Related papers: RediSwap: MEV Redistribution Mechanism for CFMMs
Automated market makers (AMMs) are smart contracts that automatically trade electronic assets according to a mathematical formula. This paper investigates how an AMM's formula affects the interests of liquidity providers, who endow the AMM…
Decentralized Finance (DeFi) has revolutionized financial markets by enabling complex asset-exchange protocols without trusted intermediaries. Automated Market Makers (AMMs) are a central component of DeFi, providing the core functionality…
Smart contracts led to the emergence of the decentralized finance (DeFi) marketplace within blockchain ecosystems, where diverse participants engage in financial activities. In traditional finance, there are possibilities to create values,…
Multi-block MEV (MMEV) denotes the practice of securing k-consecutive blocks in an attempt at extracting surplus value by manipulating transaction ordering. Following the implementation of pro-poser/builder separation (PBS) on Ethereum,…
Layer-2 (L2) blockchains inherit Ethereums security guarantees while reducing gas fees. As a result, they are gaining traction among traders at Automated Market Makers (AMMs), sparking debate over whether they contribute to liquidity…
The electrical network reconfiguration problem aims to minimize losses in a distribution system by adjusting switches while ensuring radial topology. The growing use of renewable energy and the complexity of managing modern power grids make…
Differential machine learning combines automatic adjoint differentiation (AAD) with modern machine learning (ML) in the context of risk management of financial Derivatives. We introduce novel algorithms for training fast, accurate pricing…
Automated Market Makers (AMMs), as a core infrastructure of decentralized finance (DeFi), uniquely drive on-chain asset pricing through a deterministic reserve ratio mechanism. Unlike traditional markets, AMM price dynamics is triggered…
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…
This work analytically characterizes impermanent loss for automated market makers (AMMs) in decentralized markets such as Uniswap or Balancer (CPMM). We derive a static replication formula for the pool's value using a combination of…
We analyze maximal extractable value in multiple concurrent proposer blockchains, where multiple blocks become data available before their final execution order is determined. This concurrency breaks the single builder assumption of…
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…
In this paper, we introduce a novel framework to model the exchange rate dynamics between two intrinsically linked cryptoassets, such as stablecoins pegged to the same fiat currency or a liquid staking token and its associated native token.…
Constant product markets with concentrated liquidity (CL) are the most popular type of automated market makers. In this paper, we characterise the continuous-time wealth dynamics of strategic LPs who dynamically adjust their range of…
Auto-deleveraging (ADL) mechanisms are a critical yet understudied component of risk management on cryptocurrency futures exchanges. When available margin and other loss-absorbing resources are insufficient to cover losses following large…
This paper addresses the problem of nonconvex nonsmooth decentralised optimisation in multi-agent networks with undirected connected communication graphs. Our contribution lies in introducing an algorithmic framework designed for the…
Maximal extractable value (MEV) in which block proposers unethically gain profits by manipulating the order in which transactions are included within a block, is a key challenge facing blockchains such as Ethereum today. Left unchecked, MEV…
Automated Market Makers (AMMs) are essential in Decentralized Finance (DeFi) as they match liquidity supply with demand. They function through liquidity providers (LPs) who deposit assets into liquidity pools. However, the asset trading…
Market fragmentation across multiple Automated Market Makers (AMMs) creates inefficiencies such as costly arbitrage, unnecessarily high slippage and delayed incorporation of new information into prices. These inefficiencies raise trading…
Cross-chain bridges constitute the single largest vector of systemic risk in Decentralized Finance (DeFi), accounting for over \$2.8 billion in losses since 2021. The fundamental vulnerability lies in the binary nature of existing bridge…