Conference on Advances in Financial Technologies最新文献

Decentralization Cheapens Corruptive Majority Attacks 权力下放使多数人的腐败攻击变得廉价

Conference on Advances in Financial Technologies Pub Date : 2023-10-02 DOI: 10.4230/LIPIcs.AFT.2023.13

Stephen H. Newman

引用次数: 0

Security Analysis of Filecoin's Expected Consensus in the Byzantine vs Honest Model 拜占庭与诚实模型中Filecoin预期共识的安全性分析

Conference on Advances in Financial Technologies Pub Date : 2023-08-14 DOI: 10.48550/arXiv.2308.06955

Xuechao Wang, Sarah Azouvi, Marko Vukoli'c

引用次数: 0

When Bidders Are DAOs 当投标人是dao时

Conference on Advances in Financial Technologies Pub Date : 2023-06-29 DOI: 10.48550/arXiv.2306.17099

Maryam Bahrani, Pranav Garimidi, T. Roughgarden

{"title":"When Bidders Are DAOs","authors":"Maryam Bahrani, Pranav Garimidi, T. Roughgarden","doi":"10.48550/arXiv.2306.17099","DOIUrl":"https://doi.org/10.48550/arXiv.2306.17099","url":null,"abstract":"In a typical decentralized autonomous organization (DAO), people organize themselves into a group that is programmatically managed. DAOs can act as bidders in auctions, with a DAO's bid treated by the auctioneer as if it had been submitted by an individual, without regard to the internal structure of the DAO. We study auctions in which the bidders are DAOs. More precisely, we consider the design of two-level auctions in which the\"participants\"are groups of bidders rather than individuals. Bidders form DAOs to pool resources, but must then also negotiate the terms by which the DAO's winnings are shared. We model the outcome of a DAO's negotiations by an aggregation function (which aggregates DAO members' bids into a single group bid), and a budget-balanced cost-sharing mechanism (that determines DAO members' access to the DAO's allocation and distributes the total payment demanded from the DAO to its members). We pursue two-level mechanisms that are incentive-compatible (with truthful bidding a dominant strategy for members of each DAO) and approximately welfare-optimal. We prove that, even in the case of a single-item auction, incentive-compatible welfare maximization is not possible: No matter what the outer mechanism and the cost-sharing mechanisms used by DAOs, the welfare of the resulting two-level mechanism can be a $approx ln n$ factor less than optimal. We complement this lower bound with a natural two-level mechanism that achieves a matching approximate welfare guarantee. Our upper bound also extends to multi-item auctions where individuals have additive valuations. Finally, we show that our positive results cannot be extended much further: Even in multi-item settings with unit-demand bidders, truthful two-level mechanisms form a highly restricted class and as a consequence cannot guarantee any non-trivial approximation of the maximum social welfare.","PeriodicalId":393632,"journal":{"name":"Conference on Advances in Financial Technologies","volume":"41 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-06-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122019161","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Buying Time: Latency Racing vs. Bidding for Transaction Ordering 购买时间：时延竞赛与交易订购竞价

Conference on Advances in Financial Technologies Pub Date : 2023-06-03 DOI: 10.4230/LIPIcs.AFT.2023.23

A. Mamageishvili, Mahimna Kelkar, Jan Christoph Schlegel, E. Felten

引用次数: 0

The Centralizing Effects of Private Order Flow on Proposer-Builder Separation 私人订单流对投标人与施工方分离的集中效应

Conference on Advances in Financial Technologies Pub Date : 2023-05-30 DOI: 10.4230/LIPIcs.AFT.2023.20

Tivas Gupta, Mallesh M. Pai, Max Resnick

{"title":"The Centralizing Effects of Private Order Flow on Proposer-Builder Separation","authors":"Tivas Gupta, Mallesh M. Pai, Max Resnick","doi":"10.4230/LIPIcs.AFT.2023.20","DOIUrl":"https://doi.org/10.4230/LIPIcs.AFT.2023.20","url":null,"abstract":"The current Proposer-Builder Separation (PBS) equilibrium has several builders with different backgrounds winning blocks consistently. This paper considers how that equilibrium will shift when transactions are sold privately via order flow auctions (OFAs) rather than forwarded directly to the public mempool. We discuss a novel model that highlights the augmented value of private order flow for integrated builder searchers. We show that private order flow is complementary to top-of-block opportunities, and therefore integrated builder-searchers are more likely to participate in OFAs and outbid non integrated builders. They will then parlay access to these private transactions into an advantage in the PBS auction, winning blocks more often and extracting higher profits than non-integrated builders. To validate our main assumptions, we construct a novel dataset pairing post-merge PBS outcomes with realized 12-second volatility on a leading CEX (Binance). Our results show that integrated builder-searchers are more likely to win in the PBS auction when realized volatility is high, suggesting that indeed such builders have an advantage in extracting top-of-block opportunities. Our findings suggest that modifying PBS to disentangle the intertwined dynamics between top-of-block extraction and private order flow would pave the way for a fairer and more decentralized Ethereum.","PeriodicalId":393632,"journal":{"name":"Conference on Advances in Financial Technologies","volume":"13 1","pages":"20:1-20:15"},"PeriodicalIF":0.0,"publicationDate":"2023-05-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139372556","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Censorship Resistance in On-Chain Auctions 链上拍卖中的审查阻力

Conference on Advances in Financial Technologies Pub Date : 2023-01-30 DOI: 10.48550/arXiv.2301.13321

Mallesh M. Pai, Max Resnick, Elijah Fox

{"title":"Censorship Resistance in On-Chain Auctions","authors":"Mallesh M. Pai, Max Resnick, Elijah Fox","doi":"10.48550/arXiv.2301.13321","DOIUrl":"https://doi.org/10.48550/arXiv.2301.13321","url":null,"abstract":"Modern blockchains guarantee that submitted transactions will be included eventually; a property formally known as liveness. But financial activity requires transactions to be included in a timely manner. Unfortunately, classical liveness is not strong enough to guarantee this, particularly in the presence of a motivated adversary who benefits from censoring transactions. We define censorship resistance as the amount it would cost the adversary to censor a transaction for a fixed interval of time as a function of the associated tip. This definition has two advantages, first it captures the fact that transactions with a higher miner tip can be more costly to censor, and therefore are more likely to swiftly make their way onto the chain. Second, it applies to a finite time window, so it can be used to assess whether a blockchain is capable of hosting financial activity that relies on timely inclusion. We apply this definition in the context of auctions. Auctions are a building block for many financial applications, and censoring competing bids offers an easy-to-model motivation for our adversary. Traditional proof-of-stake blockchains have poor enough censorship resistance that it is difficult to retain the integrity of an auction when bids can only be submitted in a single block. As the number of bidders $n$ in a single block auction increases, the probability that the winner is not the adversary, and the economic efficiency of the auction, both decrease faster than $1/n$. Running the auction over multiple blocks, each with a different proposer, alleviates the problem only if the number of blocks grows faster than the number of bidders. We argue that blockchains with more than one concurrent proposer have can have strong censorship resistance. We achieve this by setting up a prisoner's dilemma among the proposers using conditional tips.","PeriodicalId":393632,"journal":{"name":"Conference on Advances in Financial Technologies","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117041469","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

DeFi Lending During The Merge 合并期间的DeFi贷款

Conference on Advances in Financial Technologies Pub Date : 2023-01-23 DOI: 10.2139/ssrn.4341346

Lioba Heimbach, Eric Schertenleib, Roger Wattenhofer

{"title":"DeFi Lending During The Merge","authors":"Lioba Heimbach, Eric Schertenleib, Roger Wattenhofer","doi":"10.2139/ssrn.4341346","DOIUrl":"https://doi.org/10.2139/ssrn.4341346","url":null,"abstract":"Lending protocols in decentralized finance enable the permissionless exchange of capital from lenders to borrowers without relying on a trusted third party for clearing or market-making. Interest rates are set by the supply and demand of capital according to a pre-defined function. In the lead-up to The Merge: Ethereum blockchain's transition from proof-of-work (PoW) to proof-of-stake (PoS), a fraction of the Ethereum ecosystem announced plans of continuing with a PoW-chain. Owners of ETH - whether their ETH was borrowed or not - would hold the native tokens on each chain. This development alarmed lending protocols. They feared spiking ETH borrowing rates would lead to mass liquidations which could undermine their viability. Thus, the decentralized autonomous organization running the protocols saw no alternative to intervention - restricting users' ability to borrow. We investigate the effects of the merge and the aforementioned intervention on the two biggest lending protocols on Ethereum: AAVE and Compound. Our analysis finds that borrowing rates were extremely volatile, jumping by two orders of magnitude, and borrowing at times reached 100% of the available funds. Despite this, no spike in mass liquidations or irretrievable loans materialized. Further, we are the first to quantify and analyze hard-fork-arbitrage, profiting from holding debt in the native blockchain token during a hard fork. We find that arbitrageurs transferred tokens to centralized exchanges which at the time were worth more than 13 Mio US$, money that was effectively extracted from the platforms' lenders.","PeriodicalId":393632,"journal":{"name":"Conference on Advances in Financial Technologies","volume":"58 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126550853","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 5