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Deviations from tradition: stylized facts in the era of DeFi

Author

Listed:
  • Daniele Maria Di Nosse
  • Federico Gatta
  • Fabrizio Lillo
  • Sebastian Jaimungal

Abstract

Decentralized Exchanges (DEXs) are now a significant component of the financial world where billions of dollars are traded daily. Differently from traditional markets, which are typically based on Limit Order Books, DEXs typically work as Automated Market Makers, and, since the implementation of Uniswap v3, feature concentrated liquidity. By investigating the twenty-four most active pools in Uniswap v3 during 2023 and 2024, we empirically study how this structural change in the organization of the markets modifies the well-studied stylized facts of prices, liquidity, and order flow observed in traditional markets. We find a series of new statistical regularities in the distributions and cross-autocorrelation functions of these variables that we are able to associate either with the market structure (e.g. the execution of orders in blocks) or with the intense activity of Maximal Extractable Value searchers, such as Just-in-Time liquidity providers and sandwich attackers.

Suggested Citation

  • Daniele Maria Di Nosse & Federico Gatta & Fabrizio Lillo & Sebastian Jaimungal, 2026. "Deviations from tradition: stylized facts in the era of DeFi," Quantitative Finance, Taylor & Francis Journals, vol. 26(8), pages 1231-1252, August.
    • Handle: RePEc:taf:quantf:v:26:y:2026:i:8:p:1231-1252
    DOI: 10.1080/14697688.2026.2678231
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    Cited by:

    1. Federico Gatta & Manuel Naviglio & Francesco Tarantelli, 2026. "Tempting the Agent: The Economics of Reputation without Persistent Identity in AI Agent Markets," Papers 2609.02992, arXiv.org, revised Oct 2026.

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