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Ethereum, as a representative of Web3, adopts a novel framework called Proposer Builder Separation (PBS) to prevent the centralization of block profits in the hands of institutional Ethereum stakers. Introducing builders to generate blocks…
Ethereum's Gas mechanism attempts to set transaction fees in accordance with the computational cost of transaction execution: a cost borne by default by every node on the network to ensure correct smart contract execution. Gas encourages…
With the development of decentralized finance (DeFi), lending protocols have been increasingly proposed in the market. A comprehensive and in-depth evaluation of lending protocol is essential to the DeFi market participants. Due to the…
Price feeds of securities is a critical component for many financial services, allowing for collateral liquidation, margin trading, derivative pricing and more. With the advent of blockchain technology, value in reporting accurate prices…
While quantitative automation related to trading crypto-assets such as ERC-20 tokens has become relatively commonplace, with services such as 3Commas and Shrimpy offering user-friendly web-driven services for even the average crypto trader,…
APIs are increasingly becoming new business assets for organizations and consequently, API functionality and its pricing should be precisely defined for customers. Pricing is typically composed by different plans that specify a range of…
Game-theoretic models relevant for computer science applications usually feature a large number of players. The goal of this paper is to develop an analytical framework for bounding the price of anarchy in such models. We demonstrate the…
The Ethereum block-building process has changed significantly since the emergence of Proposer-Builder Separation. Validators access blocks through a marketplace, where block builders bid for the right to construct the block and earn MEV…
Introduction: The paper addresses the challenging problem of predicting the short-term realized volatility of the Bitcoin price using order flow information. The inherent stochastic nature and anti-persistence of price pose difficulties in…
The growing adoption of electric vehicles (EVs) is increasing peak demand in distribution systems, which can threaten grid stability and reduce operational efficiency. Dynamic electricity pricing is a promising means of mitigating these…
Online bidding serves as a fundamental information system in mobile ecosystems, facilitating real-time ad allocation across billions of devices while optimizing both platform performance and user experience through data-driven decision…
This whitepaper introduces an innovative mechanism for pricing perpetual contracts and quoting fees to traders based on current market conditions. The approach employs liquidity curves and on-chain oracles to establish a new adaptive…
We design TimeBoost: a practical transaction ordering policy for rollup sequencers that takes into account both transaction timestamps and bids; it works by creating a score from timestamps and bids, and orders transactions based on this…
We study the multi-level order-flow imbalance (MLOFI), which is a vector quantity that measures the net flow of buy and sell orders at different price levels in a limit order book (LOB). Using a recent, high-quality data set for 6 liquid…
Batch auctions are a classical market microstructure, acclaimed for their fairness properties, and have received renewed interest in the context of blockchain-based financial systems. Constant function market makers (CFMMs) are another…
We study the economics of transaction reverts on Ethereum rollups and show that they are not accidental failures but equilibrium outcomes of MEV strategies. Using execution traces from major L2s, we find that over 80% of reverted…
An auction house cannot generally provide the optimal auction technology to every client. Instead it provides one or several auction technologies, and clients select the most appropriate one. For example, eBay provides ascending auctions…
The gas fee, paid for inclusion in the blockchain, is analyzed in two parts. First, we consider how effort in terms of resources required to process and store a transaction turns into a gas limit, which, through a fee, comprised of the base…
In the evolving landscape of digital art, Non-Fungible Tokens (NFTs) have emerged as a groundbreaking platform, bridging the realms of art and technology. NFTs serve as the foundational framework that has revolutionized the market for…
Estimating market impact and transaction costs of large trades (metaorders) is a very important topic in finance. However, using models of price and trade based on public market data provide average price trajectories which are…