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Quantitative Finance > Trading and Market Microstructure

Title: Multiblock MEV opportunities & protections in dynamic AMMs

Abstract: Maximal Extractable Value (MEV) in Constant Function Market Making is fairly well understood. Does having dynamic weights, as found in liquidity boostrap pools (LBPs), Temporal-function market makers (TFMMs), and Replicating market makers (RMMs), introduce new attack vectors? In this paper we explore how inter-block weight changes can be analogous to trades, and can potentially lead to a multi-block MEV attack. New inter-block protections required to guard against this new attack vector are analysed. We also carry our a raft of numerical simulations, more than 450 million potential attack scenarios, showing both successful attacks and successful defense.
Comments: 7 pages plus appendix
Subjects: Trading and Market Microstructure (q-fin.TR)
Cite as: arXiv:2404.15489 [q-fin.TR]
  (or arXiv:2404.15489v2 [q-fin.TR] for this version)

Submission history

From: Matthew Willetts [view email]
[v1] Tue, 23 Apr 2024 20:03:12 GMT (806kb,D)
[v2] Thu, 25 Apr 2024 16:12:58 GMT (806kb,D)

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