Related papers: Auctioning Time to Mitigate Latency Races: Theory …
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…
We study Arbitrum's Timeboost mechanism following the adoption of Kairos by its main users -- Wintermute and Selini Capital -- to understand how the emergence of a just-in-time secondary market affects the dynamics of an ahead-of-time…
In financial applications, latency advantages -- the ability to make decisions later than others, even without the ability to see what others have done -- can provide individual participants with an edge by allowing them to gather…
We study equilibrium investment into bidding and latency reduction for different sequencing policies. For a batch auction design, we observe that bidders shade bids according to the likelihood that competing bidders land in the current…
DeFi applications are vulnerable to MEV, where specialized actors profit by reordering or inserting transactions. To mitigate latency races and internalize MEV revenue, Arbitrum introduced Timeboost, an auction-based transaction sequencing…
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…
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…
Flaws of a continuous limit order book mechanism raise the question of whether a continuous trading session and a periodic auction session would bring better efficiency. This paper wants to go further in designing a periodic auction when…
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…
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…
Traditional public blockchain systems typically had very limited transaction throughput because of the bottleneck of the consensus protocol itself. With recent advances in consensus technology, the performance limit has been greatly lifted,…
Milionis et al.(2023) studied the rate at which automated market makers leak value to arbitrageurs when block times are discrete and follow a Poisson process, and where the risky asset price follows a geometric Brownian motion. We extend…
We study blockchain trade-intent auctions, which currently intermediate about USD 10 billion in trades each month. These auctions are combinatorial because executing multiple trade intents jointly generates additional efficiencies. However,…
Blockchain offers a decentralized, immutable, transparent system of records. It offers a peer-to-peer network of nodes with no centralised governing entity making it unhackable and therefore, more secure than the traditional paper-based or…
I study a repeated auction in which payments are made with a blockchain token created and initially owned by the auction designer. Unlike the ``virtual money'' previously examined in mechanism design, such tokens can be saved and traded…
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…
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 present a comprehensive analysis of the implications of artificial latency in the Proposer-Builder Separation framework on the Ethereum network. Focusing on the MEV-Boost auction system, we analyze how strategic latency manipulation…
Traditional smart grid energy auctions cannot directly be integrated in blockchain due to its decentralized nature. Therefore, research works are being carried out to propose efficient decentralized auctions for energy trading. Since,…
Blockchain's economic value lies in enabling financial and economic transactions without relying on trusted, centralized intermediaries. In practice, however, transactions pass through a fragmented chain of intermediaries before being…