相关论文: The Pricing And Hedging Of Constant Function Marke…

We describe a plausible probabilistic model for a blockchain queueing environment in which rational, profit-maximising schedulers impose adversarial disciplines on incoming messages containing a payload that encodes a state transition in a…

Concentrated Liquidity Market Makers (CLMMs) represent a fundamental innovation in market microstructure, transforming liquidity provision from passive portfolio allocation to active risk management. This evolution creates significant…

An automated market maker (AMM) is a state machine that manages pools of assets, allowing parties to buy and sell those assets according to a fixed mathematical formula. AMMs are typically implemented as smart contracts on blockchains, and…

Decentralized Finance (DeFi) applications introduce novel financial instruments replicating and extending traditional ones through blockchain-based smart contracts. Among these applications, DeFi derivatives protocols enable the creation…

Automated Market Maker (AMM)-based Decentralized Exchanges (DEXs) are crucial in Decentralized Finance (DeFi), but Ethereum implementations suffer from high transaction costs and price synchronization challenges. To address these…

Transaction Fee Mechanisms (TFMs) study auction design in the Blockchain context, and emphasize robustness against miner and user collusion, moreso than traditional auction theory. \cite{chung2023foundations} introduce the notion of a…

Blockchains deploy Transaction Fee Mechanisms (TFMs) to determine which user transactions to include in blocks and determine their payments (i.e., transaction fees). Increasing demand and scarce block resources have led to high user…

Given the low throughput of blockchains like Bitcoin and Ethereum, scalability - the ability to process an increasing number of transactions - has become a central focus of blockchain research. One promising approach is the parallelization…

We consider Geometric Mean Market Makers -- a special type of Decentralized Exchange -- with two types of users: liquidity takers and arbitrageurs. Liquidity takers trade at prices that can create arbitrage opportunities, while arbitrageurs…

As markets have digitized, the number of tradable products has skyrocketed. Algorithmically constructed portfolios of these assets now dominate public and private markets, resulting in a combinatorial explosion of tradable assets. In this…

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…

ZK-Rollups have emerged as a leading solution for blockchain scalability, leveraging succinct proofs primarily based on ZKP protocols. This paper explores the design of transaction fee mechanisms (TFMs) for ZK-Rollups, focusing on how key…

Decentralized Ledger Technology, popularized by the Bitcoin network, aims to keep track of a ledger of valid transactions between agents of a virtual economy without a central institution for coordination. In order to keep track of a…

In a financial exchange, market impact is a measure of the price change of an asset following a transaction. This is an important element of market microstructure, which determines the behaviour of the market following a trade. In this…

The standard approach for compensating liquidity providers on many decentralized exchanges (DEX) for serving as counter-party to swaps is through charging a small percentage of fees. The expected payoff from the cash flow of this mode of…

Decentralized exchange platforms such as Uniswap and Balancer operate on several pools where each pool contains two or more cryptocurrencies and constitutes direct trading pairs. The drawbacks here are that liquidity providing requires…

Maximal Extractable Value (MEV) refers to excess value captured by miners (or validators) from users in a cryptocurrency network. This excess value often comes from reordering users' transactions to maximize fees or from inserting new…

This paper presents an agent-based artificial cryptocurrency market in which heterogeneous agents buy or sell cryptocurrencies, in particular Bitcoins. In this market, there are two typologies of agents, Random Traders and Chartists, which…

This article analytically characterizes the impermanent loss for automatic market makers in decentralized exchanges such as Uniswap or Balancer (CPMM). We present a theoretical static replication formula for the pool value using a…

Cloud auctions provide cost-effective strategies for cloud VM allocation. Most existing cloud auctions simply assume that the auctioneer is trustable, and thus the fairness of auctions can be easily achieved. However, in fact, such a…