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The increasing use of cryptoassets for international remittances has proven to be faster and more cost-effective, particularly for migrants without access to traditional banking. However, the inherent volatility of cryptoasset prices,…
We study recurrent patterns in volatility and volume for major cryptocurrencies, Bitcoin and Ether, using data from two centralized exchanges (Coinbase Pro and Binance) and a decentralized exchange (Uniswap V2). We find systematic patterns…
The atomic swap protocol allows for the exchange of cryptocurrencies on different blockchains without the need to trust a third-party. However, market participants who desire to hold derivative assets such as options or futures would also…
We consider model-free pricing of digital options, which pay out if the underlying asset has crossed both upper and lower barriers. We make only weak assumptions about the underlying process (typically continuity), but assume that the…
This report describes the design, implementation and analysis of a non-blocking halo exchange routine as an alternative to the blocking halo exchange routine in the lattice Boltzmann code Ludwig. The alternative, non-blocking, routine is…
Strategies related to the blockchain concept of Extractable Value (MEV/BEV), such as arbitrage, front-, or back-running create strong economic incentives for network nodes to reduce latency. Modified nodes, that minimize transaction…
Gas is the transaction-fee metering system of the Ethereum network. Users of the network are required to select a gas price for submission with their transaction, creating a risk of overpaying or delayed/unprocessed transactions in this…
Late 2023 witnessed significant user activity on EVM chains, resulting in a surge in transaction activity and putting many rollups into the first live test. While some rollups performed well, some others experienced downtime during this…
We find an approximate Nash equilibrium in a game between decentralized exchanges (DEXs) that compete for order flow by setting dynamic trading fees. We characterize the equilibrium via a coupled system of partial differential equations and…
Maximal Extractable Value (MEV) has become a critical issue for blockchain ecosystems, as it enables validators or block proposers to extract value by ordering, including or censoring users' transactions. This paper aims to present a formal…
Despite the success in various scenarios, blockchain systems, especially EVM-compatible ones that serially execute transactions, still face the significant challenge of limited throughput. Concurrent transaction execution is a promising…
This paper tackles the discovery of tMEV, that is, the Maximal Extractable Value on blockchains that arises from Token smart contracts. This scope differs from the existing MEV-discovery research, which analyzes application-layer contracts…
Financial speculators often seek to increase their potential gains with leverage. Debt is a popular form of leverage, and with over 39.88B USD of total value locked (TVL), the Decentralized Finance (DeFi) lending markets are thriving.…
Transactions submitted through the blockchain peer-to-peer (P2P) network may leak out exploitable information. We study the economic incentives behind the adoption of blockchain dark venues, where users' transactions are observable only by…
Cross-chain asset exchange is crucial for blockchain interoperability. Existing solutions rely on trusted third parties and risk asset loss, or use decentralized alternatives like atomic swaps, which suffer from grief attacks. Griefing…
MEV attacks have been an omnipresent evil in the blockchain world, an implicit tax that uninformed users pay for using the service. The problem arises from the miners' ability to reorder and insert arbitrary transactions in the blocks they…
We analyze 15,097 blocks proposed for inclusion in Ethereum's blockchain over an eight-minute window on December 3, 2024, during which 38 blocks were added to the chain. We classify transactions as exclusive -- appearing only in blocks from…
Two MEV builders now produce nearly 80\% of Ethereum blocks. Block builders have the ability to reorder transactions on the blockchain in a way that can be harmful to participants. We estimate they would pay in the aggregate nearly \$14…
Decentralized Exchanges (DEXs) are new types of marketplaces leveraging Blockchain technology. They allow users to trade assets with Automatic Market Makers (AMM), using funds provided by liquidity providers, removing the need for order…
Atomic Crosschain Transaction technology allows composable programming across permissioned Ethereum blockchains. It allows for inter-contract and inter-blockchain function calls that are both synchronous and atomic: if one part fails, the…