Related papers: Open vs. Sealed: Auction Format Choice for Maximal…
We study revenue variance in the sale of $k$ homogeneous items to risk-neutral, unit-demand bidders with independent private values. Although the Revenue Equivalence Theorem implies that standard auctions generate the same expected revenue,…
We study the optimal auction design problem when bidders' preferences follow the maxmin expected utility model. We suppose that each bidder's set of priors consists of beliefs close to the seller's belief, where "closeness" is defined by a…
Decentralized Finance (DeFi) leverages blockchain-enabled smart contracts to deliver automated and trustless financial services without the need for intermediaries. However, the public visibility of financial transactions on the blockchain…
Auction is applied for trade with various mechanisms. A simple but practical question is which mechanism, typically first-price or second-price auctions, is preferred from the perspective of bidders or sellers. A celebrated answer is…
Maximal Extractable Value (MEV) refers to a wide class of economic attacks to public blockchains, where adversaries with the power to reorder, drop or insert transactions in a block can "extract" value from smart contracts. Empirical…
Within the private-values paradigm, we construct a tractable empirical model of equilibrium behavior at first-price auctions when bidders' valuations are potentially dependent, but not necessarily affiliated. We develop a test of…
Consider a seller with m heterogeneous items for sale to a single additive buyer whose values for the items are arbitrarily correlated. It was previously shown that, in such settings, distributions exist for which the seller's optimal…
Smart contracts led to the emergence of the decentralized finance (DeFi) marketplace within blockchain ecosystems, where diverse participants engage in financial activities. In traditional finance, there are possibilities to create values,…
We study the revenue comparison problem of auctions when the seller has a maxmin expected utility preference. The seller holds a set of priors around some reference belief, interpreted as an approximating model of the true probability law…
The successive generations of consensus algorithms have progressively shifted the performance bottleneck of blockchains to the execution layer. While recent works address this by parallelizing transaction execution, they often overlook the…
Maximal Extractable Value (MEV) has emerged as a new frontier in the design of blockchain systems. In this paper, we propose making the MEV extraction rate as part of the protocol design space. Our aim is to leverage this parameter to…
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…
Trading through decentralized exchanges (DEXs) has become crucial in today's blockchain ecosystem, enabling users to swap tokens efficiently and automatically. However, the capacity of miners to strategically order transactions has led to…
The competition complexity of an auction setting is the number of additional bidders needed such that the simple mechanism of selling items separately (with additional bidders) achieves greater revenue than the optimal but complex…
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…
In markets such as digital advertising auctions, bidders want to maximize value rather than payoff. This is different to the utility functions typically assumed in auction theory and leads to different strategies and outcomes. We refer to…
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…
We provide an economic model of Execution Tickets and use it to study the ability of the Ethereum protocol to capture MEV from block construction. We demonstrate that Execution Tickets extract all MEV when all buyers are homogeneous, risk…
Multi-block MEV (MMEV) denotes the practice of securing k-consecutive blocks in an attempt at extracting surplus value by manipulating transaction ordering. Following the implementation of pro-poser/builder separation (PBS) on Ethereum,…
The Empirical Revenue Maximization (ERM) is one of the most important price learning algorithms in auction design: as the literature shows it can learn approximately optimal reserve prices for revenue-maximizing auctioneers in both repeated…