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In this paper we show that, using only mild assumptions, previously proposed multidimensional blockchain fee markets are essentially optimal, even against worst-case adversaries. In particular, we show that the average welfare gap between…
Agent-based models (ABMs) are fit to model heterogeneous, interacting systems like financial markets. We present the latest advances in Evology: a heterogeneous, empirically calibrated market ecology agent-based model of the US stock…
In decentralized exchanges (DEXs), the arbitrage paths exist abundantly in the form of both arbitrage loops (e.g. the arbitrage path starts from token A and back to token A again in the end, A, B,..., A) and non-loops (e.g. the arbitrage…
Decentralized Exchanges (DEXs) are new types of marketplaces leveraging Blockchain technology. They allow users to trade assets with Automatic Market Makers (AMM), using funds provided by liquidity providers, removing the need for order…
We develop an axiomatic theory for Automated Market Makers (AMMs) in local energy sharing markets and analyze the Markov Perfect Equilibrium of the resulting economy with a Mean-Field Game. In this game, heterogeneous prosumers solve a…
Decentralized exchanges using automated market makers create arbitrage opportunities with centralized exchanges, where gas fees and transaction ordering are critical. Existing models largely overlook competition among arbitrageurs, despite…
If financial markets displayed the informational efficiency postulated in the efficient markets hypothesis (EMH), arbitrage operations would be self-extinguishing. The present paper considers arbitrage sequences in foreign exchange (FX)…
Decentralized exchanges are widely used platforms for trading crypto assets. The most common types work with automated market makers (AMM), allowing traders to exchange assets without needing to find matching counterparties. Thereby,…
The edge partition model (EPM) is a generative model for extracting an overlapping community structure from static graph-structured data. In the EPM, the gamma process (GaP) prior is adopted to infer the appropriate number of latent…
This paper examines how various categories of Ethereum stakers respond to changes in the consensus issuance schedule, and the potential impact of such changes on the composition of the staking market. To this end, we have develop and…
The purpose of this work is to explore the role that arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a stationary…
This paper measures price differences between Hegic option quotes on Arbitrum and a model-based benchmark built on Black--Scholes model with regime-sensitive volatility estimated via a two-regime MS-AR-(GJR)-GARCH model. Using option-level…
Minimax optimization problems have attracted a lot of attention over the past few years, with applications ranging from economics to machine learning. While advanced optimization methods exist for such problems, characterizing their…
Price benchmarks are used to incorporate market price trends into contracts, but their use can create opportunities for manipulation by parties involved in the contract. This paper examines this issue using a realistic and tractable model…
Ethereum is one of the most popular blockchain systems that supports more than half a million transactions every day and fosters miscellaneous decentralized applications with its Turing-complete smart contract machine. Whereas it remains…
The always-available liquidity of automated market makers (AMMs) has been one of the most important catalysts in early cryptocurrency adoption. However, it has become increasingly evident that AMMs in their current form are not viable…
We consider the impact of trading fees on the profits of arbitrageurs trading against an automated market maker (AMM) or, equivalently, on the adverse selection incurred by liquidity providers (LPs) due to arbitrage. We extend the model of…
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…
The expectation maximization (EM) algorithm is a widespread method for empirical Bayesian inference, but its expectation step (E-step) is often intractable. Employing a stochastic approximation scheme with Markov chain Monte Carlo (MCMC)…
Consider a market of competing model providers selling query access to models with varying costs and capabilities. Customers submit problem instances and are willing to pay up to a budget for a verifiable solution. An arbitrageur…