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Offchain networks emerge as a promising solution to address the scalability challenge of blockchain. Participants directly make payments through a network of payment channels without the overhead of committing onchain transactions. Routing…
Given the low throughput of blockchains like Bitcoin and Ethereum, scalability - the ability to process an increasing number of transactions - has become a central focus of blockchain research. One promising approach is the parallelization…
At the ultra high frequency level, the notion of price of an asset is very ambiguous. Indeed, many different prices can be defined (last traded price, best bid price, mid price,...). Thus, in practice, market participants face the problem…
OHLC bar data is a widely used format for representing financial asset prices over time due to its balance of simplicity and informativeness. Bloomberg has recently introduced a new bar data product that includes additional timing…
In this research, we have empirically investigated the key drivers affecting liquidity in equity markets. We illustrated how theoretical models, such as Kyle's model, of agents' interplay in the financial markets, are aligned with the…
Decentralized finance revolutionizes traditional financial systems by leveraging blockchain technology to reduce trust. However, some vulnerabilities persist, notably front-running by malicious actors who exploit transaction information to…
A point process for event arrivals in high frequency trading is presented. The intensity is the product of a Hawkes process and high dimensional functions of covariates derived from the order book. Conditions for stationarity of the process…
Considering that a trader or a trading algorithm interacting with markets during continuous auctions can be modeled by an iterating procedure adjusting the price at which he posts orders at a given rhythm, this paper proposes a procedure…
We study methods to enhance statistical privacy in blockchain transactions. We analyze economic mechanisms for privacy-aware transaction owners whose utility depends not only on the outcome of the mechanism but also negatively on the…
Blockchain technology is widely expected to reduce transaction costs by automating contract enforcement and eliminating intermediaries; yet, the execution costs imposed by network congestion have received little attention in the operations…
In financial markets, the order flow, defined as the process assuming value one for buy market orders and minus one for sell market orders, displays a very slowly decaying autocorrelation function. Since orders impact prices, reconciling…
Rollups have become the de facto scalability solution for Ethereum, securing more than $55B in assets. They achieve scale by executing transactions on a Layer 2 ledger, while periodically posting data and finalizing state on the Layer 1,…
Financial order flow exhibits a remarkable level of persistence, wherein buy (sell) trades are often followed by subsequent buy (sell) trades over extended periods. This persistence can be attributed to the division and gradual execution of…
The supply chain is a critical segment of the product manufacturing cycle, continuously influenced by risky, uncertain, and undesirable events. Optimizing flexibility in the supply chain presents a complex, multi-objective, and nonlinear…
In a sequential auction with multiple bidding agents, it is highly challenging to determine the ordering of the items to sell in order to maximize the revenue due to the fact that the autonomy and private information of the agents heavily…
In recent years, many new and interesting models of successful online business have been developed. Many of these are based on the competition between users, such as online auctions, where the product price is not fixed and tends to rise.…
We study blockchain trade-intent auctions, which currently intermediate about USD 10 billion in trades each month. These auctions are combinatorial because executing multiple trade intents jointly generates additional efficiencies. However,…
We develop a general and practical framework to address the problem of the optimal design of dynamic fee mechanisms for multiple blockchain resources. Our framework allows to compute policies that optimally trade-off between adjusting…
Public blockchains implement a fee mechanism to allocate scarce computational resources across competing transactions. Most existing fee market designs utilize a joint, fungible unit of account (e.g., gas in Ethereum) to price otherwise…
The rise of automated bidding strategies in online advertising presents new challenges in designing and analyzing efficient auction mechanisms. In this paper, we focus on proportional mechanisms within the context of auto-bidding and study…