trading volume, this quoting task has to be done algorithmically in most markets such as…
We introduce a prototype model in an attempt to capture some aspects of market dynamics simulating a trading mechanism. The model description starts with a discrete-space, continuous-time Markov process describing arrival and movement of…
We argue that contemporary stock market designs are, due to traders' inability to fully express their preferences over the execution times of their orders, prone to latency arbitrage. In turn, we propose a new order type which allows…