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Consensus protocols are currently the bottlenecks that prevent blockchain systems from scaling. However, we argue that transaction execution is also important to the performance and security of blockchains. In other words, there are ample…
While Ethereum has successfully achieved dynamic availability together with safety, a fundamental delay remains between transaction execution and immutable finality. In Ethereum's current Gasper protocol, this latency is on the order of 15…
This paper analyzes the Execution Tickets proposal on Ethereum Research, unveiling its potential to revolutionize the Ethereum blockchain's economic model. At the core of this proposal lies a novel ticketing mechanism poised to redefine how…
The introduction of blobs through EIP-4844 has significantly reduced the Data Availability (DA) costs for rollups on Ethereum. However, due to the fixed size of blobs at 128 KB, rollups with low data throughput face a dilemma: they either…
Automated Market Makers (AMMs) are essential to decentralized finance, offering continuous liquidity and enabling intermediary-free trading on blockchains. However, participants in AMMs are vulnerable to Maximal Extractable Value (MEV)…
Recent empirical evidence has highlighted the crucial role of jumps in both price and volatility within the cryptocurrency market. In this paper, we integrate price--volatility co-jumps and volatility short-term dependency into a coherent…
Participation in permissionless blockchains results in competition over system resources, which needs to be controlled with fees. Ethereum's current fee mechanism is implemented via a first-price auction that results in unpredictable fees…
From viral jokes to a billion-dollar phenomenon, meme coins have become one of the most popular segments in cryptocurrency markets. Unlike utility-focused crypto assets like Bitcoin, meme coins derive value primarily from community…
Dynamic-weight AMMs (aka Temporal Function Market Makers, TFMMs) implement algorithmic asset allocation, analogous to index or smart beta funds, by continuously updating pools' weights. A strategy updates target weights over time, and…
The Ethereum blockchain plays a central role in the broader cryptocurrency ecosystem, enabling a wide range of financial activity through the use of smart contracts. This paper investigates how individual Ethereum wallets responded to the…
Ethereum Improvement Proposal (EIP) 1559 was recently implemented to transform Ethereum's transaction fee market. EIP-1559 utilizes an algorithmic update rule with a constant learning rate to estimate a base fee. The base fee reflects…
Order placement tactics play a crucial role in high-frequency trading algorithms and their design is based on understanding the dynamics of the order book. Using high quality high-frequency data and a set of microstructural features, we…
The long-term success of cryptocurrencies largely depends on the incentive compatibility provided to the validators. Bribery attacks, facilitated trustlessly via smart contracts, threaten this foundation. This work introduces, implements,…
We study Arbitrum's Express Lane Auction (ELA), an ahead-of-time second-price auction that grants the winner an exclusive latency advantage for one minute. Building on a single-round model with risk-averse bidders, we propose a hypothesis…
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…
Blockchains are meant to be persistent: posted transactions are immutable and cannot be changed. When a theft takes place, there are limited options for reversing the disputed transaction, and this has led to significant losses in the…
We design TimeBoost: a practical transaction ordering policy for rollup sequencers that takes into account both transaction timestamps and bids; it works by creating a score from timestamps and bids, and orders transactions based on this…
Airdrops are a popular mechanism used by blockchain protocols to bootstrap communities, reward early adopters, and decentralize token distribution. Despite their widespread adoption, the effectiveness of airdrops in achieving long-term user…
In this paper we show that, using only mild assumptions, previously proposed multidimensional blockchain fee markets are essentially optimal, even against worst-case adversaries. In particular, we show that the average welfare gap between…
We investigate the market microstructure of Automated Market Makers (AMMs), the most prominent type of blockchain-based decentralized exchanges. We show that the order execution mechanism yields token value loss for liquidity providers if…