相关论文: Cross-Rollup MEV: Non-Atomic Arbitrage Across L2 B…

Blockchains offer strong security guarantees, but they cannot protect the ordering of transactions. Powerful players, such as miners, sequencers, and sophisticated bots, can reap significant profits by selectively including, excluding, or…

On high-throughput, low-fee blockchains, a qualitatively new form of maximal extractable value (MEV) has emerged: searchers submit large volumes of speculative transactions, whose profitability is resolved only at execution time. We refer…

Increasing the transactional throughput of decentralized blockchains in a secure manner has been the holy grail of blockchain research for most of the past decade. This paper introduces a scheme for scaling blockchains while retaining…

Blockchains like Bitcoin and Ethereum have revolutionized digital transactions, yet scalability issues persist. Layer 2 solutions, such as validity proof Rollups (ZK-Rollups), aim to address these challenges by processing transactions…

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…

With the emergence of Miner Extractable Value (MEV), block construction markets on blockchains have evolved into a competitive arena. Following Ethereum's transition from Proof of Work (PoW) to Proof of Stake (PoS), the Proposer Builder…

We investigate the behavior of liquidity providers (LPs) by modeling a decentralized cryptocurrency exchange (DEX) based on Uniswap v3. LPs with heterogeneous characteristics choose optimal liquidity positions subject to uncertainty…

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…

Atomic swaps have been widely considered to be an ideal solution for cross-chain cryptocurrency transactions due to their trustless and decentralized nature. However, their adoption in practice has been strictly limited compared to…

Blockchain-based decentralised lending is a rapidly growing and evolving alternative to traditional lending, but it poses new risks. To mitigate these risks, lending protocols have integrated automated risk management tools into their smart…

Ethereum block builders run sealed auctions among searchers, but nothing in the protocol forces a builder to honor the auction outcome after observing submitted bundles. This paper studies the commitment problem. We model a builder who…

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…

Blockchains have revolutionized decentralized applications, with composability enabling atomic, trustless interactions across smart contracts. However, layer 2 (L2) scalability solutions like rollups introduce fragmentation and hinder…

Ethereum has been a cornerstone of the decentralized ecosystem, with rollup-based scaling solutions like Arbitrum and Optimism significantly expanding its capabilities. These rollups enhance scalability and foster innovation, but their…

This study provides a practical introduction to high-frequency trading in blockchain-based currency markets. These types of markets have some specific characteristics that differentiate them from the stock markets, such as a large number of…

The advent of Ethereum 2.0 has introduced significant changes, particularly the shift to Proof-of-Stake consensus. This change presents new opportunities and challenges for arbitrage. Amidst these changes, we introduce BriDe Arbitrager, a…

Blockchains are meant to be persistent: posted transactions are immutable and cannot be changed. When a theft takes place, there are limited options for reversing the disputed transaction, and this has led to significant losses in the…

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…

Automated market makers (AMMs) quote prices from pool state rather than from a limit order book. AMM pools often stay close to a reference price because arbitrageurs correct profitable mispricing. A large part of decentralized finance…

Decentralized Finance (DeFi) is a rapidly evolving segment of blockchain technology that enables a transformative approach to financial services through Web3 applications. By leveraging smart contracts, DeFi allows developers to build…