arXiv subjects

Omri Ross

Publications and source records attributed to Omri Ross.

12 recordsLinked to original sources

arXiv2024

Do you need a DAO?

Decentralized Autonomous Organizations (DAOs) have seen exponential growth and interest due to their potential to redefine organizational structure and governance. Despite this, there is a discrepancy between the ideals of autonomy and decentralization and the actual experiences of DAO stakeholders. The Information Systems (IS) literature has yet to fully explore whether DAOs are the optimal organizational choice. Addressing this gap, our research asks, "Is a DAO suitable for your organizational needs?" We derive a gated decision-making framework through a thematic review of the academic and grey literature on DAOs. Through five scenarios, the framework critically emphasizes the gaps between DAOs' theoretical capabilities and practical challenges. Our findings contribute to the IS discourse on blockchain technologies, with some ancillary contributions to the IS literature on organizational management and practitioner literature.

cs.HC↗

arXiv2023

Multi-block MEV

Multi-block MEV (MMEV) denotes the practice of securing k-consecutive blocks in an attempt at extracting surplus value by manipulating transaction ordering. Following the implementation of pro-poser/builder separation (PBS) on Ethereum, savvy builders can secure consecutive block space by implementing targeted bidding strategies through relays. To estimate the extent to which this practice might be taking place today, we collect data on all bids submitted by builders through relays in the period from the 15th of September (the merge) 2022 until the 31st of January 2023. We hypothesize that builders might secure consecutive blocks in order to deploy sophisticated MMEV strategies, such as creating artificial momentum in Uniswap pools, by withholding and prioritizing transactions from the mempool. In this talk proposal, we present preliminary and non-conclusive results, indicating the builders employ super-linear bidding strategies to secure consecutive block space. We hypothesize that builders act rationally and increase bids only if this is profitable. With this WIP talk proposal, we hope to stimulate an interesting discussion on the feasibility of sophisticated MMEV strategies at SBC23, with the aim of collecting feedback from researchers and practitioners working on MEV.

cs.CR↗

arXiv2023

Can AI Moderate Online Communities?

The task of cultivating healthy communication in online communities becomes increasingly urgent, as gaming and social media experiences become progressively more immersive and life-like. We approach the challenge of moderating online communities by training student models using a large language model (LLM). We use zero-shot learning models to distill and expand datasets followed by a few-shot learning and a fine-tuning approach, leveraging open-access generative pre-trained transformer models (GPT) from OpenAI. Our preliminary findings suggest, that when properly trained, LLMs can excel in identifying actor intentions, moderating toxic comments, and rewarding positive contributions. The student models perform above-expectation in non-contextual assignments such as identifying classically toxic behavior and perform sufficiently on contextual assignments such as identifying positive contributions to online discourse. Further, using open-access models like OpenAI's GPT we experience a step-change in the development process for what has historically been a complex modeling task. We contribute to the information system (IS) discourse with a rapid development framework on the application of generative AI in content online moderation and management of culture in decentralized, pseudonymous communities by providing a sample model suite of industrial-ready generative AI models based on open-access LLMs.

cs.CY↗

arXiv2023

Trading green bonds using distributed ledger technology

The promising markets for voluntary carbon credits are faced with crippling challenges to the certification of carbon sequestration and the lack of scalable market infrastructure in which companies and institutions can invest in carbon offsetting. This amounts to a funding problem for green transition projects, such as in the agricultural sector, since farmers need access to the liquidity needed to fund the transition to sustainable practices. We explore the feasibility of mitigating infrastructural challenges based on a DLT Trading and Settlement System for green bonds. The artefact employs a multi-sharded architecture in which the nodes retain carefully orchestrated responsibilities in the functioning of the network. We evaluate the artefact in a supranational context with an EU-based regulator as part of a regulatory sandbox program targeting the new EU DLT Pilot regime. By conducting design-driven research with stakeholders from industrial and governmental bodies, we contribute to the IS literature on the practical implications of DLT.

cs.DC↗

arXiv2023

When is a DAO Decentralized?

While previously a nascent theoretical construct, decentralized autonomous organizations have grown rapidly in recent years. DAOs typically emerge around the management of decentralized financial applications and thus benefit from the rapid growth of innovation in this sector. In response, global regulators increasingly voice the intent to regulate these activities. This may impose an excessive compliance burden on DAOs, unless they are deemed sufficiently decentralized to be regulated. Yet, decentralization is an abstract concept with scarce legal precedence. We investigate dimensions of decentralization through thematic analysis, combining extant literature with a series of expert interviews. We propose a definition of 'sufficient decentralization' and present a general framework for the assessment of decentralization. We derive five dimensions for the assessment of decentralization in DAOs: Token-weighted voting, Infrastructure, Governance, Escalation and Reputation. We present a discretionary sample application of the framework and five propositions on the future regulation and supervision of DAOs. We contribute new practical insights on the topic of compliance and decentralized organizations to the growing discourse on the application of blockchain technology in information systems and management disciplines

cs.DC↗

arXiv2022

Fundamentals of Perpetual Futures

Perpetual futures are the most popular cryptocurrency derivatives. Perpetuals offer leveraged exposure to their underlying without rollover or direct ownership. Unlike fixed-maturity futures, perpetuals are not guaranteed to converge to the spot price. To minimize the gap between perpetual and spot prices, long investors periodically pay shorts a funding rate proportional to this difference. We derive no-arbitrage prices for perpetual futures in frictionless markets and bounds in markets with trading costs. Empirically, deviations from these prices in crypto are larger than in traditional currency markets, comove across currencies, and diminish over time. An implied arbitrage strategy yields high Sharpe ratios.

q-fin.PR↗

arXiv2022

DLT Compliance Reporting

The IS discourse on the potential of distributed ledger technology (DLT) in the financial services has grown at a tremendous pace in recent years. Yet, little has been said about the related implications for the costly and highly regulated process of compliance reporting. Working with a group of representatives from industry and regulatory authorities, we employ the design science research methodology (DSR) in the design, development, and evaluation of an artefact, enabling the automated collection and enrichment of transactional data. Our findings indicate that DLT may facilitate the automation of key compliance processes through the implementation of a "pull-model", in which regulators can access compliance data in near real-time to stage aggregate exposures at the supranational level. Generalizing our preliminary results, we present four propositions on the implications of DLT in compliance. The findings contribute new practical insights on the topic of compliance to the growing IS discourse on DLT.

cs.CY↗

arXiv2022

NFT Wash Trading: Quantifying suspicious behaviour in NFT markets

The smart contract-based markets for non-fungible tokens (NFTs) on the Ethereum blockchain have seen tremendous growth in 2021, with trading volumes peaking at 3.5b in September 2021. This dramatic surge has led to industry observers questioning the authenticity of on-chain volumes, given the absence of identity requirements and the ease with which agents can control multiple addresses. We examine potentially illicit trading patterns in the NFT markets from January 2018 to mid-November 2021, gathering data from the 52 largest collections by volume. Our findings indicate that within our sample 3.93% of addresses, processing a total of 2.04% of sale transactions, trigger suspicions of market abuse. Flagged transactions contaminate nearly all collections and may have inflated the authentic trading volumes by as much as 149,5m for the period. Most flagged transaction patterns alternate between a few addresses, indicating a predisposition for manual trading. We submit that the results presented here may serve as a viable lower bound estimate for NFT wash trading on Ethereum. Even so, we argue that wash trading may be less common than what industry observers have previously estimated. We contribute to the emerging discourse on the identification and deterrence of market abuse in the cryptocurrency markets.

cs.CR↗

arXiv2021

The Homogenous Properties of Automated Market Makers

Automated market makers (AMM) have grown to obtain significant market share within the cryptocurrency ecosystem, resulting in a proliferation of new products pursuing exotic strategies for horizontal differentiation. Yet, their theoretical properties are curiously homogeneous when a set of basic assumptions are met. In this paper, we start by presenting a universal approach to deriving a formula for liquidity provisioning for AMMs. Next, we show that the constant function market maker and token swap market maker models are theoretically equivalent when liquidity reserves are uniform. Proceeding with an examination of AMM market microstructure, we show how non-linear price effect translates into slippage for traders and impermanent losses for liquidity providers. We proceed by showing how impermanent losses are a function of both volatility and market depth and discuss the implications of these findings within the context of the literature.

q-fin.TR↗

arXiv2021

Measuring Asset Composability as a Proxy for DeFi Integration

Decentralized financial (DeFi) applications on the Ethereum blockchain are highly interoperable because they share a single state in a deterministic computational environment. Stakeholders can deposit claims on assets, referred to as 'liquidity shares', across applications producing effects equivalent to rehypothecation in traditional financial systems. We seek to understand the degree to which this practice may contribute to financial integration on Ethereum by examining transactions in 'composed' derivatives for the assets DAI, USDC, USDT, ETH and tokenized BTC for the full set of 344.8 million Ethereum transactions computed in 2020. We identify a salient trend for 'composing' assets in multiple sequential generations of derivatives and comment on potential systemic implications for the Ethereum network.

cs.CY↗

arXiv2021

Leveraged Trading on Blockchain Technology

We document an ongoing research process towards the implementation and integration of a digital artefact, executing the lifecycle of a leveraged trade with permissionless blockchain technology. By employing core functions of the 'Dai Stablecoin system' deployed on the Ethereum blockchain, we produce the equivalent exposure of a leveraged position while deterministically automating the monitoring and liquidation processes. We demonstrate the implementation and early integration of the artefact into a hardened exchange environment through a microservice utilizing standardized API calls. The early results presented in this paper were produced in collaboration with a team of stakeholders at a hosting organization, a multi-national online brokerage and cryptocurrency exchange. We utilize the design science research methodology (DSR) guiding the design, development, and evaluation of the artefact. Our findings indicate that, while it is feasible to implement the lifecycle of a leveraged trade on the blockchain, the integration of the artefact into a traditional exchange environment involves multiple compromises and drawback. Generalizing the tentative findings presented in this paper, we introduce three propositions on the implementation, integration, and implications of executing key business processes with permissionless blockchain technologies. By conducting computational design science research, we contribute to the information systems discourse on the applied utility of permissionless blockchain technologies in finance and beyond.

cs.CR↗

arXiv2021

How Decentralized is the Governance of Blockchain-based Finance: Empirical Evidence from four Governance Token Distributions

Novel blockchain technology provides the infrastructure layer for the creation of decentralized appli-cations. A rapidly growing ecosystem of applications is built around financial services, commonly referred to as decentralized finance. Whereas the intangible concept of decentralization is presented as a key driver for the applications, defining and measuring decentralization is multifaceted. This pa-per provides a framework to quantify decentralization of governance power among blockchain appli-cations. Governance of the applications is increasingly important and requires striking a balance be-tween broad distribution, fostering user activity, and financial incentives. Therefore, we aggregate, parse, and analyze empirical data of four finance applications calculating coefficients for the statistical dispersion of the governance token distribution. The gauges potentially support IS scholars for an objective evaluation of the capabilities and limitations of token governance and for fast iteration in design-driven governance mechanisms.

q-fin.GN↗