Arbitrageurs' profits, LVR, and sandwich attacks: batch trading as an AMM design response
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Andrea Canidio & Vincent Danos, 2023.
"Commitment Against Front-Running Attacks,"
Post-Print
hal-04310293, HAL.
- Andrea Canidio & Vincent Danos, 2023. "Commitment Against Front Running Attacks," Papers 2301.13785, arXiv.org, revised Jul 2023.
- Matheus V. X. Ferreira & David C. Parkes, 2022. "Credible Decentralized Exchange Design via Verifiable Sequencing Rules," Papers 2209.15569, arXiv.org, revised Apr 2023.
- Lioba Heimbach & Ye Wang & Roger Wattenhofer, 2021. "Behavior of Liquidity Providers in Decentralized Exchanges," Papers 2105.13822, arXiv.org, revised Oct 2021.
- Joshua S. Gans & Richard T. Holden, 2022. "A Solomonic Solution to Ownership Disputes: An Application to Blockchain Front-Running," NBER Working Papers 29780, National Bureau of Economic Research, Inc.
- Jason Milionis & Ciamac C. Moallemi & Tim Roughgarden, 2023. "Automated Market Making and Arbitrage Profits in the Presence of Fees," Papers 2305.14604, arXiv.org.
- Agostino Capponi & Ruizhe Jia, 2021. "The Adoption of Blockchain-based Decentralized Exchanges," Papers 2103.08842, arXiv.org, revised Jul 2021.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Andrew W. Macpherson, 2024. "Do backrun auctions protect traders?," Papers 2401.08302, arXiv.org.
- Thibaut Mastrolia & Tianrui Xu, 2024. "Clearing time randomization and transaction fees for auction market design," Papers 2405.09764, arXiv.org, revised Oct 2024.
- Robin Fritsch & Andrea Canidio, 2024. "Measuring Arbitrage Losses and Profitability of AMM Liquidity," Papers 2404.05803, arXiv.org, revised Apr 2024.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Marcello Monga, 2024. "Automated Market Making and Decentralized Finance," Papers 2407.16885, arXiv.org.
- Annetta Ho & Cosmin Cazan & Andrew Schrumm, 2024. "The Ecology of Automated Market Makers," Discussion Papers 2024-12, Bank of Canada.
- Andrea Canidio & Vincent Danos, 2023.
"Commitment Against Front Running Attacks,"
Papers
2301.13785, arXiv.org, revised Jul 2023.
- Andrea Canidio & Vincent Danos, 2023. "Commitment Against Front-Running Attacks," Post-Print hal-04310293, HAL.
- Joseph Najnudel & Shen-Ning Tung & Kazutoshi Yamazaki & Ju-Yi Yen, 2024. "An arbitrage driven price dynamics of Automated Market Makers in the presence of fees," Papers 2401.01526, arXiv.org.
- Cheuk Yin Lee & Shen-Ning Tung & Tai-Ho Wang, 2024. "Growth rate of liquidity provider's wealth in G3Ms," Papers 2403.18177, arXiv.org.
- Raphael Auer & Bernhard Haslhofer & Stefan Kitzler & Pietro Saggese & Friedhelm Victor, 2024.
"The technology of decentralized finance (DeFi),"
Digital Finance, Springer, vol. 6(1), pages 55-95, March.
- Raphael Auer & Bernhard Haslhofer & Stefan Kitzler & Pietro Saggese & Friedhelm Victor, 2023. "The Technology of Decentralized Finance (DeFi)," BIS Working Papers 1066, Bank for International Settlements.
- Auer, Raphael & Haslhofer, Bernhard & Kitzler, Stefan & Saggese, Pietro & Friedhelm, Victor, 2023. "The Technology of Decentralized Finance (DeFi)," CEPR Discussion Papers 18038, C.E.P.R. Discussion Papers.
- Maxim Bichuch & Zachary Feinstein, 2022. "Axioms for Automated Market Makers: A Mathematical Framework in FinTech and Decentralized Finance," Papers 2210.01227, arXiv.org, revised Sep 2024.
- Chemaya, Nir & Liu, Dingyue, 2024. "The suitability of using Uniswap V2 model to analyze V3 data," Finance Research Letters, Elsevier, vol. 59(C).
- Alfred Lehar & Christine Parlour & Marius Zoican, 2023. "Fragmentation and optimal liquidity supply on decentralized exchanges," Papers 2307.13772, arXiv.org, revised May 2024.
- Jonathan Chiu & Charles M. Kahn & Thorsten V. Koeppl, 2022.
"Grasping decentralized finance through the lens of economic theory,"
Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 55(4), pages 1702-1728, November.
- Jonathan Chiu & Charles M. Kahn & Thorsten Koeppl, 2022. "Grasping De(centralized) Fi(nance) Through the Lens of Economic Theory," Staff Working Papers 22-43, Bank of Canada.
- Jonathan Chiu & Thorsten V. Koeppl & Charles M. Kahn, 2022. "Grasping De(centralized) Fi(nance) through the Lens of Economic Theory," Working Paper 1489, Economics Department, Queen's University.
- Philippe Bergault & Louis Bertucci & David Bouba & Olivier Gu'eant, 2022. "Automated Market Makers: Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functions," Papers 2212.00336, arXiv.org, revised Nov 2023.
- 'Alvaro Cartea & Fayc{c}al Drissi & Marcello Monga, 2023. "Decentralised Finance and Automated Market Making: Execution and Speculation," Papers 2307.03499, arXiv.org, revised Jul 2024.
- Nikolaus Hautsch & Christoph Scheu & Stefan Voigt, 2024.
"Building trust takes time: limits to arbitrage for blockchain-based assets,"
Review of Finance, European Finance Association, vol. 28(4), pages 1345-1381.
- Nikolaus Hautsch & Christoph Scheuch & Stefan Voigt, 2018. "Building Trust Takes Time: Limits to Arbitrage for Blockchain-Based Assets," Papers 1812.00595, arXiv.org, revised Oct 2023.
- Brolley, Michael & Zoican, Marius, 2023. "On-demand fast trading on decentralized exchanges," Finance Research Letters, Elsevier, vol. 51(C).
- Joshua S. Gans & Richard Holden, 2022.
"Mechanism Design Approaches to Blockchain Consensus,"
Papers
2206.10065, arXiv.org.
- Joshua S. Gans & Richard T. Holden, 2022. "Mechanism Design Approaches to Blockchain Consensus," NBER Working Papers 30189, National Bureau of Economic Research, Inc.
- Deborah Miori & Mihai Cucuringu, 2022. "DeFi: data-driven characterisation of Uniswap v3 ecosystem & an ideal crypto law for liquidity pools," Papers 2301.13009, arXiv.org, revised Jan 2023.
- Andrea Canidio, 2023. "Auctions with Tokens: Monetary Policy as a Mechanism Design Choice," Papers 2301.13794, arXiv.org, revised Aug 2023.
- 'Alvaro Cartea & Fayc{c}al Drissi & Marcello Monga, 2023. "Decentralised Finance and Automated Market Making: Predictable Loss and Optimal Liquidity Provision," Papers 2309.08431, arXiv.org, revised Jun 2024.
- Ariah Klages-Mundt & Steffen Schuldenzucker, 2022. "Designing Autonomous Markets for Stablecoin Monetary Policy," Papers 2212.12398, arXiv.org.
- Maryam Bahrani & Pranav Garimidi & Tim Roughgarden, 2023. "Transaction Fee Mechanism Design with Active Block Producers," Papers 2307.01686, arXiv.org, revised Oct 2023.
More about this item
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MST-2023-08-21 (Market Microstructure)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:2307.02074. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.