Global Order Routing on Exchange Networks

Abstract

We propose an abstract notion of networks of exchanges modelling the global money market of decentralised finance. We formalise routing and arbitrage on such networks as convex optimisation problems. We provide bounds with closed formulas in the specific case of “constant product” automated markets and a restricted form of cyclic arbitrage. We compute the associated lower bounds on actual data derived from the Ethereum blockchain. (joint work with Hamza El Khalloufi and Julien Prat)