Related papers: The Free Option Problem of ePBS
Financial regulators have long-standing concerns about fully decentralized exchanges that run 'on-chain' without any obvious regulatory hooks. The popularity of Uniswap, an automated market makers (AMM), made these concerns a reality. AMMs…
Blockchain enables peer-to-peer transactions in cyberspace without a trusted third party. The rapid growth of Ethereum and smart contract blockchains generally calls for well-designed Transaction Fee Mechanisms (TFMs) to allocate limited…
We deal with the optimal execution problem when the broker's goal is to reach a performance barrier avoiding a downside barrier. The performance is provided by the wealth accumulated by trading in the market, the shares detained by the…
The secondary market for Ethereum non-fungible tokens (NFTs) has resulted in over $1.8bn being paid to creators in the form of a sales tax commonly called creator royalties. This was despite royalty payments being enforced by no more than…
This paper develops a model to evaluate the viability of blockchain markets as the sole venue for price formation. Blockchains clear at discrete intervals called block time, and transactions are executed sequentially according to priority…
In this article, we study the problem of pricing defaultable bond with discrete default intensity and barrier under constant risk free short rate using higher order binary options and their integrals. In our credit risk model, the risk free…
We study the robustness of approval-based participatory budgeting (PB) rules to random noise in the votes. Our contributions are twofold. First, we study the computational complexity of the #Flip-Bribery problem, where given a PB instance…
Bitcoin has attracted everyone's attention and interest recently. Ethereum (ETH), a second generation cryptocurrency, extends Bitcoin's design by offering a Turing-complete programming language called Solidity to develop smart contracts.…
Efficiency is a fundamental property of any type of program, but it is even more so in the context of the programs executing on the blockchain (known as smart contracts). This is because optimizing smart contracts has direct consequences on…
In this work, we provide a comprehensive survey of smart contract upgradability patterns using proxies. A primary characteristic of smart contracts on the Ethereum blockchain is that they are immutable once implemented, no changes can be…
Scalability is a common issue among the most used permissionless blockchains, and several approaches have been proposed accordingly. As Ethereum is set to be a solid foundation for a decentralized Internet web, the need for tackling…
As Ethereum continues to thrive, the Ethereum Virtual Machine (EVM) has become the cornerstone powering tens of millions of active smart contracts. Intuitively, security issues in EVMs could lead to inconsistent behaviors among smart…
Given a social network with nonuniform selection cost of the users, the problem of \textit{Budgeted Influence Maximization} (BIM in short) asks for selecting a subset of the nodes within an allocated budget for initial activation, such that…
The security of most existing cryptocurrencies is based on a concept called Proof-of-Work, in which users must solve a computationally hard cryptopuzzle to authorize transactions (`one unit of computation, one vote'). This leads to enormous…
We argue that the current POW based consensus algorithm of the Bitcoin network suffers from a fundamental economic discrepancy between the real world transaction (txn) costs incurred by miners and the wealth that is being transacted. Put…
Blockchains have popularized automated market makers (AMMs). An AMM exchange is an application running on a blockchain which maintains a pool of crypto-assets and automatically trades assets with users governed by some pricing function that…
Options are fundamental to blockchain-based financial services, offering essential tools for risk management and price speculation, which enhance liquidity, flexibility, and market efficiency in decentralized finance (DeFi). Despite the…
Maximal Extractable Value (MEV) drives the prosperity of the blockchain ecosystem. By strategically including, excluding, or reordering transactions within blocks, block producers can extract additional value, which in turn incentivizes…
Paper is based on "The cost of illiquidity and its effects on hedging", L. C. G. Rogers and Surbjeet Singh, 2010. We generalize its thesis to constant elasticity model, which own previously used Black-Schoels model as a special case. The…
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…