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Modern cryptocurrency systems, such as Ethereum, permit complex financial transactions through scripts called smart contracts. These smart contracts are executed many, many times, always without real concurrency. First, all smart contracts…
This study provides a practical introduction to high-frequency trading in blockchain-based currency markets. These types of markets have some specific characteristics that differentiate them from the stock markets, such as a large number of…
Smart contracts are programs running on blockchain to execute transactions. When input constraints or security properties are violated at runtime, the transaction being executed by a smart contract needs to be reverted to avoid undesirable…
Rollups have become the de facto scalability solution for Ethereum, securing more than $55B in assets. They achieve scale by executing transactions on a Layer 2 ledger, while periodically posting data and finalizing state on the Layer 1,…
Most permissionless blockchain networks run on peer-to-peer (P2P) networks, which offer flexibility and decentralization at the expense of performance (e.g., network latency). Historically, this tradeoff has not been a bottleneck for most…
We find an approximate Nash equilibrium in a game between decentralized exchanges (DEXs) that compete for order flow by setting dynamic trading fees. We characterize the equilibrium via a coupled system of partial differential equations and…
Maximal Extractable Value (MEV) searching has gained prominence on the Ethereum blockchain since the surge in Decentralized Finance activities. In Ethereum, MEV extraction primarily hinges on fee payments to block proposers. However, in…
Decentralized exchanges (DEXes) have introduced an innovative trading mechanism, where it is not necessary to match buy-orders and sell-orders to execute a trade. DEXes execute each trade individually, and the exchange rate is automatically…
We argue that contemporary stock market designs are, due to traders' inability to fully express their preferences over the execution times of their orders, prone to latency arbitrage. In turn, we propose a new order type which allows…
Speculative decoding accelerates LLM inference by using a fast draft model to generate tokens and a more accurate target model to verify them. Its performance depends on the $\textit{acceptance length}$, or number of draft tokens accepted…
This paper presents the first comprehensive analysis of an emerging cryptocurrency scam named "arbitrage bot" disseminated on online social networks. The scam revolves around Decentralized Exchanges (DEX) arbitrage and aims to lure victims…
The transaction ordering dependency of the smart contracts building decentralized exchanges (DEXes) allow for predatory trading strategies. In particular, front-running attacks present a constant risk for traders on DEXes. Whereas legal…
Smart contracts provide the means to stipulate rules of interaction between mutually distrustful organizations. They encode contractual agreements on the basis of source code, which else need to be contractualized in natural language. While…
Layer-2 (L2) blockchains inherit Ethereums security guarantees while reducing gas fees. As a result, they are gaining traction among traders at Automated Market Makers (AMMs), sparking debate over whether they contribute to liquidity…
This paper presents a stochastic model for discrete-time trading in financial markets where trading costs are given by convex cost functions and portfolios are constrained by convex sets. The model does not assume the existence of a cash…
This document analyzes price discovery in cryptocurrency markets by comparing centralized and decentralized exchanges, as well as spot and futures markets. The study focuses first on Ethereum (ETH) and then applies a similar approach to…
In a discrete-time setting, we study arbitrage concepts in the presence of convex trading constraints. We show that solvability of portfolio optimization problems is equivalent to absence of arbitrage of the first kind, a condition weaker…
We outline two dishonest strategies that can be cheaply executed on the Ethereum 2.0 beacon chain, even by validators holding less than one-third of the total stake: malicious chain reorganizations ("reorgs") and finality delays. In a…
Predatory trading bots lurking in Ethereum's mempool present invisible taxation of traders on automated market makers (AMMs). AMM traders specify a slippage tolerance to indicate the maximum price movement they are willing to accept. This…
On September 15, 2022, the Ethereum network adopted a proof-of-stake (PoS) consensus mechanism. We study the impact on the network and competing platforms in a two month event window around the Beacon chain merge. We find that the…