Ethereum block builders can earn up to $14M/month by reordering transactions, harming users.
problem Block builders can exploit transaction reordering to earn significant profits, harming users.
method Estimation of MEV payments and analysis of reordering effects.
result Block builders can earn up to $14M/month by reordering transactions, skewing the distribution.
Study optimal auction formats for maximizing MEV on Ethereum.
problem Maximizing extractable value from Ethereum auctions.
method Empirical analysis of 2.2 million transactions, modeling affiliation among bidders.
result English and second-price sealed-bid auctions dominate other formats, with significant revenue losses.
Research analyzes ethical concerns around MEV on blockchain and social media.
problem Fairness issues in transaction ordering on blockchain.
method Applied NLP methods to analyze topics in tweets on MEV.
result Tweets discussed ethical concerns like security, equity, and solutions to MEV.
Model shows how Ethereum can capture MEV from block construction, but centralization remains a concern.
problem Ethereum's ability to capture MEV from block construction.
method Economic model of Execution Tickets to study MEV extraction.
result MEV capture decreases with risk aversion and capital costs, and can be low with heterogeneous buyers.
Paper quantifies MEV on L2 networks, finding significant amounts on Polygon.
problem Lack of research on quantifying MEV on Ethereum Layer 2 networks.
method Analysis of Polygon's MEV, focusing on arbitrage opportunities and liquidations.
result Substantial MEV ($213 million) on L2s, mostly from arbitrage opportunities.
New neural network models extreme value distributions with preserved shape constraints.
problem Modeling multivariate extreme value distributions with preserved shape constraints.
method d-max-decreasing neural network architecture for non-parametric calibration and generation of MEVs.
result The proposed architecture approximates the dependence structure of MEVs at parametric rate and preserves essential shape constraints.
This paper examines MEV attacks in dynamic AMMs and proposes new protections.
problem Dynamic AMMs introduce new MEV attack vectors due to inter-block weight changes.
method Analyzed inter-block weight changes as analogous to trades, conducted simulations.
result New inter-block protections are required to guard against multi-block MEV attacks.
Maximal extractable value in CFMMs can degrade or improve routing quality, with reordering MEV showing logarithmic impact.
problem Maximal extractable value in constant function market makers (CFMMs) and its impact on routing quality.
method Game theoretic analysis of MEV in CFMMs, constructing price of anarchy and analyzing reordering MEV.
result Conditions under which reordering MEV shows logarithmic impact, and implications for MEV searchers and CFMM designers.
Blockchain MEV is unaffected by ordering changes.
problem Maximizing arbitrage opportunities on blockchain exchanges.
method Formalized MEV, proved invariance under certain conditions.
result Maximal extractable value is invariant under changes in ordering mechanism.
Defines cost of MEV and shows its relevance in various settings.
problem Excess value miners can realize by manipulating transaction order.
method Introduces a simple theoretical definition of cost of MEV, proves properties, and provides examples.
result Reveals the cost of MEV is related to the 'smoothness' of a function over the symmetric group.
FluxLayer solves cross-chain liquidity fragmentation for better MEV capture.
problem Cross-chain fragmented liquidity and MEV optimization.
method Three-layer framework integrating settlement, intent, and leverage mechanisms.
result FluxLayer enhances cross-chain MEV by capturing more arbitrage opportunities.
The paper explores how macroeconomic variables' correlation structure changes over time and under different scenarios.
problem Understanding the changing correlation structure of macroeconomic variables.
method The paper uses a principal component based algorithm to perform unsupervised clustering on macroeconomic variables.
result The correlation structure of macroeconomic variables changes significantly during financial crises and under hypothetical scenarios.
Non-atomic arbitrage exploits price differences on Ethereum and other blockchains, accounting for over 10% of Ethereum's block value.
problem Price differences on decentralized exchanges and centralized exchanges lead to MEV.
method Analyzed non-atomic arbitrage on Ethereum's largest DEXes, identifying its prevalence and impact.
result More than 10% of Ethereum's block value is attributed to non-atomic arbitrage, involving over $132 billion.
The paper examines how builders in Ethereum auctions can defect and replicate winning MEV opportunities, affecting searchers' bidding strategies.
problem Commitment problem in Ethereum auctions where builders can defect and replicate winning MEV opportunities.
method Modeling and analysis of searchers' bidding strategies and the resulting equilibrium, using libMEV dataset.
result The equilibrium is piecewise, with the cost of imperfect commitment depending on replicability and competition. There is sharp heterogeneity across MEV types.
This paper optimizes liquidation strategies in DeFi protocols to prevent MEV attacks.
problem Predatory price manipulations and Maximal Extractable Value (MEV) attacks in DeFi protocols.
method Dynamic program modeling, Constant Product Market Maker (CPMM) transaction fees analysis.
result CPMM transaction fees make liquidation manipulations unprofitable for attackers.
This work introduces uncertainty principles to mitigate Maximal Extractable Value in blockchain systems.
problem Maximal Extractable Value (MEV) in decentralized systems due to transaction submission privacy and monopolist power.
method Unified approaches via uncertainty principles, akin to harmonic analysis and physics, to quantify trade-offs between transaction flexibility and user economic payoff.
result Demonstrates a quantitative trade-off between transaction flexibility and user economic payoff, analogous to the Nyquist-Shannon sampling theorem.
Paper introduces balanced payment systems to improve liquidity and risk management.
problem Managing liquidity in payment systems and economy is a persistent challenge.
method Introduces interbank balancing method to private payment systems and others.
result Demonstrates effects of balancing on a small example and constructs a balanced subsystem.
Research examines how strategic latency manipulation impacts Ethereum's network efficiency and decentralization.
problem Impact of artificial latency on Ethereum's network efficiency and decentralization.
method Comprehensive analysis of MEV-Boost auction system and empirical validation with a pilot.
result Increased profitability for node operators and significant systemic challenges like heightened network inefficiencies and centralization risks.
A new method streamlines digital payment programming using smart contracts.
problem High costs and security challenges in programming smart contracts for digital payments.
method Transforming digital currencies into token streams and using configurable templates to generate specialized smart contracts.
result Reduces payment programming costs and enhances security, self-enforcement, adaptability, and controllability.
Game theory applied to financial networks, focusing on debt repayment strategies.
problem Understanding financial stability in interconnected systems.
method Modeling financial systems as networks, analyzing utility-maximizing strategies under priority-proportional payments.
result Existence and uniqueness of payment profiles are not guaranteed, even under fixed strategies.
Stablecoins offer efficient settlement but externalize costs and risks.
problem Comparing stablecoins to card networks in retail payments.
method Unified analytical framework (CLEAR) across five dimensions.
result Stablecoins are advantageous in closed-loop and high-friction contexts but structurally disadvantaged as open-loop instruments.
This paper considers the optimal dividend payment problem in piecewise-deterministic compound Poisson risk models. The objective is to maximize the expected discounted dividend payout up to the time of ruin. We provide a comparative study in this general framework of both restricted and unrestricted payment schemes, wh…
Research examines motivations and factors influencing retailers' payment method choices.
problem Understanding motivations and factors affecting retailers' payment method choices.
method Qualitative and quantitative analysis of various factors including regulatory constraints, merchant service providers, and demographic variables.
result Lower interchange fees and regulatory constraints make card payment adoption financially feasible for merchants.
The paper examines clearing payments in financial networks to prevent cascaded defaults.
problem Cascaded defaults in financial networks under the proportionality rule.
method Analysis of clearing model under pro-rated payments, derivation of necessary and sufficient conditions for clearing payments, convex optimization problems for computation.
result Clearing payments can be computed by solving convex optimization problems, reducing overall system loss by lifting the proportionality rule.
Paper introduces PHI to identify structurally distinct payment patterns in UK municipal procurement.
problem Vulnerability of public procurement to error, fraud, and corruption in high-volume transactions.
method Introduces Payment Heterogeneity Index (PHI) using Gaussian Mixture Model (GMM) and non-parametric statistics.
result Identifies a significant cohort with structurally distinct payment patterns, improving procurement oversight.
A new model calculates optimal clearing payments in dynamic financial networks.
problem Determining fair clearing payments in networks with potential defaults.
method Extends Eisenberg-Noe model to multiple time periods, solving linear programs for optimal payments.
result Proves the model satisfies the priority of debt claims requirement and finds unique optimal payments.
Payments data and machine learning improve nowcasting accuracy for macroeconomic indicators.
problem Lagged indicators in linear models are insufficient during crisis periods.
method Non-traditional payments data, nonlinear machine learning, and tailored cross-validation.
result Improved macroeconomic nowcasting accuracy up to 40% during crises.
Modeling DEX liquidity with heterogeneous LPs and MEV bots.
problem Understanding and predicting the dynamics of decentralized cryptocurrency exchanges.
method Mean-field game approach to model liquidity providers' optimal strategies and interactions.
result Calibrated model produces consistent pool exchange rate dynamics and liquidity evolution.
Blockchain helps secure payments between AI agents.
problem Ensuring secure payments between untrusted AI agents.
method Systematized four-stage lifecycle for A2A payments on blockchain.
result Challenges remain in weak intent binding, misuse, and limited accountability.
Optimal student loan repayment strategies vary based on loan size.
problem Finding the most cost-effective repayment strategy for federal student loans.
method Analyzing the impact of different repayment strategies on total cost for varying loan sizes.
result Optimal repayment strategies depend on the loan balance, with different approaches for small, large, and intermediate balances.
Agent-to-agent finance aims to manage payments and trust for AI agents.
problem Managing financial interactions between autonomous AI agents.
method Develops agent-to-agent finance concept and explores blockchain solutions.
result Agent-to-agent finance can address coordination frictions in financial markets.
We propose a model in which dividend payments occur at regular, deterministic intervals in an otherwise continuous model. This contrasts traditional models where either the payment of continuous dividends is controlled or the dynamics are given by discrete time processes. Moreover, between two dividend payments, the st…
The study examines how backrun auctions can protect traders from price manipulation.
problem Price manipulation by arbitrageurs in batched trading venues.
method Developed a laminated queueing model to study price manipulation and introduced a price manipulation coefficient.
result Bound the price manipulation coefficient and found it approximated by a 'zeta value' with measurable parameters.
The paper analyzes CEX-DEX arbitrage and profitability on Ethereum, revealing centralization trends and market impacts.
problem Ethereum's decentralization and CEX-DEX arbitrages.
method Empirical analysis of 19 months' data from 7.2M CEX-DEX transactions, refining heuristics to identify and estimate arbitrage revenue.
result Three searchers captured three-quarters of volume and extracted value, and profitability is tied to integration with block builders.
The paper analyzes multivariate payments in multi-state life insurance using Markovian state processes.
problem Analyzing joint effects of life annuities and death benefits in a multi-state framework.
method Introduces multivariate present value of future payments, derives differential equations and moment generating functions, and focuses on pair-wise covariances.
result Derives Hattendorff type results for pair-wise covariances in a disability model.
Computational materials screening studies require fast calculation of the properties of thousands of materials. The calculations are often performed with Density Functional Theory (DFT), but the necessary computer time sets limitations for the investigated material space. Therefore, the development of machine learning …
AI task delegation faces incentive collapse with unbounded payments as AI accuracy rises.
problem Incentive collapse in AI-assisted task delegation schemes.
method General impossibility result and sentinel-auditing payment mechanism.
result Sentinel-auditing mechanism enforces positive human effort at finite cost, independent of AI accuracy.
The study reveals fundamental limits of fraud detection in card payment networks.
problem Fraud detection in card payment networks is challenging due to structural information impairments.
method Formalized card authorization as a sequential decision problem with delayed feedback, derived minimax regret lower bound.
result Improving issuer reporting quality or reducing censorship can yield larger reductions in the regret floor than increasing model complexity.
We study the problem of determining risk-minimizing investment strategies for insurance payment processes in the presence of taxes and expenses. We consider the situation where taxes and expenses are paid continuously and symmetrically and introduce the concept of tax- and expense-modified risk-minimization. Risk-minim…
Mobile payment incentives optimized using merchant transaction networks.
problem Optimizing marketing campaigns with limited budgets.
method Graph representation learning on transaction networks.
result Effective modeling of merchant sensitivity to incentives.
This paper concerns an optimal dividend distribution problem for an insurance company with surplus-dependent premium. In the absence of dividend payments, such a risk process is a particular case of so-called piecewise deterministic Markov processes. The control mechanism chooses the size of dividend payments. The obje…
We develop an axiomatic theory of balance functions (future value functions) in the theory of interest that is derived from financial considerations and which applies to general regulated payment streams, including continuous payment streams. Balance functions exist and are unique up to an initial choice of deposit and…
This paper considers an optimal dividend distribution problem for an insurance company where the dividends are paid in a foreign currency. In the absence of dividend payments, our risk process follows a spectrally negative Lévy process. We assume that the exchange rate is described by a an exponentially Lévy process, p…
Study on incentivizing truthfulness in federated learning with heterogeneous data.
problem Manipulated updates in federated learning due to data heterogeneity.
method Formulated a game-theoretic approach to prevent clients from misreporting their gradient updates.
result Developed a payment rule that provably disincentivizes sending modified updates in federated learning.
New option type preserves fungibility by amortizing payments over time.
problem Traditional installment options destroy fungibility and lapse when payments stop.
method Introduces amortizing perpetual options (AmPOs) with an implicit payment scheme.
result Valuation of AmPOs reduces to vanilla perpetual American options.
This paper concerns an optimal dividend distribution problem for an insurance company whose risk process evolves as a spectrally negative Lévy process (in the absence of dividend payments). The management of the company is assumed to control timing and size of dividend payments. The objective is to maximize the sum of …
We analyze the classical model of compound interest with a constant per-period payment and interest rate. We examine the outstanding balance function as well as the periodic payment function and show that the outstanding balance function is not generally concave in the interest rate, but instead may be initially convex…
Study evaluates AD methods for fraud detection in online credit card payments.
problem Fraud detection in online credit card payments using anomaly detection methods.
method Assessed several recent anomaly detection methods and compared them with standard supervised learning methods.
result LightGBM outperforms other methods but is more sensitive to distribution shifts.