Related papers: Do backrun auctions protect traders?
We study the power of price discrimination via an intermediary in bilateral trade, when there is a revenue-maximizing seller selling an item to a buyer with a private value drawn from a prior. Between the seller and the buyer, there is an…
Through the analysis of a dataset of ultra high frequency order book updates, we introduce a model which accommodates the empirical properties of the full order book together with the stylized facts of lower frequency financial data. To do…
Ethereum, as a representative of Web3, adopts a novel framework called Proposer Builder Separation (PBS) to prevent the centralization of block profits in the hands of institutional Ethereum stakers. Introducing builders to generate blocks…
The development of blockchain technologies has enabled the trustless execution of so-called smart contracts, i.e. programs that regulate the exchange of assets (e.g., cryptocurrency) between users. In a decentralized blockchain, the state…
Personal IoT data is a new economic asset that individuals can trade to generate revenue on the emerging data marketplaces. Typically, marketplaces are centralized systems that raise concerns of privacy, single point of failure, little…
To alleviate difficulties in writing smart contracts for distributed blockchain applications, as other research, we propose transformation of Business Process Model and Notation (BPMN) models into blockchain smart contracts. Unlike other…
We consider the question of whether collusion among bidders (a "bidding ring") can be supported in equilibrium of unrepeated first-price auctions. Unlike previous work on the topic such as that by McAfee and McMillan [1992] and Marshall and…
We consider a single security market based on a limit order book and two investors, with different speeds of trade execution. If the fast investor can front-run the slower investor, we show that this allows the fast trader to obtain risk…
As the number of decentralized applications and users on Ethereum grows, the ability of the blockchain to efficiently handle a growing number of transactions becomes increasingly strained. Ethereums current execution model relies heavily on…
This article explores the optimisation of trading strategies in Constant Function Market Makers (CFMMs) and centralised exchanges. We develop a model that accounts for the interaction between these two markets, estimating the conditional…
This article considers the pricing and hedging of a call option when liquidity matters, that is, either for a large nominal or for an illiquid underlying asset. In practice, as opposed to the classical assumptions of a price-taking agent in…
We analyze how secure a block is after the block becomes $k$-deep, i.e., security-latency, for Nakamoto consensus under an exponential network delay model. We provide the fault tolerance and extensive bounds on safety violation…
Participation in permissionless blockchains results in competition over system resources, which needs to be controlled with fees. Ethereum's current fee mechanism is implemented via a first-price auction that results in unpredictable fees…
We consider a prediction market in which all aspects are controlled by market forces, in particular the correct outcomes of events are decided by the market itself rather than by trusted arbiters. This kind of a decentralized prediction…
Smart contracts led to the emergence of the decentralized finance (DeFi) marketplace within blockchain ecosystems, where diverse participants engage in financial activities. In traditional finance, there are possibilities to create values,…
Maximal Extractable Value (MEV) drives the prosperity of the blockchain ecosystem. By strategically including, excluding, or reordering transactions within blocks, block producers can extract additional value, which in turn incentivizes…
We design three continuous--time models in finite horizon of a commodity price, whose dynamics can be affected by the actions of a representative risk--neutral producer and a representative risk--neutral trader. Depending on the model, the…
Since they were authorized by the U.S. Security and Exchange Commission in 1998, electronic exchanges have boomed, and by 2010 high frequency trading accounted for over 70% of equity trades in the US. Such markets are thought to increase…
Maximal Extractable Value (MEV) represents a pivotal challenge within the Ethereum ecosystem; it impacts the fairness, security, and efficiency of both Layer 1 (L1) and Layer 2 (L2) networks. MEV arises when miners or validators manipulate…
We consider a setting where $n$ buyers, with combinatorial preferences over $m$ items, and a seller, running a priority-based allocation mechanism, repeatedly interact. Our goal, from observing limited information about the results of these…