Related papers: Quantifying the Value of Revert Protection
Decentralized exchanges using automated market makers create arbitrage opportunities with centralized exchanges, where gas fees and transaction ordering are critical. Existing models largely overlook competition among arbitrageurs, despite…
Blockchain-based cryptocurrencies prioritize transactions based on their fees, creating a unique kind of fee market. Empirically, this market has failed to yield stable equilibria with predictable prices for desired levels of service. We…
We study the economics of transaction reverts on Ethereum rollups and show that they are not accidental failures but equilibrium outcomes of MEV strategies. Using execution traces from major L2s, we find that over 80% of reverted…
Maximal Extractable Value (MEV) has become a critical issue for blockchain ecosystems, as it enables validators or block proposers to extract value by ordering, including or censoring users' transactions. This paper aims to present a formal…
In classic auction theory, reserve prices are known to be effective for improving revenue for the auctioneer against quasi-linear utility maximizing bidders. The introduction of reserve prices, however, usually do not help improve total…
We consider infinite dimensional optimization problems motivated by the financial model called Arbitrage Pricing Theory. Using probabilistic and functional analytic tools, we provide a dual characterization of the super-replication cost.…
We revisit the fundamental question of Bitcoin's security against double spending attacks. While previous work has bounded the probability that a transaction is reversed, we show that no such guarantee can be effectively given if the…
Mining processes of Bitcoin and similar cryptocurrencies are currently incentivized with voluntary transaction fees and fixed block rewards which will halve gradually to zero. In the setting where optional and arbitrary transaction fee…
We study methods to enhance statistical privacy in blockchain transactions. We analyze economic mechanisms for privacy-aware transaction owners whose utility depends not only on the outcome of the mechanism but also negatively on the…
Second-price auctions with deposits are frequently used in blockchain environments. An auction takes place on-chain: bidders deposit an amount that fully covers their bid (but possibly exceeds it) in a smart contract. The deposit is used as…
We study a new "laminated" queueing model for orders on batched trading venues such as decentralised exchanges. The model aims to capture and generalise transaction queueing infrastructure that has arisen to organise MEV activity on public…
Cryptocurrency exchanges are frequently targeted and compromised by cyber-attacks, which may lead to significant losses for the depositors and closure of the affected exchanges. These risks threaten the viability of the entire public…
We study the risks of validator reuse across multiple services in a restaking protocol. We characterize the robust security of a restaking network as a function of the buffer between the costs and profits from attacks. For example, our…
As blockchains begin processing significant economic activity, the ability to include and order transactions inevitably becomes highly valuable, a concept known as Maximal Extractable Value (MEV). This makes effective mechanisms for…
High-frequency trading, in both traditional and decentralized markets, induces latency races and redundant order flow as traders spend resources to win time-sensitive opportunities. We show that auctioning artificial time priority can…
Layer 1 (L1) blockchains such as Ethereum are secured under an "honest supermajority of stake" assumption for a large pool of validators who verify each and every transaction on it. This high security comes at a scalability cost which not…
Blockchains offer strong security guarantees, but they cannot protect the ordering of transactions. Powerful players, such as miners, sequencers, and sophisticated bots, can reap significant profits by selectively including, excluding, or…
The Bitcoin payment system involves two agent types: Users that transact with the currency and pay fees and miners in charge of authorizing transactions and securing the system in return for these fees. Two of Bitcoin's challenges are (i)…
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…
Modern blockchains guarantee that submitted transactions will be included eventually; a property formally known as liveness. But financial activity requires transactions to be included in a timely manner. Unfortunately, classical liveness…