相关论文: Short Paper: Atomic Execution is Not Enough for Ar…

Opportunities for stochastic arbitrage in an options market arise when it is possible to construct a portfolio of options which provides a positive option premium and which, when combined with a direct investment in the underlying asset,…

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…

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…

We investigate the optimal execution of contracts that are used in merger\&acquisition deals. We consider cash-settled and physically delivered contracts between a broker and a counterpart. Contracts are linear (total returns swaps),…

This paper investigates the problem of ensembling multiple strategies for sequential portfolios to outperform individual strategies in terms of long-term wealth. Due to the uncertainty of strategies' performances in the future market, which…

As the number of decentralized applications and users on Ethereum grows, the ability of the blockchain to efficiently handle a growing number of transactions becomes increasingly strained. Ethereums current execution model relies heavily on…

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…

When executing their orders, investors are proposed different strategies by brokers and investment banks. Most orders are executed using VWAP algorithms. Other basic execution strategies include POV (also called PVol) -- for percentage of…

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…

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,…

Mean-variance portfolio optimization problems often involve separable nonconvex terms, including penalties on capital gains, integer share constraints, and minimum position and trade sizes. We propose a heuristic algorithm for such problems…

This paper presents a computation-efficient stochastic dynamic programming algorithm for solving energy storage price arbitrage considering variable charge and discharge efficiencies. We formulate the price arbitrage problem using…

We argue that the machine learning value chain is structurally unsustainable due to an economic data processing inequality: each state in the data cycle from inputs to model weights to synthetic outputs refines technical signal but strips…

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…

In this article, we consider the optimal execution problem associated to accelerated share repurchase contracts. When firms want to repurchase their own shares, they often enter such a contract with a bank. The bank buys the shares for the…

We use historical data to estimate the potential benefit of speculative techniques for executing Ethereum smart contracts in parallel. We replay transaction traces of sampled blocks from the Ethereum blockchain over time, using a simple…

Cryptocurrency miners have great latitude in deciding which transactions they accept, including their own, and the order in which they accept them. Ethereum miners in particular use this flexibility to collect MEV-Miner Extractable Value-by…

Maximum extractable value (MEV) has been extensively studied. In most papers, the researchers have worked with the Ethereum blockchain almost exclusively. Even though, Ethereum and other blockchains have dynamic gas prices this is not the…

Traders are often faced with large block orders in markets with limited liquidity and varying volatility. Executing the entire order at once usually incurs a large trading cost because of this limited liquidity. In order to minimize this…

Many blockchains such as Ethereum execute all incoming transactions sequentially significantly limiting the potential throughput. A common approach to scale execution is parallel execution engines that fully utilize modern multi-core…