Related papers: MEV Capture Through Time-Advantaged Arbitrage
Traditional blockchain design gives miners or validators full control over transaction ordering, i.e., they can freely choose which transactions to include or exclude, as well as in which order. While not an issue initially, the emergence…
Execution Tickets are currently discussed as a next evolutionary step in Ethereum's block space allocation mechanism, separating consensus rewards from execution rewards and selling execution rights through a dedicated market. We present a…
This paper studies optimal market making for large-tick assets in the presence of latency. We consider a random walk model for the asset price, and formulate the market maker's optimization problem using Markov Decision Processes (MDP). We…
Possible manipulation of user transactions by miners in a permissionless blockchain systems is a growing concern. This problem is a pervasive and systemic issue, known as Miner Extractable Value (MEV), incurs highs costs on users of…
We propose a mechanism embedded into the foundational infrastructure of a blockchain network, designed to improve the utility of idle network resources, whilst enhancing market microstructure efficiency during block production by leveraging…
The convergence of mobile edge computing (MEC) and blockchain is transforming the current computing services in mobile networks, by offering task offloading solutions with security enhancement empowered by blockchain mining. Nevertheless,…
The Empirical Revenue Maximization (ERM) is one of the most important price learning algorithms in auction design: as the literature shows it can learn approximately optimal reserve prices for revenue-maximizing auctioneers in both repeated…
With the development of mobile edge computing (MEC) and blockchain-based federated learning (BCFL), a number of studies suggest deploying BCFL on edge servers. In this case, resource-limited edge servers need to serve both mobile devices…
This paper investigates how pricing schemes can achieve efficient allocations in blockchain systems featuring multiple transaction queues under a global capacity constraint. I model a capacity-constrained blockchain where users submit…
The emergence of decentralized finance has transformed asset trading on the blockchain, making traditional financial instruments more accessible while also introducing a series of exploitative economic practices known as Maximal Extractable…
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…
Classical optimal auction theory assumes that bids reach the seller directly. We study how this picture changes when a revenue-maximizing intermediary controls access to the seller's auction. Motivated by blockchain auctions, online…
Automated negotiation is a well-known mechanism for autonomous agents to reach agreements. To realize beneficial agreements quickly, it is key to employ a good bidding strategy. When a negotiating agent has a good back-up plan, i.e., a high…
Optimistic responsiveness -- the ability of a consensus protocol to operate at the speed of the network -- is widely used in consensus protocol design to optimize latency and throughput. However, blockchain applications incentivize…
Statistical arbitrage exploits temporal price differences between similar assets. We develop a unifying conceptual framework for statistical arbitrage and a novel data driven solution. First, we construct arbitrage portfolios of similar…
Although Metaverse has recently been widely studied, its practical application still faces many challenges. One of the severe challenges is the lack of sufficient resources for computing and communication on local devices, resulting in the…
Although modern blockchains almost universally produce blocks at fixed intervals, existing models still lack an analytical formula for the loss-versus-rebalancing (LVR) incurred by Automated Market Makers (AMMs) liquidity providers in this…
An automated market maker (AMM) is a state machine that manages pools of assets, allowing parties to buy and sell those assets according to a fixed mathematical formula. AMMs are typically implemented as smart contracts on blockchains, and…
This paper proposes a novel energy storage price arbitrage algorithm combining supervised learning with dynamic programming. The proposed approach uses a neural network to directly predicts the opportunity cost at different energy storage…
Multi-access edge computing (MEC) is one of the enabling technologies for high-performance computing at the edge of the 6 G networks, supporting high data rates and ultra-low service latency. Although MEC is a remedy to meet the growing…