Related papers: Quantifying Price Improvement in Order Flow Auctio…
We study actual bidding behavior when a new auction format gets introduced into the marketplace. More specifically, we investigate this question using a novel dataset on internet display advertising auctions that exploits a staggered…
The limit order book mechanism has been the core trading mechanism of the modern financial market. In the cryptocurrency market, centralized exchanges also adopt this limit order book mechanism and a centralized matching engine dynamically…
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…
Ethereum has adopted a rollup-centric roadmap to scale by making rollups (layer 2 scaling solutions) the primary method for handling transactions. The first significant step towards this goal was EIP-4844, which introduced blob transactions…
In the Bitcoin system, transaction fees serve as an incentive for blockchain confirmations. In general, a transaction with a higher fee is likely to be included in the next block mined, whereas a transaction with a smaller fee or no fee may…
Smart contracts have enabled blockchain systems to evolve from simple cryptocurrency platforms, such as Bitcoin, to general transactional systems, such as Ethereum. Catering for emerging business requirements, a new architecture called…
This paper deals with a high-order accurate implicit finite-difference approach to the pricing of barrier options. In this way various types of barrier options are priced, including barrier options paying rebates, and options on…
The rise of cryptocurrencies like Bitcoin and Ethereum has driven interest in blockchain database technology, with smart contracts enabling the growth of decentralized finance (DeFi). However, research has shown that adversaries exploit…
Two general algorithms based on opportunity costs are given for approximating a revenue-maximizing set of bids an auctioneer should accept, in a combinatorial auction in which each bidder offers a price for some subset of the available…
Digital marketplaces processing billions of dollars annually represent critical infrastructure in sociotechnical ecosystems, yet their performance optimization lacks principled measurement frameworks that can inform algorithmic governance…
In the Ethereum network, miners are incentivized to include transactions in a block depending on the gas price specified by the sender. The sender of a transaction therefore faces a trade-off between timely inclusion and cost of his…
Price feeds of cryptocurrencies are essential for Decentralized Finance (DeFi) applications to realize fundamental trading and exchanging functionalities, which are retrieved from external price data sources such as exchanges and input to…
This paper develops a model of liquidity provision in financial markets by adapting the Madhavan, Richardson, and Roomans (1997) price formation model to realistic order books with quote discretization and liquidity rebates. We postulate…
Automated market makers (AMMs) have emerged as the dominant market mechanism for trading on decentralized exchanges implemented on blockchains. This paper presents a single mechanism that targets two important unsolved problems for AMMs:…
We present a model of digital advertising with three key features: (i) advertisers can reach consumers on and off a platform, (ii) additional data enhances the value of advertiser-consumer matches, and (iii) bidding follows auction-like…
Ethereum is one of the most popular platforms for the development of blockchain-powered applications. These applications are known as Dapps. When engineering Dapps, developers need to translate requests captured in the front-end of their…
A major challenge in blockchain sharding protocols is that more than 95% transactions are cross-shard. Not only those cross-shard transactions degrade the system throughput but also double the confirmation time, and exhaust an already…
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…
Auctions are widely used in exchanges to match buy and sell requests. Once the buyers and sellers place their requests, the exchange determines how these requests are to be matched. The two most popular objectives used while determining the…
Roughgarden (2020) initiates the study of Transaction Fee Mechanisms (TFMs), and posits that the on-chain game of a ``good'' TFM should be on-chain simple (OnCS), i.e., incentive compatible for users and the miner. Recent work of Ganesh,…