Related papers: Quantifying Price Improvement in Order Flow Auctio…
We study the impact of the order flow auction (OFA) in the context of the proposer-builder separation (PBS) mechanism in blockchains through a game-theoretic perspective. The OFA is designed to improve user welfare by redistributing maximal…
In the context of decentralized blockchains, accurately simulating the outcome of order flow auctions (OFAs) off-chain is challenging due to adversarial sequencing, encrypted bids, and frequent state changes. Existing approaches, such as…
The current Proposer-Builder Separation (PBS) equilibrium has several builders with different backgrounds winning blocks consistently. This paper considers how that equilibrium will shift when transactions are sold privately via order flow…
Market information events are generated intermittently and disseminated at high speeds in real-time. Market participants consume this high-frequency data to build limit order books, representing the current bids and offers for a given…
Decentralized Finance (DeFi) on Ethereum has undergone significant transformations since its emergence during the DeFi summer of 2020. With the introduction of Proof of Stake (PoS) and Proposer-Builder Separation (PBS), the transaction…
Transaction fee markets are essential components of blockchain economies, as they resolve the inherent scarcity in the number of transactions that can be added to each block. In early blockchain protocols, this scarcity was resolved through…
I present an overview of some recent advancements on the empirical analysis and theoretical modeling of the process of price formation in financial markets as the result of the arrival of orders in a limit order book exchange. After…
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…
Demand for blockchains such as Bitcoin and Ethereum is far larger than supply, necessitating a mechanism that selects a subset of transactions to include "on-chain" from the pool of all pending transactions. This paper investigates the…
Order flow imbalance can explain short-term changes in stock price. This paper considers the change of non-minimum quotation units in real transactions, and proposes a generalized order flow imbalance construction method to improve Order…
In recent years, prominent blockchain systems such as Bitcoin and Ethereum have experienced explosive growth in transaction volume, leading to frequent surges in demand for limited block space and causing transaction fees to fluctuate by…
A micro-scale model is proposed for the evolution of the limit order book. Within this model, the flows of orders (claims) are described by doubly stochastic Poisson processes taking account of the stochastic character of intensities of bid…
Ethereum Improvement Proposal (EIP) 1559 was recently implemented to transform Ethereum's transaction fee market. EIP-1559 utilizes an algorithmic update rule with a constant learning rate to estimate a base fee. The base fee reflects…
Ethereum's transaction pool (mempool) dynamics and fee market efficiency critically affect transaction inclusion, validator workload, and overall network performance. This research empirically analyzes gas price variations, mempool…
Transaction Fee Mechanism Design studies auctions run by untrusted miners for transaction inclusion in a blockchain. Under previously-considered desiderata, an auction is considered `good' if, informally-speaking, each party (i.e., the…
The rapid growth of Internet of Things (IoT) ecosystems has intensified the challenge of efficiently allocating heterogeneous resources in highly dynamic, distributed environments. Conventional centralized mechanisms and single-objective…
We investigate the theoretical and empirical relationships between activity in on-chain markets and pricing in off-chain cryptocurrency markets (e.g., ETH/USD prices). The motivation is to develop methods for proxying off-chain market data…
Blockchains are gaining momentum due to the interest of industries and people in \emph{decentralized applications} (Dapps), particularly in those for trading assets through digital certificates secured on blockchain, called tokens. As a…
We investigate the impact of order flow imbalance (OFI) on price movements in equity markets in a multi-asset setting. First, we propose a systematic approach for combining OFIs at the top levels of the limit order book into an integrated…
High-frequency trading, in both traditional and decentralized markets, induces latency races and redundant order flow as traders spend resources to win time-sensitive opportunities. We show that auctioning artificial time priority can…