arXiv subjects

Weiye Xi

Publications and source records attributed to Weiye Xi.

4 recordsLinked to original sources

arXiv2026

Quantifying Sub-Optimality in Routing for Automated Market Makers

We provide a large-scale empirical audit of DEX routing using 2.98 million WETH-USDC swaps on Ethereum. Comparing realized routes with optimized benchmarks, we measure an average shortfall of 2.02 bps per trade or \$24 million. To attribute losses, we introduce three reproducible optimal benchmarks: a Support-Constrained Optimum (SCO) that evaluates split quality conditional on the pools actually used; a Full-Venue Optimum (FVO) that considers all available pools to quantify the value of broader pool access; and a Gas-Aware FVO (G-FVO) that augments FVO with gas costs to capture the trade-off between additional pool usage and gas expenditure. Computing these benchmarks at scale is enabled by a bisection-based algorithm for optimal routing across multiple pools for the same token pair. Two regularities emerge. First, information timeliness is crucial: moving from execution-time state to one-block lagged state optimization significantly raises mean shortfall and additional delays further degrade performance, albeit with diminishing increments; evaluated on the same stale snapshots, realized routes lie closer to optimal, indicating timing-mismatch as a key component. Second, inefficiency is heterogeneous and heavy-tailed: small trades suffer higher percentage losses, while a few extreme outliers dominate the aggregate dollar shortfalls. Finally, we demonstrate that sandwiching attacks drive a significant fraction of routing sub-optimality. Our benchmark protocol and algorithm offer a rigorous, reproducible basis for evaluating and improving information-timely, gas-aware routing.

q-fin.TR↗

arXiv2026

Volatility in Prediction Markets: A Structural Approach

Forward-looking volatility forecasts are central inputs to derivatives pricing, market making, risk management, and volatility-linked trading strategies, with ARCH and GARCH models serving as the canonical workhorses. Such models are natural in standard asset markets, where prices are positive-valued stochastic processes and volatility is typically inferred from return dynamics. Prediction markets have a different structure: prices are bounded probabilities, payoffs are binary, and contracts resolve at known deadlines. We develop and estimate a volatility model tailored to binary prediction markets. The model combines two economic mechanisms: a Wright-Fisher deadline-resolution component, capturing how remaining binary uncertainty is forced to resolve over time, and a Glosten-Milgrom order-flow component, capturing volatility from informed trading as reflected in spreads and volume. Using a large panel of Kalshi contracts, we show that these structural variables carry substantial forecasting power. Plain ARCH/GARCH benchmarks are dominated by structural specifications; combining the structural model with residual GARCH dynamics gives the best overall forecasts. The model also provides an interpretable measurement framework: volatility is highest near fifty-fifty prices, rises near resolution, and varies across categories with the timing and discreteness of information arrival. Economics contracts are closer to smooth deadline-resolution dynamics, while sports contracts exhibit more event-concentrated, jump-like behavior. Across major categories, category-specific fitting does not systematically improve out-of-sample performance, suggesting that the structural specification transfers beyond the pooled headline result.

q-fin.TR↗

arXiv2026

PoiCGAN: A Targeted Poisoning Based on Feature-Label Joint Perturbation in Federated Learning

Federated Learning (FL), as a popular distributed learning paradigm, has shown outstanding performance in improving computational efficiency and protecting data privacy, and is widely applied in industrial image classification. However, due to its distributed nature, FL is vulnerable to threats from malicious clients, with poisoning attacks being a common threat. A major limitation of existing poisoning attack methods is their difficulty in bypassing model performance tests and defense mechanisms based on model anomaly detection. This often results in the detection and removal of poisoned models, which undermines their practical utility. To ensure both the performance of industrial image classification and attacks, we propose a targeted poisoning attack, PoiCGAN, based on feature-label collaborative perturbation. Our method modifies the inputs of the discriminator and generator in the Conditional Generative Adversarial Network (CGAN) to influence the training process, generating an ideal poison generator. This generator not only produces specific poisoned samples but also automatically performs label flipping. Experiments across various datasets show that our method achieves an attack success rate 83.97% higher than baseline methods, with a less than 8.87% reduction in the main task's accuracy. Moreover, the poisoned samples and malicious models exhibit high stealthiness.

cs.LG↗

arXiv2024

Act in Collusion: Distributed Multi-Target Backdoor Attacks in Federated Learning

Federated learning (FL) is widely used in Internet-of-Things (IoT) systems, but its distributed training process also exposes it to backdoor attacks. Existing studies mainly consider single-target or centralized multi-target settings, while coordinated distributed multi-target attacks remain underexplored. In practical IoT scenarios, one adversarial entity may control multiple distributed malicious clients and assign each client distinct triggers and target labels. Under this setting, existing distributed backdoor methods often fail to preserve the effectiveness of all backdoors because malicious updates conflict during aggregation. To address this issue, we propose a Distributed Multi-Target Backdoor Attack (DMBA) for FL. DMBA introduces a Backdoor Replay (BR) mechanism to reduce discrepancies among malicious gradients and a Channel-Frequency Composite Trigger (CFCT) strategy to improve trigger distinguishability and alleviate local interference. Experiments on multiple datasets show that DMBA ensures attack success rates above 80% for all implanted backdoors, whereas some baseline backdoors fall below 50% and may even approach 0.

cs.CV↗