Global Order Routing on Exchange Networks


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)

Friday, June 4, 2021 15:00 Europe/Paris
GReTA seminar
Vincent Danos
Vincent Danos
Professor, Directeur de Recherches at CNRS

Directeur de Recherches at CNRS, at the Departement d’Informatique of ENS (DI-ENS, UMR 8548), at Team Antique Chair of Computational Systems Biology at the School of Informatics, at the University of Edinburgh (on leave of absence)