arXiv subjects

Andrea Canidio

Publications and source records attributed to Andrea Canidio.

9 recordsLinked to original sources

arXiv2026

Ordering by Unanimity: Giving Applications Sequencing Rights Without Breaking Composability

Blockchain applications may have preferences over the order in which transactions execute: an automated market maker may use an external feed to price its liquidity, and require that the oracle update incorporating this price execute before any swap; an exchange may want to execute cancellations of limit orders before incoming market orders; an application may run an on-chain auction by executing bids from highest to lowest, so that the first bid wins. However, the ordering of transactions is chosen by the underlying blockchain and may not be compatible with the requirements of a specific application. In this paper, I tackle this problem by introducing an algorithm called unanimity override. The intuition is that when all the applications agree on how to order two transactions, the underlying blockchain should respect this agreement; a default order - the order in which transactions appear in the block - settles the rest. The problem with this naive approach is that application unanimity may form cycles, which the algorithm must break. Cycle-breaking is also the rule's main vulnerability because an attacker can insert transactions to manufacture a cycle. Yet two guarantees hold against any attacker who sets the default order, deploys applications, and inserts transactions. All transactions that interact with a single application that expressed preferences are ordered according to that application's preferences, even when they also interact with other applications that did not express preferences. Also, gated transactions - those that cannot be outranked in the unanimity order by any transaction crafted by an attacker - always execute as the applications unanimously prefer, even when they touch many applications. The two guarantees identify the preferences the protocol can protect, and they tell applications and senders in advance which transactions will execute in the intended order.

cs.DC↗

arXiv2026

Becoming Immutable: How Ethereum is Made

Blockchain's economic value lies in enabling financial and economic transactions without relying on trusted, centralized intermediaries. In practice, however, transactions pass through a fragmented chain of intermediaries before being included on-chain. Because standard blockchain data reveal only the winning block, this process is largely unobservable. We address this limitation by constructing a novel dataset of 15,097 non-winning Ethereum blocks, that is, blocks proposed but not selected for inclusion. We show that 21% of user transactions are delayed: they appear in candidate blocks but not in the winning block, implying that fragmented routing materially affects inclusion time. We further show that execution quality varies substantially across candidate blocks: for the same swap, both execution probability and execution price differ across proposed blocks. To study these differences, we examine competition between two arbitrage bots trading between decentralized and centralized exchanges. We find that, conditional on inclusion in a block that also contains transactions from these bots, user swaps in the same (opposite) direction are less likely (more likely) to execute and receive worse (better) prices. These results show that routing and block composition are central determinants of execution quality and market quality in on-chain markets.

econ.GN↗

arXiv2025

How Exclusive are Ethereum Transactions? Evidence from non-winning blocks

We analyze 15,097 blocks proposed for inclusion in Ethereum's blockchain over an eight-minute window on December 3, 2024, during which 38 blocks were added to the chain. We classify transactions as exclusive -- appearing only in blocks from a single builder -- or private -- absent from the public mempool but included in blocks from multiple builders. We find that, depending on the methodology, exclusive transactions account for between 77.2% and 84% of the total fees paid by transactions in winning blocks. Moreover, we show that exclusivity cannot be fully attributed to persistent relationships between senders and builders: only between 7% and 8.4% of all on-chain exclusive transaction value originates from senders who route exclusively to one builder. Finally, we observe that transaction exclusivity is dynamic. Some transactions are exclusive at the start of a bidding cycle but later appear in blocks from multiple builders. Other transactions remain exclusive to a losing builder for two or three cycles before appearing in the public mempool. These transactions are therefore delayed and then exposed to potential attacks.

cs.CR↗

arXiv2025

Auctions with Tokens: Monetary Policy as a Mechanism Design Choice

I study a repeated auction in which payments are made with a blockchain token created and initially owned by the auction designer. Unlike the ``virtual money'' previously examined in mechanism design, such tokens can be saved and traded outside the mechanism. I show that the present-discounted value of expected revenues equals that of a conventional dollar auction, but revenues accrue earlier and are less volatile. The optimal monetary policy burns the tokens used for payment, a practice common in blockchain-based protocols. I also show that the same outcome can be reproduced in a dollar auction if the auctioneer issues a suitable dollar-denominated security. This equivalence breaks down with moral hazard and contracting frictions: with severe contracting frictions the token auction dominates, whereas with mild contracting frictions the dollar auction combined with a dollar-denominated financial instrument is preferred.

econ.TH↗

arXiv2025

Arbitrageurs' profits, LVR, and sandwich attacks: batch trading as an AMM design response

We study a novel automated market maker design: the function maximizing AMM (FM-AMM). Our central assumption is that trades are batched before execution. Because of competition between arbitrageurs, the FM-AMM eliminates arbitrage profits (or LVR) and sandwich attacks, currently the two main problems in decentralized finance and blockchain design more broadly. We then consider 11 token pairs and use Binance price data to simulate the lower bound to the return of providing liquidity to an FM-AMM. Such a lower bound is, for the most part, slightly higher than the empirical returns of providing liquidity on Uniswap v3 (currently the dominant AMM).

cs.DC↗

arXiv2024

Fair Combinatorial Auctions: Endogenous Best Execution in Blockchain Trade-Intent Markets

Trade-intent auctions intermediate around USD~9~billion in monthly trading volume. In these auctions, specialized intermediaries called solvers compete for the right to execute orders across fragmented blockchain-based financial markets. These auctions are combinatorial because executing multiple trade intents jointly generates additional efficiencies. However, there is no best-execution benchmark to determine how to share those efficiencies: the best possible execution of a trade is solvers' private information and must be elicited. We study theoretically the two main mechanisms: batch auctions, in which a group of trades is auctioned off jointly, and independent trade-by-trade auctions. Batch auctions return more total value to traders, but their outcome may be unfair, in the sense of leaving one trader worse off than under independent auctions. We propose a fair combinatorial auction: solvers bid on individual trades and on batches of trades, but a batched bid is filtered out if any trader earns less than an execution benchmark constructed from the bids on individual trades and a counterfactual mechanism. Whether fairness guarantees arise in equilibrium depends on the counterfactual mechanism: independent first-price auctions generate such guarantees; independent second-price auctions do not. These fairness guarantees come at a cost: a lower total value returned to traders.

econ.TH↗

arXiv2024

Measuring Arbitrage Losses and Profitability of AMM Liquidity

This paper presents the results of a comprehensive empirical study of losses to arbitrageurs (following the formalization of loss-versus-rebalancing by [Milionis et al., 2022]) incurred by liquidity providers on automated market makers (AMMs). We show that those losses exceed the fees earned by liquidity providers across many of the largest AMM liquidity pools (on Uniswap). Remarkably, we also find that the Uniswap v2 pools are more profitable for passive LPs than their Uniswap v3 counterparts. We also investigate how arbitrage losses change with block times. As expected, arbitrage losses decrease when block production is faster. However, the rate of the decline varies significantly across different trading pairs. For instance, when comparing 100ms block times to Ethereum's current 12-second block times, the decrease in losses to arbitrageurs ranges between 20% to 70%, depending on the specific trading pair.

cs.DC↗

arXiv2023

Commitment Against Front Running Attacks

We provide a game-theoretic analysis of the problem of front-running attacks. We use it to distinguish attacks from legitimate competition among honest users for having their transactions included earlier in the block. We also use it to introduce an intuitive notion of the severity of front-running attacks. We then study a simple commit-reveal protocol and discuss its properties. This protocol has costs because it requires two messages and imposes a delay. However, we show that it prevents the most severe front-running attacks while preserving legitimate competition between users, guaranteeing that the earliest transaction in a block belongs to the honest user who values it the most. When the protocol does not fully eliminate attacks, it nonetheless benefits honest users because it reduces competition among attackers (and overall expenditure by attackers).

econ.TH↗

arXiv2020

Private-Yet-Verifiable Contact Tracing

We propose PrYVeCT, a private-yet-verifiable contact tracing system. PrYVeCT works also as an authorization framework allowing for the definition of fine-grained policies, which a certain facility can define and apply to better model its own access rules. Users are authorized to access the facility only when they exhibit a contact trace that complies with the policy. The policy evaluation process is carried out without disclosing the personal data of the user. At the same time, each user can prove to a third party (e.g., a public authority) that she received a certain authorization. PrYVeCT takes advantage of oblivious automata evaluation to implement a privacy-preserving policy enforcement mechanism.

cs.CR↗