Related papers: MEV Capture Through Time-Advantaged Arbitrage
This paper introduces a trade ordering rule that aims to reduce intra-block price volatility in Automated Market Maker (AMM) powered decentralized exchanges. The ordering rule introduced here, Clever Look-ahead Volatility Reduction (CLVR),…
We study a novel automated market maker design: the function maximizing AMM (FM-AMM). Our central assumption is that trades are batched before execution. Because of competition between arbitrageurs, the FM-AMM eliminates arbitrage profits…
Block production on the Ethereum blockchain has adopted an auction-based mechanism known as Proposer--Builder Separation (PBS), where validators outsource block creation to builders competing in MEV--Boost auctions for Maximal Extractable…
The detection of Maximal Extractable Value (MEV) in blockchain is crucial for enhancing blockchain security, as it enables the evaluation of potential consensus layer risks, the effectiveness of anti-centralization solutions, and the…
We consider the impact of trading fees on the profits of arbitrageurs trading against an automated market maker (AMM) or, equivalently, on the adverse selection incurred by liquidity providers (LPs) due to arbitrage. We extend the model of…
The incentive-compatibility properties of blockchain transaction fee mechanisms have been investigated with *passive* block producers that are motivated purely by the net rewards earned at the consensus layer. This paper introduces a model…
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…
Ethereum block builders run sealed auctions among searchers, but nothing in the protocol forces a builder to honor the auction outcome after observing submitted bundles. This paper studies the commitment problem. We model a builder who…
There has been a growing interest in shared sequencing solutions, in which transactions for multiple rollups are processed together. Their proponents argue that these solutions allow for better composability and can potentially increase…
This Systematization of Knowledge (SoK) provides a comprehensive historical analysis of Maximal Extractable Value (MEV) in blockchain systems, tracing its conceptual evolution through three distinct eras. We organize the fragmented…
We study optimal auction design for Maximum Extractable Value (MEV) auction markets on Ethereum. Using a dataset of 2.2 million transactions across three major orderflow providers, we establish three empirical regularities: extracted values…
Blockchain has empowered computer systems to be more secure using a distributed network. However, the current blockchain design suffers from fairness issues in transaction ordering. Miners are able to reorder transactions to generate…
Automated market makers (AMMs) have emerged as the dominant market mechanism for trading on decentralized exchanges implemented on blockchains. This paper presents a single mechanism that targets two important unsolved problems for AMMs:…
Maximal Extractable Value (MEV) in Constant Function Market Making is fairly well understood. Does having dynamic weights, as found in liquidity boostrap pools (LBPs), Temporal-function market makers (TFMMs), and Replicating market makers…
The MEV-Boost block auction contributes approximately 90% of all Ethereum blocks. Between October 2023 and March 2024, only three builders produced 80% of them, highlighting the concentration of power within the block builder market. To…
We present a comprehensive analysis of the implications of artificial latency in the Proposer-Builder Separation framework on the Ethereum network. Focusing on the MEV-Boost auction system, we analyze how strategic latency manipulation…
Block space on the blockchain is scarce and must be allocated efficiently through block building. However, Ethereum's current block-building ecosystem, MEV-Boost, has become highly centralized due to integration, which distorts competition,…
This study explores the intricacies of waiting games, a novel dynamic that emerged with Ethereum's transition to a Proof-of-Stake (PoS)-based block proposer selection protocol. Within this PoS framework, validators acquire a distinct…
The participation of electric vehicle (EV) aggregators in real-time electricity markets offers promising revenue opportunities through price-responsive energy arbitrage. A central challenge in economic bidding lies in quantifying the…
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…