Related papers: Quantifying Price Improvement in Order Flow Auctio…
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…
A growing number of products use layer 2 solutions to expand the capabilities of primary blockchains like Ethereum, where computation is off-loaded from the root chain, and the results are published to it in bulk. Those include optimistic…
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…
Many early order flow auction designs handle the payment for orders when they execute on the chain rather than when they are won in the auction. Payments in these auctions only take place when the orders are executed, creating a free option…
Currently cryptocurrencies and Decentralized Finance (DeFi), which enable financial services on public blockchains, represents a new growing trend in finance. In contrast to financial markets, ruled by traditional corporations, DeFi is…
Blockchain systems come with the promise of being inclusive for a variety of decentralized applications (DApps) that can serve different purposes and have different urgency requirements. Despite this, the transaction fee mechanisms…
A transaction fee mechanism (TFM) is an essential component of a blockchain protocol. However, a systematic evaluation of the real-world impact of TFMs is still absent. Using rich data from the Ethereum blockchain, the mempool, and…
Differentiable economics -- the use of deep learning for auction design -- has driven progress in the automated design of multi-item auctions with additive or unit-demand valuations. However, little progress has been made for optimal…
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…
Mechanisms for decentralized finance on blockchains suffer from various problems, including suboptimal price execution for users, latency, and a worse user experience compared to their centralized counterparts. Recently, off-chain…
We consider some classical optimization problems in path planning and network transport, and we introduce new auction-based algorithms for their optimal and suboptimal solution. The algorithms are based on mathematical ideas that are…
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…
We study a new "laminated" queueing model for orders on batched trading venues such as decentralised exchanges. The model aims to capture and generalise transaction queueing infrastructure that has arisen to organise MEV activity on public…
We introduce draft auctions, which is a sequential auction format where at each iteration players bid for the right to buy items at a fixed price. We show that draft auctions offer an exponential improvement in social welfare at equilibrium…
In blockchain-based order book systems, buyers and sellers trade assets, while it is miners to match them and include their transactions in the blockchain. It is found that many miners behave selfishly and myopically, prioritizing…
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…
Optical flow estimation is a fundamental and long-standing visual task. In this work, we present a novel method, dubbed HMAFlow, to improve optical flow estimation in challenging scenes, particularly those involving small objects. The…
In this paper we show that, using only mild assumptions, previously proposed multidimensional blockchain fee markets are essentially optimal, even against worst-case adversaries. In particular, we show that the average welfare gap between…
This paper investigates how pricing schemes can achieve efficient allocations in blockchain systems featuring multiple transaction queues under a global capacity constraint. I model a capacity-constrained blockchain where users submit…
Public blockchains group submitted transactions into batches, called blocks. A natural question is how to determine which transactions are included in these batches. In this note, we show a gap between the welfare of so-called `fair'…