Related papers: Multiblock MEV opportunities & protections in dyna…
Maximal Extractable Value (MEV) is value extractable by temporary monopoly power commonly found in decentralized systems. This extraction stems from a lack of user privacy upon transaction submission and the ability of a monopolist…
Although modern blockchains almost universally produce blocks at fixed intervals, existing models still lack an analytical formula for the loss-versus-rebalancing (LVR) incurred by Automated Market Makers (AMMs) liquidity providers in this…
Model merging (MM) recently emerged as an effective method for combining large deep learning models. However, it poses significant security risks. Recent research shows that it is highly susceptible to backdoor attacks, which introduce a…
The always-available liquidity of automated market makers (AMMs) has been one of the most important catalysts in early cryptocurrency adoption. However, it has become increasingly evident that AMMs in their current form are not viable…
This paper introduces and analyzes \emph{defensive rebalancing}, a novel mechanism for protecting constant-function market makers (CFMMs) from value leakage due to arbitrage. A \emph{rebalancing} transfers assets directly from one CFMM's…
The asset trading volume on blockchain-based exchanges (DEX) increased substantially since the advent of Automated Market Makers (AMM). Yet, AMMs and their forks compete on the same blockchain, incurring unnecessary network and block-space…
The evolution of blockchain technology, from its origins as a decentralized ledger for cryptocurrencies to its broader applications in areas like decentralized finance (DeFi), has significantly transformed financial ecosystems while…
Recent developments in financial time series focus on modeling volatility across multiple assets or indices in a multivariate framework, accounting for potential interactions such as spillover effects. Furthermore, the increasing…
Maximal Extractable Value (MEV) searching has gained prominence on the Ethereum blockchain since the surge in Decentralized Finance activities. In Ethereum, MEV extraction primarily hinges on fee payments to block proposers. However, in…
In this paper, we take a close look at a problem labeled maximal extractable value (MEV), which arises in a blockchain due to the ability of a block producer to manipulate the order of transactions within a block. Indeed, blockchains such…
The incentive-compatibility properties of blockchain transaction fee mechanisms have been investigated with *passive* block producers that are motivated purely by the net rewards earned at the consensus layer. This paper introduces a model…
This paper explores the mean-variance portfolio selection problem in a multi-period financial market characterized by regime-switching dynamics and uncontrollable liabilities. To address the uncertainty in the decision-making process within…
Recently, driven by advancements in Multimodal Large Language Models (MLLMs), Vision Language Action Models (VLAMs) are being proposed to achieve better performance in open-vocabulary scenarios for robotic manipulation tasks. Since…
Bad actors, primarily distressed firms, have the incentive and desire to manipulate their financial reports to hide their distress and derive personal gains. As attackers, these firms are motivated by potentially millions of dollars and the…
Automated Market Makers (AMMs) are a central component of decentralized exchanges, yet their equilibrium foundations and microeconomic mechanisms remain incompletely understood. This paper develops a dynamic equilibrium framework for…
Arbitrage can arise from the simultaneous purchase and sale of the same asset in different markets in order to profit from a difference in its price. This work systematically reviews arbitrage opportunities between Automated Market Makers…
Strategies related to the blockchain concept of Extractable Value (MEV/BEV), such as arbitrage, front-, or back-running create strong economic incentives for network nodes to reduce latency. Modified nodes, that minimize transaction…
We consider the dynamics and the interactions of multiple reinforcement learning optimal execution trading agents interacting with a reactive Agent-Based Model (ABM) of a financial market in event time. The model represents a market ecology…
As the penetration of distributed energy resources (DERs) increases, harnessing their flexibility becomes critical for power system operations. Virtual power plants (VPPs) offer a promising solution. However, most existing scheduling tools…
We study a novel automated market maker design: the function maximizing AMM (FM-AMM). Our central assumption is that trades are batched before execution. Because of competition between arbitrageurs, the FM-AMM eliminates arbitrage profits…