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Trading on decentralized exchanges has been one of the primary use cases for permissionless blockchains with daily trading volume exceeding billions of U.S.~dollars. In the status quo, users broadcast transactions and miners are responsible…
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…
It has been assumed that arbitrage profits are not possible in efficient markets, because future prices are not predictable. Here we show that predictability alone is not a sufficient measure of market efficiency. We instead propose to…
Model merging has emerged as a cost-efficient approximation to multitask learning. Among merging strategies, task arithmetic is notable for its simplicity and effectiveness. In this work, we provide a theoretical motivation for task vectors…
We show that Execution Tickets and Execution Auctions dramatically increase centralization in the market for block proposals, even without multi-block MEV concerns. Previous analyses have insufficiently or incorrectly modeled the…
In the rapidly evolving domain of distributed ledger technology, scalability and interoperability have become paramount challenges for both academic and industry sectors. In this paper, we introduce a comprehensive formal model to address…
The Ethereum block-building process has changed significantly since the emergence of Proposer-Builder Separation. Validators access blocks through a marketplace, where block builders bid for the right to construct the block and earn MEV…
Consider a market of competing model providers selling query access to models with varying costs and capabilities. Customers submit problem instances and are willing to pay up to a budget for a verifiable solution. An arbitrageur…
Concentrated liquidity automated market makers (AMMs), such as Uniswap v3, enable liquidity providers (LPs) to earn liquidity rewards by depositing tokens into liquidity pools. However, LPs often face significant financial losses driven by…
When firms want to buy back their own shares, they have a choice between several alternatives. If they often carry out open market repurchase, they also increasingly rely on banks through complex buyback contracts involving option…
Layer 2 rollups are rapidly absorbing DeFi activity, securing over $40 billion and accounting for nearly half of Ethereum's DEX volume by Q1 2025, yet their MEV dynamics remain understudied. We address this gap by defining and quantifying…
This paper presents the results of a comprehensive empirical study of losses to arbitrageurs (following the formalization of loss-versus-rebalancing by [Milionis et al., 2022]) incurred by liquidity providers on automated market makers…
Autonomous Market Makers (AMMs) rely on arbitrage to facilitate passive price updates. Liquidity fragmentation poses a complex challenge across different blockchain networks. This paper proposes FluxLayer, a solution to mitigate fragmented…
DeFi applications are vulnerable to MEV, where specialized actors profit by reordering or inserting transactions. To mitigate latency races and internalize MEV revenue, Arbitrum introduced Timeboost, an auction-based transaction sequencing…
In multi-state life insurance, an adequate balance between analytic tractability, computational efficiency, and statistical flexibility is of great importance. This might explain the popularity of Markov chain modelling, where matrix…
Machine learning systems appear stochastic but are deterministically random, as seeded pseudorandom number generators produce identical realisations across repeated executions. Standard evaluation practice typically treats runs across…
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…
The multi-chain future is upon us. Modular architectures are coming to maturity across the ecosystem to scale bandwidth and throughput of cryptocurrency. One example of such is the Ethereum modular architecture, with its beacon chain, its…
We study builder-driven MEV arbitrage on BNB Smart Chain (BSC). BSC's Proposer-Builder Separation (PBS) adopts a leaner design: only whitelisted builders can participate, blocks are produced at shorter intervals, and private order flow…
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…