Zhou Fan, Francisco J. Marmolejo Cossío, Ben Altschuler, He Sun, Xintong Wang, and David C. Parkes. 2022. “
Differential Liquidity Provision in Uniswap v3 and Implications for Contract Design.” Proceedings of 3rd ACM International Conference on AI in Finance (ICAIF).
Publisher's VersionAbstract
Decentralized exchanges (DEXs) provide a means for users to trade pairs of assets on-chain without the need for a trusted third party to effectuate a trade. Amongst these, constant function market maker DEXs such as Uniswap handle the most volume of trades between ERC-20 tokens. With the introduction of Uniswap v3, liquidity providers can differentially allocate liquidity to trades that occur within specific price intervals. In this paper, we formalize the profit and loss that liquidity providers can earn when providing specific liquidity allocations to a v3 contract. We give a convex stochastic optimization problem for computing optimal liquidity allocation for a liquidity provider who holds a belief on how prices will evolve over time and use this to study the design question regarding how v3 contracts should partition the price space for permissible liquidity allocations. Our results show that making a greater diversity of price-space partitions available to a contract designer can simultaneously benefit both liquidity providers and traders.
Eric R. Knorr, Baptiste Lemaire, Andrew Lim, Siqiang Luo, Huanchen Zhang, Stratos Idreos, and Michael Mitzenmacher. 2022. “
Proteus: A Self-Designing Range Filter. Proc. Symposium on Principles of Database Systems.” Proceedings of the 2022 Symposium on Principles of Databse Systems.
Publisher's VersionAbstractWe introduce Proteus, a novel self-designing approximate range filter, which configures itself based on sampled data in order to optimize its false positive rate (FPR) for a given space requirement. Proteus unifies the probabilistic and deterministic design spaces of state-of-the-art range filters to achieve robust performance across a larger variety of use cases. At the core of Proteus lies our Contextual Prefix FPR (CPFPR) model —a formal framework for the FPR of prefix-based filters across their design spaces. We empirically demonstrate the accuracy of our model and Proteus’ ability to optimize over both synthetic workloads and real-world datasets. We further evaluate Proteus in RocksDB and show that it is able to improve end-to-end performance by as much as 5.3x over more brittle state-of-the-art methods such as SuRF and Rosetta. Our experiments also indicate that the cost of modeling is not significant compared to the end-to-end performance gains and that Proteus is robust to workload shifts.
Kapil Vaidya, Subarna Chatterjee, Eric Knorr, Stratos Idreos, Michael Mitzenmacher, and Tim Kraska. 2022. “
SNARF: A Learning-Enhanced Range Filter.” Proceedings of the 48th International Conference on Very Large Databases (VLDB) 2022. .
Publisher's VersionAbstract
We present Sparse Numerical Array-Based Range Filters (SNARF), a learned range filter that efficiently supports range queries for numerical data. SNARF creates a model of the data distribution to map the keys into a bit array which is stored in a compressed form. The model along with the compressed bit array which constitutes SNARF are used to answer membership queries.
We evaluate SNARF on multiple synthetic and real-world datasets as a stand-alone filter and by integrating it into RocksDB. For range queries, SNARF provides up to 50x better false positive rate than state-of-the-art range filters, such as SuRF and Rosetta, with the same space usage. We also evaluate SNARF in RocksDB as a filter replacement for filtering requests before they access on-disk data structures. For RocksDB, SNARF can improve the execution time of the system up to 10x compared to SuRF and Rosetta for certain read-only workloads.
Matheus V. X. Ferreira and David C. Parkes. 2022. “
Credible Decentralized Exchange Design via Verifiable Sequencing Rules.”.
Publisher's VersionAbstractTrading on decentralized exchanges has been one of the primary use cases for permissionless blockchains with daily trading volume exceeding billions of U.S.~dollars. In the status quo, users broadcast transactions and miners are responsible for composing a block of transactions and picking an execution ordering -- the order in which transactions execute in the exchange. Due to the lack of a regulatory framework, it is common to observe miners exploiting their privileged position by front-running transactions and obtaining risk-fee profits. In this work, we propose to modify the interaction between miners and users and initiate the study of {\em verifiable sequencing rules}. As in the status quo, miners can determine the content of a block; however, they commit to respecting a sequencing rule that constrains the execution ordering and is verifiable (there is a polynomial time algorithm that can verify if the execution ordering satisfies such constraints). Thus in the event a miner deviates from the sequencing rule, anyone can generate a proof of non-compliance.
We ask if there are sequencing rules that limit price manipulation from miners in a two-token liquidity pool exchange. Our first result is an impossibility theorem: for any sequencing rule, there is an instance of user transactions where the miner can obtain non-zero risk-free profits. In light of this impossibility result, our main result is a verifiable sequencing rule that provides execution price guarantees for users. In particular, for any user transaction A, it ensures that either (1) the execution price of A is at least as good as if A was the only transaction in the block, or (2) the execution price of A is worse than this ``standalone'' price and the miner does not gain (or lose) when including A in the block.
Michael Sutton and Yonatan Sompolinsky. 2022. “
The DAG KNIGHT Protocol: A Parameterless Generalization of Nakamoto Consensus”.
Publisher's VersionAbstractIn 2008 Satoshi wrote the first permissionless consensus protocol, known as Nakamoto Consensus (NC), and implemented in Bitcoin. A large body of research was dedicated since to modify and extend NC, in various aspects: speed, throughput, energy consumption, computation model, and more [ 4]. One line of work focused on alleviating the security-speed tradeoff which NC suffers from by generalizing Satoshi’s blockchain into a directed acyclic graph of blocks, a block DAG. Indeed, the block creation rate in Bitcoin must be suppressed in order to ensure that the block interval is much smaller than the worst case latency in the network. In contrast, the block DAG paradigm allows for arbitrarily high block creation rate and block sizes, as long as the capacity of nodes and of the network backbone are not exceeded. Still, these protocols, as well as other permissionless protocols, assume an a priori bound on the worst case latency, and hardcode a corresponding parameter in the protocol. Confirmation times then depend on this worst case bound, even when the network is healthy and messages propagate very fast. In this work we set out to alleviate this constraint, and create the first permissionless protocol which contains no a priori in-protocol bound over latency. KNIGHT is thus responsive to network conditions, while tolerating a corruption of up to 50% of the computational power (hashrate) in the network. To circumvent an impossibility result by Pass and Shi [15 ], we require that the client specifies locally an upper bound over the maximum adversarial recent latency in the network. KNIGHT is an evolution of the PHANTOM paradigm [19], which is a parameterized generalization of NC.