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Posted price mechanisms are prevalent in allocating goods within online marketplaces due to their simplicity and practical efficiency. We explore a fundamental scenario where buyers' valuations are independent and identically distributed,…
This study explores the design of an efficient rebate policy in auction markets, focusing on a continuous-time setting with competition among market participants. In this model, a stock exchange collects transaction fees from auction…
Decentralized Finance (DeFi) is a rapidly evolving segment of blockchain technology that enables a transformative approach to financial services through Web3 applications. By leveraging smart contracts, DeFi allows developers to build…
This empirical study presents the Decentralized Exchanges Comparison Service (DECS), a novel tool developed by 1inch Analytics to assess exchange efficiency in decentralized finance. The DECS utilizes swap transaction monitoring and…
This paper examines the role of algorithmic trading in modern financial markets. Additionally, order types, characteristics, and special features of algorithmic trading are described under the lens provided by the large development of high…
Blockchain-based cryptocurrencies prioritize transactions based on their fees, creating a unique kind of fee market. Empirically, this market has failed to yield stable equilibria with predictable prices for desired levels of service. We…
Randomized mechanisms, which map a set of bids to a probability distribution over outcomes rather than a single outcome, are an important but ill-understood area of computational mechanism design. We investigate the role of randomized…
This paper describes an optimization model for setting bid levels for certain types of advertisements on web pages. This model is non-convex, but we are able to obtain optimal or near-optimal solutions rapidly using branch and cut…
Blockchain enables peer-to-peer transactions in cyberspace without a trusted third party. The rapid growth of Ethereum and smart contract blockchains generally calls for well-designed Transaction Fee Mechanisms (TFMs) to allocate limited…
We propose a modeling framework for the dynamics of a reduced form order book in event time and based on event sizes. Our framework for the order book is influenced by [9], but compared to [9] we allow the best bid ask spread to be larger…
We study procurement auctions, where an auctioneer seeks to acquire services from strategic sellers with private costs. The quality of services is measured by a submodular function known to the auctioneer. Our goal is to design…
Blockchain's economic value lies in enabling financial and economic transactions without relying on trusted, centralized intermediaries. In practice, however, transactions pass through a fragmented chain of intermediaries before being…
We study the dynamics of order flows around large intraday price changes using ultra-high-frequency data from the Shenzhen Stock Exchange. We find a significant reversal of price for both intraday price decreases and increases with a…
In the evolving domain of cryptocurrency markets, accurate token valuation remains a critical aspect influencing investment decisions and policy development. Whilst the prevailing equation of exchange pricing model offers a quantitative…
Interference between treated and untreated units is a source of bias in marketplace experiments. In this paper, we specifically consider pricing interventions, in which a platform seeks to adjust base pricing levels at the marketplace level…
Consensus protocols are currently the bottlenecks that prevent blockchain systems from scaling. However, we argue that transaction execution is also important to the performance and security of blockchains. In other words, there are ample…
User transactions on Ethereum's peer-to-peer network are at risk of being attacked. The smart contracts building decentralized finance (DeFi) have introduced a new transaction ordering dependency to the Ethereum blockchain. As a result,…
Recent learning-based methods for event-based optical flow estimation utilize cost volumes for pixel matching but suffer from redundant computations and limited scalability to higher resolutions for flow refinement. In this work, we take…
Incorporating budget constraints into the analysis of auctions has become increasingly important, as they model practical settings more accurately. The social welfare function, which is the standard measure of efficiency in auctions, is…
We investigate the market microstructure of Automated Market Makers (AMMs), the most prominent type of blockchain-based decentralized exchanges. We show that the order execution mechanism yields token value loss for liquidity providers if…