Related papers: Quantifying Price Improvement in Order Flow Auctio…
This paper presents a comprehensive framework for transaction posting and pricing in Layer 2 (L2) blockchain systems, focusing on challenges stemming from fluctuating Layer 1 (L1) gas fees and the congestion issues within L2 networks.…
As a fundraising method, Initial Coin Offering (ICO) has raised billions of dollars for thousands of startups in the past two years. Existing ICO mechanisms place more emphasis on the short-term benefits of maximal fundraising while…
We study the efficiency of sequential first-price item auctions at (subgame perfect) equilibrium. This auction format has recently attracted much attention, with previous work establishing positive results for unit-demand valuations and…
In recent years, blockchain has gained widespread attention as an emerging technology for decentralization, transparency, and immutability in advancing online activities over public networks. As an essential market process, auctions have…
Initial Coin Offerings (ICO) are public offers of new cryptocurrencies in exchange of existing ones, aimed to finance projects in the blockchain development arena. In the last 8 months of 2017, the total amount gathered by ICOs exceeded 4…
The congestion pricing is an efficient allocation approach to mediate demand and supply of network resources. Different from the previous pricing using Affine Marginal Cost (AMC), we focus on studying the game between network coding and…
Language models have seen enormous progress on advanced benchmarks in recent years, but much of this progress has only been possible by using more costly models. Benchmarks may therefore present a warped picture of progress in practical…
The detection of outliers within cryptocurrency limit order books (LOBs) is of paramount importance for comprehending market dynamics, particularly in highly volatile and nascent regulatory environments. This study conducts a comprehensive…
Do online narratives leave a measurable imprint on prices in markets for digital or cultural goods? This paper evaluates how community attention and sentiment relate to valuation in major Ethereum NFT collections after accounting for time…
We describe a plausible probabilistic model for a blockchain queueing environment in which rational, profit-maximising schedulers impose adversarial disciplines on incoming messages containing a payload that encodes a state transition in a…
Decentralized exchanges (DEXes) have evolved dramatically since the introduction of Automated Market Makers (AMMs). In recent years, solver-based protocols have emerged as an alternative venue aiming to introduce competition for routing,…
As an emerging decentralized secure data management platform, blockchain has gained much popularity recently. To maintain a canonical state of blockchain data record, proof-of-work based consensus protocols provide the nodes, referred to as…
Transaction fees represent a major incentive in many blockchain systems as a way to incentivize processing transactions. Unfortunately, they also introduce an enormous amount of incentive asymmetry compared to alternatives like fixed block…
This survey outlines a general and modular theory for proving approximation guarantees for equilibria of auctions in complex settings. This theory complements traditional economic techniques, which generally focus on exact and optimal…
We study two standard multi-unit auction formats for allocating multiple units of a single good to multi-demand bidders. The first one is the Discriminatory Auction, which charges every winner his winning bids. The second is the Uniform…
In this paper, we present a pricing mechanism that aligns incentives of agents who exchange resources on a decentralized ledger with the goal of maximizing transaction throughput. Subdividing a blockchain ledger into shards promises to…
We initiate the study of how auction design affects the division of surplus among buyers. We propose a parsimonious measure for equity and apply it to the family of standard auctions for homogeneous goods. Our surplus-equitable mechanism is…
We propose a model for price formation in financial markets based on clearing of a standard call auction with random orders, and verify its validity for prediction of the daily closing price distribution statistically. The model considers…
Several autonomous energy management and peer-to-peer trading mechanisms for future energy markets have been recently proposed based on optimization and game theory. In this paper, we study the impact of trading prices on the outcome of…
We study the price impact of order book events - limit orders, market orders and cancelations - using the NYSE TAQ data for 50 U.S. stocks. We show that, over short time intervals, price changes are mainly driven by the order flow…