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The Ethereum blockchain network is a decentralized platform enabling smart contract execution and transactions of Ether (ETH) [1], its designated cryptocurrency. Ethereum is the second most popular cryptocurrency with a market cap of more…
While quantitative automation related to trading crypto-assets such as ERC-20 tokens has become relatively commonplace, with services such as 3Commas and Shrimpy offering user-friendly web-driven services for even the average crypto trader,…
The scalability problem has been one of the most significant barriers limiting the adoption of blockchains. Blockchain sharding is a promising approach to this problem. However, the sharding mechanism introduces a significant number of…
We study the economic viability of liquidity provision in decentralised exchanges (DEXs) within a structural framework in which market outcomes are endogenous. We formulate strategic interactions as a sequential game: a risk-averse…
Despite being under development for over 15 years, transaction throughput remains one of the key challenges confronting blockchains, which typically has a cap of a limited number of transactions per second. A fundamental factor limiting…
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…
Statistical arbitrage exploits temporal price differences between similar assets. We develop a framework to jointly identify similar assets through factors, identify mispricing and form a trading policy that maximizes risk-adjusted…
Transaction simulation is an important subsystem of block building, denial of whose service could lead to severe damage to the blockchain ecosystem and transaction delivery. Denial of block building has been studied, where the existing…
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…
This paper presents Conflux, a fast, scalable and decentralized blockchain system that optimistically process concurrent blocks without discarding any as forks. The Conflux consensus protocol represents relationships between blocks as a…
A long line of works characterizes the sample complexity of regret minimization in sequential decision-making by min-max programs. In the corresponding saddle-point game, the min-player optimizes the sampling distribution against an…
Cryptoassets such as cryptocurrencies and tokens are increasingly traded on decentralized exchanges. The advantage for users is that the funds are not in custody of a centralized external entity. However, these exchanges are prone to…
We identify the slow liquidity drain (SLID) scam, an insidious and highly profitable threat to decentralized finance (DeFi), posing a large-scale, persistent, and growing risk to the ecosystem. Unlike traditional scams such as rug pulls or…
The proxy pattern is a well-known design pattern with numerous use cases in several sectors of the software industry. As such, the use of the proxy pattern is also a common approach in the development of complex decentralized applications…
In this article, we present a discrete time modeling framework, in which the shape and dynamics of a Limit Order Book (LOB) arise endogenously from an equilibrium between multiple market participants (agents). We use the proposed modeling…
The increasing adoption of blockchain technology has led to a growing demand for higher transaction throughput. Traditional blockchain platforms, such as Ethereum, execute transactions sequentially within each block, limiting scalability.…
Improving transaction throughput is one of the main challenges in decentralized payment systems. Attempts to improve transaction throughput in cryptocurrencies are usually a trade-off between throughput and security or introduce a central…
We study how the 2024 U.S. presidential election, viewed as a major political risk event, affected cryptocurrency markets by distinguishing human-driven peer-to-peer stablecoin transactions from automated algorithmic activity. Using…
Blockchain technologies are expected to make a significant impact on a variety of industries. However, one issue holding them back is their limited transaction throughput, especially compared to established solutions such as distributed…
Algorithmic trading is well studied in traditional financial markets. However, it has received less attention in centralized cryptocurrency exchanges. The Commodity Futures Trading Commission (CFTC) attributed the $2010$ flash crash, one of…