Related papers: Arbitrage on Decentralized Exchanges
Maintaining system balance becomes increasingly challenging as market design and grid capacity enhancement lag behind the growing share of renewables, requiring greater effort from both the transmission system operator (TSO) and the Balance…
This paper presents an integrated model for bidding energy storage in day-ahead and real-time markets to maximize profits. We show that in integrated two-stage bidding, the real-time bids are independent of day-ahead settlements, while the…
Auction has been used to allocate resources or tasks to processes, machines or other autonomous entities in distributed systems. When different bidders have different demands and valuations on different types of resources or tasks, the…
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…
We consider a trader who aims to liquidate a large position in the presence of an arbitrageur who hopes to profit from the trader's activity. The arbitrageur is uncertain about the trader's position and learns from observed price…
Automated market makers (AMMs) quote prices from pool state rather than from a limit order book. AMM pools often stay close to a reference price because arbitrageurs correct profitable mispricing. A large part of decentralized finance…
We present a mathematical formulation of liquidity provision in decentralized exchanges. We focus on constant function market makers of utility indifference type, which include constant product market makers with concentrated liquidity as a…
We consider a popular model of microeconomics with countably many assets: the Arbitrage Pricing Model. We study the problem of optimal investment under an expected utility criterion and look for conditions ensuring the existence of optimal…
We develop robust pricing and hedging of a weighted variance swap when market prices for a finite number of co--maturing put options are given. We assume the given prices do not admit arbitrage and deduce no-arbitrage bounds on the weighted…
The system operator's scheduling problem in electricity markets, called unit commitment, is a non-convex mixed-integer program. The optimal value function is non-convex, preventing the application of traditional marginal pricing theory to…
The limit order book mechanism has been the core trading mechanism of the modern financial market. In the cryptocurrency market, centralized exchanges also adopt this limit order book mechanism and a centralized matching engine dynamically…
In this paper we formulate the fixed budget resource allocation game to understand the performance of a distributed market-based resource allocation system. Multiple users decide how to distribute their budget (bids) among multiple machines…
Congestion game is a widely used model for modern networked applications. A central issue in such applications is that the selfish behavior of the participants may result in resource overloading and negative externalities for the system…
The efficiency of decentralized exchanges (DEXs) and the influence of token routing algorithms on market performance and stakeholder outcomes remain underexplored. This paper introduces the concept of Standardized Total Arbitrage Profit…
There is an intrinsic value in higher integration of multi-carrier energy systems (especially gas and electricity), to increase operational flexibility in the electricity system and to improve allocation of resources in gas and electricity…
We consider ride-sharing networks served by human-driven vehicles (HVs) and autonomous vehicles (AVs). We propose a model for ride-sharing in this mixed autonomy setting for a multi-location network in which a ride-sharing platform sets…
We investigate triangular arbitrage within the spot foreign exchange market using high-frequency executable prices. We show that triangular arbitrage opportunities do exist, but that most have short durations and small magnitudes. We find…
We provide a Fundamental Theorem of Asset Pricing and a Superhedging Theorem for a model independent discrete time financial market with proportional transaction costs. We consider a probability-free version of the Robust No Arbitrage…
Ad exchanges are an emerging platform for trading advertisement slots on the web with billions of dollars revenue per year. Every time a user visits a web page, the publisher of that web page can ask an ad exchange to auction off the ad…
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…