Related papers: MEV Capture Through Time-Advantaged Arbitrage
Automated market makers (AMMs) are a new prototype of decentralised exchanges which are revolutionising market interactions. The majority of AMMs are constant product markets (CPMs) where exchange rates are set by a trading function. This…
Blockchain systems that settle financial transactions face a structural tension: the single validator that assembles each block holds unilateral power over transaction inclusion and ordering. Traditional markets curb this very power through…
Statistical arbitrage exploits temporal price differences between similar assets. We develop a framework to jointly identify similar assets through factors, identify mispricing and form a trading policy that maximizes risk-adjusted…
Decentralized finance (DeFi) markets spread across Layer-1 (L1) and Layer-2 (L2) blockchains rely on arbitrage to keep prices aligned. Today most price gaps are closed against centralized exchanges (CEXes), whose deep liquidity and fast…
Blockchain platforms such as Ethereum and several others execute complex transactions in blocks through user-defined scripts known as smart contracts. To append a correct block into blockchain, miners execute these transactions of smart…
Blockchains, and specifically smart contracts, have promised to create fair and transparent trading ecosystems. Unfortunately, we show that this promise has not been met. We document and quantify the widespread and rising deployment of…
Milionis et al.(2023) studied the rate at which automated market makers leak value to arbitrageurs when block times are discrete and follow a Poisson process, and where the risky asset price follows a geometric Brownian motion. We extend…
In mobile edge computing (MEC) systems, users offload computationally intensive tasks to edge servers at base stations. However, with unequal demand across the network, there might be excess demand at some locations and underutilized…
We study a \emph{financial} version of the classic online problem of scheduling weighted packets with deadlines. The main novelty is that, while previous works assume packets have \emph{fixed} weights throughout their lifetime, this work…
As computational agents are developed for increasingly complicated e-commerce applications, the complexity of the decisions they face demands advances in artificial intelligence techniques. For example, an agent representing a seller in an…
We study the impact of the order flow auction (OFA) in the context of the proposer-builder separation (PBS) mechanism in blockchains through a game-theoretic perspective. The OFA is designed to improve user welfare by redistributing maximal…
In this paper, we derive a temporal arbitrage policy for storage via reinforcement learning. Real-time price arbitrage is an important source of revenue for storage units, but designing good strategies have proven to be difficult because of…
Today's queueing network systems are more rapidly evolving and more complex than those of even a few years ago. The goal of this paper is to study customers' behavior in an unobservable Markovian M/M/1 queue where consumers have to choose…
Price benchmarks are used to incorporate market price trends into contracts, but their use can create opportunities for manipulation by parties involved in the contract. This paper examines this issue using a realistic and tractable model…
We present V0LVER, an AMM protocol which solves an incentivization trilemma between users, passive liquidity providers, and block producers. V0LVER enables users and passive liquidity providers to interact without paying MEV or incurring…
Automated Market Makers (AMMs) are a cornerstone of decentralized finance. They are smart contracts (stateful programs) running on blockchains. They enable virtual token exchange: traders swap tokens with the AMM for a fee, while liquidity…
We provide a characterization of revenue-optimal dynamic mechanisms in settings where a monopolist sells k items over k periods to a buyer who realizes his value for item i in the beginning of period i. We require that the mechanism…
Mobile edge computing (MEC) and next-generation mobile networks are set to disrupt the way intelligent and autonomous systems are interconnected. This will have an effect on a wide range of domains, from the Internet of Things to autonomous…
We consider a trading marketplace that is populated by traders with diverse trading strategies and objectives. The marketplace allows the suppliers to list their goods and facilitates matching between buyers and sellers. In return, such a…
This study quantifies the potential non-atomic MEV on Layer-2 (L2) blockchains by measuring the arbitrage opportunities between cross-rollup and DEX-CEX. Over recent years, we observe a shift in trading activities from Ethereum to rollups,…