Searcharxiv⌕ Search
Home/Archive/arXiv

arXiv · 2609.19013

Routing Frictions and Executable Liquidity in Fragmented Markets

Wen-Ting Wang
View original source ↗Read source document ↗Export metadata ↓

Abstract

Public blockchains can make many trading venues simultaneously visible and mechanically reachable, yet an order still has to pay to activate each additional venue: technological connectivity need not translate into economically integrated execution. Automated-market-maker (AMM) pools make this gap directly measurable, because exact pre-trade venue states, transaction-level routing costs, and realized venue use can be reconstructed jointly from public blockchain records. Using 13,768 sampled family-transactions from 29 Ethereum and Base token-pair families and 71 sibling pools, we document a sharp compression from gross to net execution opportunity: the equal-chain lower bound on gross multi-venue gains is 34.85%, while the corresponding upper bound after measured access costs is 6.89%, as access costs eliminate 80.45% of point-identified states with positive gross gains. Realized routing shows a distinct second contrast: actual multi-pool activation occurs in only 1.203% of the opportunity population, yet among 170 eligible realized integrated routes, observed allocation captures 94.8% of aggregate feasible gain. Holding recipient orders and exact venue states fixed, replacing the Ethereum routing-cost regime with Base's lower-cost regime materially expands executable integration under both state populations. For digital-market design, the results imply that blockchain scaling, cross-venue connectivity, and displayed liquidity do not by themselves establish economically integrated execution: integration is an order-specific property that depends on transaction-level access costs.

Explore related subjects

stat.COq-fin.ST

Keep this discovery

Explore connections, maps & timelines

BibTeXRIS

Wen-Ting Wang. 2026-09-17. Routing Frictions and Executable Liquidity in Fragmented Markets. https://arxiv.org/abs/2609.19013

Cite the original work for its findings. Save a collection to share your selection of sources.

KEEP EXPLORING

Related papers

arXiv2026

Delayed Acceptance Slice Sampling

Slice sampling is a well-established Markov chain Monte Carlo method for approximate sampling of target distributions which are only known up to a normalizing constant. The method is based on choosing a new state on a slice, i.e., a superlevel set of the given unnormalized target density (with respect to a reference measure). However, slice sampling algorithms usually require per step multiple evaluations of the target density, and thus can become computationally expensive. This is particularly the case for Bayesian inference with costly likelihoods. In this paper, we exploit deterministic approximations of the target density, which are relatively cheap to evaluate, and propose delayed acceptance versions of several common (hybrid) slice samplers. We show ergodicity of the resulting slice sampling methods, discuss the superiority of delayed acceptance (ideal) slice sampling over delayed acceptance Metropolis-Hastings algorithms, and illustrate the benefits of our novel approach in terms of improved computational efficiency in numerical experiments.

stat.CO↗
arXiv2026

Repulsive normalizing flow mixtures for adaptive importance sampling: reliability analysis of complex systems

Accurate rare-event estimation can be computationally expensive. Classical adaptive importance sampling (IS) schemes often rely on restrictive proposal families and can struggle under multiple failure modes. We propose FAMIS, a flow-based multiple importance sampling (MIS) framework that learns a nonuniform mixture of normalizing flow proposals for rare event estimation. The method does not require presampled failure data or prior knowledge of the number, location, or geometry of the failure modes. Instead, it adaptively learns the mixture through sequential evaluations of the limit state function. To guide training toward the failure domain, FAMIS uses a smooth rare-event surrogate and a tempered target sequence. A defensive exploration mixture improves early-stage coverage, a Rao Blackwellized update adapts the mixture weights, and a Jensen-Shannon repulsion term promotes separation and diversity among the base components. The final failure probability is computed with a deterministic-mixture MIS estimator. Numerical experiments demonstrate that FAMIS accurately approximates quasi-optimal IS densities with fewer training samples and model evaluations, providing stable variance reduction across complex reliability problems.

stat.CO↗
arXiv2026

Scentree: a framework for generating scenario trees for multistage stochastic programming

We present scentree, an open-source Python package for constructing a scenario fan and a scenario tree for multistage stochastic programming from historical data. It combines machine learning and multivariate time series models to obtain a scenario fan that captures inter-stage dependencies in the stochastic processes. This scenario fan is subsequently transformed into a scenario tree suitable for multistage stochastic optimization, providing a flexible and extensible framework for uncertainty modeling. A key contribution is the automation of the complete workflow, including model selection, parameter estimation, scenario fan generation, and scenario tree construction. Scentree does not rely on assumptions about the underlying data distribution, reducing the statistical expertise required to produce a scenario tree. Furthermore, it is agnostic to the specific multistage stochastic problem to be solved.

stat.CO↗