相关论文: Maximizing Extractable Value from Automated Market…

The use of blockchains for automated and adversarial trading has become commonplace. However, due to the transparent nature of blockchains, an adversary is able to observe any pending, not-yet-mined transactions, along with their execution…

Decentralized prediction markets (DePMs) allow open participation in event-based wagering without fully relying on centralized intermediaries. We review the history of DePMs which date back to 2011 and includes hundreds of proposals.…

Maximal Extractable Value (MEV) represents billions of dollars in extracted value that fundamentally shapes blockchain network dynamics and participant incentives. While research has focused on MEV extraction and mitigation, we lack…

The decentralized finance (DeFi) community has grown rapidly in recent years, pushed forward by cryptocurrency enthusiasts interested in the vast untapped potential of new markets. The surge in popularity of cryptocurrency has ushered in a…

Blockchain, an emerging decentralized security system, has been applied in many applications, such as bitcoin, smart grid, and Internet-of-Things. However, running the mining process may cost too much energy consumption and computing…

Decentralized Exchanges (DEXes) enable users to create markets for exchanging any pair of cryptocurrencies. The direct exchange rate of two tokens may not match the cross-exchange rate in the market, and such price discrepancies open up…

We study the trading activity of designated market makers (DMMs) in electronic markets using a unique dataset with audit-trail information on trader classification. DMMs may either adhere to their market-making agreements and offer…

User transactions on Ethereum's peer-to-peer network are at risk of being attacked. The smart contracts building decentralized finance (DeFi) have introduced a new transaction ordering dependency to the Ethereum blockchain. As a result,…

Matching markets involve heterogeneous agents (typically from two parties) who are paired for mutual benefit. During the last decade, matching markets have emerged and grown rapidly through the medium of the Internet. They have evolved into…

A recent approach to automated mechanism design, differentiable economics, represents auctions by rich function approximators and optimizes their performance by gradient descent. The ideal auction architecture for differentiable economics…

With the rapid growth of Electric Vehicle (EV) technology, EVs are destined to shape the future of transportation. The large number of EVs facilitates the development of the emerging vehicle-to-grid (V2G) technology, which realizes…

We develop a formalism for reasoning about trading on decentralized exchanges on blockchains and a formulation of a particular form of maximal extractable value (MEV) that represents the total arbitrage opportunity extractable from on-chain…

Fraud detection is essential in financial services, with the potential of greatly reducing criminal activities and saving considerable resources for businesses and customers. We address online fraud detection, which consists of classifying…

We consider the problem of optimally executing an order involving multiple crypto-assets, sometimes called tokens, on a network of multiple constant function market makers (CFMMs). When we ignore the fixed cost associated with executing an…

DEX, or decentralized exchange, is a prominent class of decentralized finance (DeFi) applications on blockchains, attracting a total locked value worth tens of billions of USD today. This paper presents the first large-scale empirical study…

The Maker Protocol is a decentralized finance application that enables collateralized lending. The application uses open-bid, second-price auctions to complete its loan liquidation process. In this paper, we develop a bidding function for…

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…

In this paper, reinforcement learning is applied to the problem of optimizing market making. A multi-agent reinforcement learning framework is used to optimally place limit orders that lead to successful trades. The framework consists of…

Decentralized Finance (DeFi) is a nascent set of financial services, using tokens, smart contracts, and blockchain technology as financial instruments. We investigate four possible drivers of DeFi returns: exposure to cryptocurrency market,…

In markets where algorithmic data processing is increasingly prevalent, recommendation algorithms can substantially affect trade and welfare. We consider a setting in which an algorithm recommends a product based on its value to the buyer…