Related papers: MEV Capture Through Time-Advantaged Arbitrage
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…
Centralized stablecoins such as USDT and USDC enforce sanctions through contract-layer blacklist functions. Yet on public blockchains, a freeze is still an ordinary transaction competing with the sanctioned party's transfer for priority. It…
We study the optimal control of storage which is used for arbitrage, i.e. for buying a commodity when it is cheap and selling it when it is expensive. Our particular concern is with the management of energy systems, although the results are…
In the Bitcoin system, transaction fees serve as an incentive for blockchain confirmations. In general, a transaction with a higher fee is likely to be included in the next block mined, whereas a transaction with a smaller fee or no fee may…
As the share of variable renewable energy sources increases in the electricity mix, new solutions are needed to build a flexible and reliable grid. Energy arbitrage with battery storage systems supports renewable energy integration into the…
We characterize profit-maximizing operating strategies, over some time horizon [0,T], for an energy store which is trading in an arbitrage market. Our theory allows for leakage, operating inefficiencies, operating constraints and general…
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…
Mobile edge computing (MEC) has become a promising solution to utilize distributed computing resources for supporting computation-intensive vehicular applications in dynamic driving environments. To facilitate this paradigm, the onsite…
Flaws of a continuous limit order book mechanism raise the question of whether a continuous trading session and a periodic auction session would bring better efficiency. This paper wants to go further in designing a periodic auction when…
The role of a market maker is to simultaneously offer to buy and sell quantities of goods, often a financial asset such as a share, at specified prices. An automated market maker (AMM) is a mechanism that offers to trade according to some…
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…
Extreme value theory (EVT) is well suited to model extreme events, such as floods, heatwaves, or mechanical failures, which is required for reliability assessment of systems across multiple domains for risk management and loss prevention.…
Displaying banner advertisements (in short, ads) on webpages has usually been discussed as an Internet economics topic where a publisher uses auction models to sell an online user's page view to advertisers and the one with the highest bid…
Distributed ledger systems, such as blockchains, rely on consensus protocols that commit ordered messages for processing. In practice, message ordering within these systems is often reward-driven. This raises concerns about fairness,…
Given the parallels between game theory and consensus, it makes sense to intelligently design blockchain or DAG protocols with an incentive-compatible-first mentality. To that end, we propose a new blockchain or DAG protocol enhancement…
Companies are rushing to deliver their services and solutions through the cloud. The scheduling process is very critical in reducing delays. Scheduling also has a role in accessing resources without excessive waiting time. All this in…
We consider the multi-period portfolio optimization problem with a single asset that can be held long or short. Due to the presence of transaction costs, maximizing the immediate reward at each period may prove detrimental, as frequent…
Blockchains are widely used for secure transaction processing, but their scalability remains limited, and existing multichain designs are typically static even as demand and capacity shift. We cast blockchain configuration as a multiagent…
Blockchain systems come with the promise of being inclusive for a variety of decentralized applications (DApps) that can serve different purposes and have different urgency requirements. Despite this, the transaction fee mechanisms…
This paper addresses objectives tailored to the risk-averse optimization of accumulated rewards in Markov decision processes (MDPs). The studied objectives require maximizing the expected value of the accumulated rewards minus a penalty…