DROPS

Volume

LIPIcs, Volume 282

5th Conference on Advances in Financial Technologies (AFT 2023)

AFT 2023, October 23-25, 2023, Princeton, NJ, USA

Editors: Joseph Bonneau and S. Matthew Weinberg

Document

Complete Volume

DOI: 10.4230/LIPIcs.AFT.2023

LIPIcs, Volume 282, AFT 2023, Complete Volume

Authors: Joseph Bonneau and S. Matthew Weinberg

Published in: LIPIcs, Volume 282, 5th Conference on Advances in Financial Technologies (AFT 2023)

Abstract

LIPIcs, Volume 282, AFT 2023, Complete Volume

Cite as

5th Conference on Advances in Financial Technologies (AFT 2023). Leibniz International Proceedings in Informatics (LIPIcs), Volume 282, pp. 1-718, Schloss Dagstuhl – Leibniz-Zentrum für Informatik (2023)

Copy BibTex To Clipboard

@Proceedings{bonneau_et_al:LIPIcs.AFT.2023,
  title =	{{LIPIcs, Volume 282, AFT 2023, Complete Volume}},
  booktitle =	{5th Conference on Advances in Financial Technologies (AFT 2023)},
  pages =	{1--718},
  series =	{Leibniz International Proceedings in Informatics (LIPIcs)},
  ISBN =	{978-3-95977-303-4},
  ISSN =	{1868-8969},
  year =	{2023},
  volume =	{282},
  editor =	{Bonneau, Joseph and Weinberg, S. Matthew},
  publisher =	{Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik},
  address =	{Dagstuhl, Germany},
  URL =		{https://drops-dev.dagstuhl.de/entities/document/10.4230/LIPIcs.AFT.2023},
  URN =		{urn:nbn:de:0030-drops-191884},
  doi =		{10.4230/LIPIcs.AFT.2023},
  annote =	{Keywords: LIPIcs, Volume 282, AFT 2023, Complete Volume}
}

Document

Front Matter

DOI: 10.4230/LIPIcs.AFT.2023.0

Front Matter, Table of Contents, Preface, Conference Organization

Authors: Joseph Bonneau and S. Matthew Weinberg

Published in: LIPIcs, Volume 282, 5th Conference on Advances in Financial Technologies (AFT 2023)

Abstract

Front Matter, Table of Contents, Preface, Conference Organization

Cite as

5th Conference on Advances in Financial Technologies (AFT 2023). Leibniz International Proceedings in Informatics (LIPIcs), Volume 282, pp. 0:i-0:xx, Schloss Dagstuhl – Leibniz-Zentrum für Informatik (2023)

Copy BibTex To Clipboard

@InProceedings{bonneau_et_al:LIPIcs.AFT.2023.0,
  author =	{Bonneau, Joseph and Weinberg, S. Matthew},
  title =	{{Front Matter, Table of Contents, Preface, Conference Organization}},
  booktitle =	{5th Conference on Advances in Financial Technologies (AFT 2023)},
  pages =	{0:i--0:xx},
  series =	{Leibniz International Proceedings in Informatics (LIPIcs)},
  ISBN =	{978-3-95977-303-4},
  ISSN =	{1868-8969},
  year =	{2023},
  volume =	{282},
  editor =	{Bonneau, Joseph and Weinberg, S. Matthew},
  publisher =	{Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik},
  address =	{Dagstuhl, Germany},
  URL =		{https://drops-dev.dagstuhl.de/entities/document/10.4230/LIPIcs.AFT.2023.0},
  URN =		{urn:nbn:de:0030-drops-191894},
  doi =		{10.4230/LIPIcs.AFT.2023.0},
  annote =	{Keywords: Front Matter, Table of Contents, Preface, Conference Organization}
}

Document

DOI: 10.4230/LIPIcs.AFT.2023.1

Privacy-Preserving Transactions with Verifiable Local Differential Privacy

Authors: Danielle Movsowitz Davidow, Yacov Manevich, and Eran Toch

Published in: LIPIcs, Volume 282, 5th Conference on Advances in Financial Technologies (AFT 2023)

Abstract

Privacy-preserving transaction systems on blockchain networks like Monero or Zcash provide complete transaction anonymity through cryptographic commitments or encryption. While this secures privacy, it inhibits the collection of statistical data, which current financial markets heavily rely on for economic and sociological research conducted by central banks, statistics bureaus, and research companies. Differential privacy techniques have been proposed to preserve individuals' privacy while still making aggregate analysis possible. We show that differential privacy and privacy-preserving transactions can coexist. We propose a modular scheme incorporating verifiable local differential privacy techniques into a privacy-preserving transaction system. We devise a novel technique that, on the one hand, ensures unbiased randomness and integrity when computing the differential privacy noise by the user and on the other hand, does not degrade the user’s privacy guarantees.

Cite as

Danielle Movsowitz Davidow, Yacov Manevich, and Eran Toch. Privacy-Preserving Transactions with Verifiable Local Differential Privacy. In 5th Conference on Advances in Financial Technologies (AFT 2023). Leibniz International Proceedings in Informatics (LIPIcs), Volume 282, pp. 1:1-1:23, Schloss Dagstuhl – Leibniz-Zentrum für Informatik (2023)

Copy BibTex To Clipboard

@InProceedings{movsowitzdavidow_et_al:LIPIcs.AFT.2023.1,
  author =	{Movsowitz Davidow, Danielle and Manevich, Yacov and Toch, Eran},
  title =	{{Privacy-Preserving Transactions with Verifiable Local Differential Privacy}},
  booktitle =	{5th Conference on Advances in Financial Technologies (AFT 2023)},
  pages =	{1:1--1:23},
  series =	{Leibniz International Proceedings in Informatics (LIPIcs)},
  ISBN =	{978-3-95977-303-4},
  ISSN =	{1868-8969},
  year =	{2023},
  volume =	{282},
  editor =	{Bonneau, Joseph and Weinberg, S. Matthew},
  publisher =	{Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik},
  address =	{Dagstuhl, Germany},
  URL =		{https://drops-dev.dagstuhl.de/entities/document/10.4230/LIPIcs.AFT.2023.1},
  URN =		{urn:nbn:de:0030-drops-191901},
  doi =		{10.4230/LIPIcs.AFT.2023.1},
  annote =	{Keywords: Differential Privacy, Blockchain, Privacy Preserving, Verifiable Privacy}
}

Document

DOI: 10.4230/LIPIcs.AFT.2023.2

Correct Cryptocurrency ASIC Pricing: Are Miners Overpaying?

Authors: Aviv Yaish and Aviv Zohar

Published in: LIPIcs, Volume 282, 5th Conference on Advances in Financial Technologies (AFT 2023)

Abstract

Cryptocurrencies that are based on Proof-of-Work (PoW) often rely on special purpose hardware to perform so-called mining operations that secure the system, with miners receiving freshly minted tokens as a reward for their work. A notable example of such a cryptocurrency is Bitcoin, which is primarily mined using application specific integrated circuit (ASIC) based machines. Due to the supposed profitability of cryptocurrency mining, such hardware has been in great demand in recent years, in-spite of high associated costs like electricity. In this work, we show that because mining rewards are given in the mined cryptocurrency, while expenses are usually paid in some fiat currency such as the United States Dollar (USD), cryptocurrency mining is in fact a bundle of financial options. When exercised, each option converts electricity to tokens. We provide a method of pricing mining hardware based on this insight, and prove that any other price creates arbitrage. Our method shows that contrary to the popular belief that mining hardware is worth less if the cryptocurrency is highly volatile, the opposite effect is true: volatility increases value. Thus, if a coin’s volatility decreases, some miners may leave, affecting security. We compare the prices produced by our method to prices obtained from popular tools currently used by miners and show that the latter only consider the expected returns from mining, while neglecting to account for the inherent risk in mining, which is due to the high exchange-rate volatility of cryptocurrencies. Finally, we show that the returns made from mining can be imitated by trading in bonds and coins, and create such imitating investment portfolios. Historically, realized revenues of these portfolios have outperformed mining, showing that indeed hardware is mispriced.

Cite as

Aviv Yaish and Aviv Zohar. Correct Cryptocurrency ASIC Pricing: Are Miners Overpaying?. In 5th Conference on Advances in Financial Technologies (AFT 2023). Leibniz International Proceedings in Informatics (LIPIcs), Volume 282, pp. 2:1-2:25, Schloss Dagstuhl – Leibniz-Zentrum für Informatik (2023)

Copy BibTex To Clipboard

@InProceedings{yaish_et_al:LIPIcs.AFT.2023.2,
  author =	{Yaish, Aviv and Zohar, Aviv},
  title =	{{Correct Cryptocurrency ASIC Pricing: Are Miners Overpaying?}},
  booktitle =	{5th Conference on Advances in Financial Technologies (AFT 2023)},
  pages =	{2:1--2:25},
  series =	{Leibniz International Proceedings in Informatics (LIPIcs)},
  ISBN =	{978-3-95977-303-4},
  ISSN =	{1868-8969},
  year =	{2023},
  volume =	{282},
  editor =	{Bonneau, Joseph and Weinberg, S. Matthew},
  publisher =	{Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik},
  address =	{Dagstuhl, Germany},
  URL =		{https://drops.dagstuhl.de/entities/document/10.4230/LIPIcs.AFT.2023.2},
  URN =		{urn:nbn:de:0030-drops-191919},
  doi =		{10.4230/LIPIcs.AFT.2023.2},
  annote =	{Keywords: Cryptocurrency, Blockchain, Proof of Work, Economics}
}

Document

DOI: 10.4230/LIPIcs.AFT.2023.3

F3B: A Low-Overhead Blockchain Architecture with Per-Transaction Front-Running Protection

Authors: Haoqian Zhang, Louis-Henri Merino, Ziyan Qu, Mahsa Bastankhah, Vero Estrada-Galiñanes, and Bryan Ford

Published in: LIPIcs, Volume 282, 5th Conference on Advances in Financial Technologies (AFT 2023)

Abstract

Front-running attacks, which benefit from advanced knowledge of pending transactions, have proliferated in the blockchain space since the emergence of decentralized finance. Front-running causes devastating losses to honest participants and continues to endanger the fairness of the ecosystem. We present Flash Freezing Flash Boys (F3B), a blockchain architecture that addresses front-running attacks by using threshold cryptography. In F3B, a user generates a symmetric key to encrypt their transaction, and once the underlying consensus layer has finalized the transaction, a decentralized secret-management committee reveals this key. F3B mitigates front-running attacks because, before the consensus group finalizes it, an adversary can no longer read the content of a transaction, thus preventing the adversary from benefiting from advanced knowledge of pending transactions. Unlike other mitigation systems, F3B properly ensures that all unfinalized transactions, even with significant delays, remain private by adopting per-transaction protection. Furthermore, F3B addresses front-running at the execution layer; thus, our solution is agnostic to the underlying consensus algorithm and compatible with existing smart contracts. We evaluated F3B on Ethereum with a modified execution layer and found only a negligible (0.026%) increase in transaction latency, specifically due to running threshold decryption with a 128-member secret-management committee after a transaction is finalized; this indicates that F3B is both practical and low-cost.

Cite as

Haoqian Zhang, Louis-Henri Merino, Ziyan Qu, Mahsa Bastankhah, Vero Estrada-Galiñanes, and Bryan Ford. F3B: A Low-Overhead Blockchain Architecture with Per-Transaction Front-Running Protection. In 5th Conference on Advances in Financial Technologies (AFT 2023). Leibniz International Proceedings in Informatics (LIPIcs), Volume 282, pp. 3:1-3:23, Schloss Dagstuhl – Leibniz-Zentrum für Informatik (2023)

Copy BibTex To Clipboard

@InProceedings{zhang_et_al:LIPIcs.AFT.2023.3,
  author =	{Zhang, Haoqian and Merino, Louis-Henri and Qu, Ziyan and Bastankhah, Mahsa and Estrada-Gali\~{n}anes, Vero and Ford, Bryan},
  title =	{{F3B: A Low-Overhead Blockchain Architecture with Per-Transaction Front-Running Protection}},
  booktitle =	{5th Conference on Advances in Financial Technologies (AFT 2023)},
  pages =	{3:1--3:23},
  series =	{Leibniz International Proceedings in Informatics (LIPIcs)},
  ISBN =	{978-3-95977-303-4},
  ISSN =	{1868-8969},
  year =	{2023},
  volume =	{282},
  editor =	{Bonneau, Joseph and Weinberg, S. Matthew},
  publisher =	{Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik},
  address =	{Dagstuhl, Germany},
  URL =		{https://drops-dev.dagstuhl.de/entities/document/10.4230/LIPIcs.AFT.2023.3},
  URN =		{urn:nbn:de:0030-drops-191921},
  doi =		{10.4230/LIPIcs.AFT.2023.3},
  annote =	{Keywords: Blockchain, DeFi, Front-running Mitigation}
}

Document

DOI: 10.4230/LIPIcs.AFT.2023.4

Designing Multidimensional Blockchain Fee Markets

Authors: Theo Diamandis, Alex Evans, Tarun Chitra, and Guillermo Angeris

Published in: LIPIcs, Volume 282, 5th Conference on Advances in Financial Technologies (AFT 2023)

Abstract

Public blockchains implement a fee mechanism to allocate scarce computational resources across competing transactions. Most existing fee market designs utilize a joint, fungible unit of account (e.g., gas in Ethereum) to price otherwise non-fungible resources such as bandwidth, computation, and storage, by hardcoding their relative prices. Fixing the relative price of each resource in this way inhibits granular price discovery, limiting scalability and opening up the possibility of denial-of-service attacks. As a result, many prominent networks such as Ethereum and Solana have proposed multidimensional fee markets. In this paper, we provide a principled way to design fee markets that efficiently price multiple non-fungible resources. Starting from a loss function specified by the network designer, we show how to dynamically compute prices that align the network’s incentives (to minimize the loss) with those of the users and miners (to maximize their welfare), even as demand for these resources changes. We derive an EIP-1559-like mechanism from first principles as an example. Our pricing mechanism follows from a natural decomposition of the network designer’s problem into two parts that are related to each other via the resource prices. These results can be used to efficiently set fees in order to improve network performance.

Cite as

Theo Diamandis, Alex Evans, Tarun Chitra, and Guillermo Angeris. Designing Multidimensional Blockchain Fee Markets. In 5th Conference on Advances in Financial Technologies (AFT 2023). Leibniz International Proceedings in Informatics (LIPIcs), Volume 282, pp. 4:1-4:23, Schloss Dagstuhl – Leibniz-Zentrum für Informatik (2023)

Copy BibTex To Clipboard

@InProceedings{diamandis_et_al:LIPIcs.AFT.2023.4,
  author =	{Diamandis, Theo and Evans, Alex and Chitra, Tarun and Angeris, Guillermo},
  title =	{{Designing Multidimensional Blockchain Fee Markets}},
  booktitle =	{5th Conference on Advances in Financial Technologies (AFT 2023)},
  pages =	{4:1--4:23},
  series =	{Leibniz International Proceedings in Informatics (LIPIcs)},
  ISBN =	{978-3-95977-303-4},
  ISSN =	{1868-8969},
  year =	{2023},
  volume =	{282},
  editor =	{Bonneau, Joseph and Weinberg, S. Matthew},
  publisher =	{Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik},
  address =	{Dagstuhl, Germany},
  URL =		{https://drops-dev.dagstuhl.de/entities/document/10.4230/LIPIcs.AFT.2023.4},
  URN =		{urn:nbn:de:0030-drops-191933},
  doi =		{10.4230/LIPIcs.AFT.2023.4},
  annote =	{Keywords: Blockchains, transaction fees, convex optimization, mechanism design}
}

Document

DOI: 10.4230/LIPIcs.AFT.2023.5

Security Analysis of Filecoin’s Expected Consensus in the Byzantine vs Honest Model

Authors: Xuechao Wang, Sarah Azouvi, and Marko Vukolić

Published in: LIPIcs, Volume 282, 5th Conference on Advances in Financial Technologies (AFT 2023)

Abstract

Filecoin is the largest storage-based open-source blockchain, both by storage capacity (>11EiB) and market capitalization. This paper provides the first formal security analysis of Filecoin’s consensus (ordering) protocol, Expected Consensus (EC). Specifically, we show that EC is secure against an arbitrary adversary that controls a fraction β of the total storage for β m < 1- e^{-(1-β)m}, where m is a parameter that corresponds to the expected number of blocks per round, currently m = 5 in Filecoin. We then present an attack, the n-split attack, where an adversary splits the honest miners between multiple chains, and show that it is successful for β m ≥ 1- e^{-(1-β)m}, thus proving that β m = 1- e^{-(1-β)m} is the tight security threshold of EC. This corresponds roughly to an adversary with 20% of the total storage pledged to the chain. Finally, we propose two improvements to EC security that would increase this threshold. One of these two fixes is being implemented as a Filecoin Improvement Proposal (FIP).

Cite as

Xuechao Wang, Sarah Azouvi, and Marko Vukolić. Security Analysis of Filecoin’s Expected Consensus in the Byzantine vs Honest Model. In 5th Conference on Advances in Financial Technologies (AFT 2023). Leibniz International Proceedings in Informatics (LIPIcs), Volume 282, pp. 5:1-5:21, Schloss Dagstuhl – Leibniz-Zentrum für Informatik (2023)

Copy BibTex To Clipboard

@InProceedings{wang_et_al:LIPIcs.AFT.2023.5,
  author =	{Wang, Xuechao and Azouvi, Sarah and Vukoli\'{c}, Marko},
  title =	{{Security Analysis of Filecoin’s Expected Consensus in the Byzantine vs Honest Model}},
  booktitle =	{5th Conference on Advances in Financial Technologies (AFT 2023)},
  pages =	{5:1--5:21},
  series =	{Leibniz International Proceedings in Informatics (LIPIcs)},
  ISBN =	{978-3-95977-303-4},
  ISSN =	{1868-8969},
  year =	{2023},
  volume =	{282},
  editor =	{Bonneau, Joseph and Weinberg, S. Matthew},
  publisher =	{Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik},
  address =	{Dagstuhl, Germany},
  URL =		{https://drops.dagstuhl.de/entities/document/10.4230/LIPIcs.AFT.2023.5},
  URN =		{urn:nbn:de:0030-drops-191943},
  doi =		{10.4230/LIPIcs.AFT.2023.5},
  annote =	{Keywords: Decentralized storage, Consensus, Security analysis}
}

Document

DOI: 10.4230/LIPIcs.AFT.2023.6

Tailstorm: A Secure and Fair Blockchain for Cash Transactions

Authors: Patrik Keller, Ben Glickenhaus, George Bissias, and Gregory Griffith

Published in: LIPIcs, Volume 282, 5th Conference on Advances in Financial Technologies (AFT 2023)

Abstract

Proof-of-work (PoW) cryptocurrencies rely on a balance of security and fairness in order to maintain a sustainable ecosystem of miners and users. Users demand fast and consistent transaction confirmation, and in exchange drive the adoption and valuation of the cryptocurrency. Miners provide the confirmations, however, they primarily seek rewards. In unfair systems, miners can amplify their rewards by consolidating mining power. Centralization however, undermines the security guarantees of the system and might discourage users. In this paper we present Tailstorm, a cryptocurrency that strikes this balance. Tailstorm merges multiple recent protocol improvements addressing security, confirmation latency, and throughput with a novel incentive mechanism improving fairness. We implement a parallel proof-of-work consensus mechanism with k PoWs per block to obtain state-of-the-art consistency guarantees [Patrik Keller and Rainer Böhme, 2022]. Inspired by Bobtail [George Bissias and Brian Neil Levine, 2020] and Storm [awemany, 2019], we structure the individual PoWs in a tree which, by including a list of transactions with each PoW, reduces confirmation latency and improves throughput. Our proposed incentive mechanism discounts rewards based on the depth of this tree. Thereby, it effectively punishes information withholding, the core attack strategy used to reap an unfair share of rewards. We back our claims with a comprehensive analysis. We present a generic system model which allows us to specify Bitcoin, B_k [Patrik Keller and Rainer Böhme, 2022], and Tailstorm from a joint set of assumptions. We provide an analytical bound for the fairness of Tailstorm and Bitcoin in honest networks and we confirm the results through simulation. We evaluate the effectiveness of dishonest behaviour through reinforcement learning. Our attack search reproduces known optimal strategies against Bitcoin, uncovers new ones against B_k, and confirms that Tailstorm’s reward discounting makes it more resilient to incentive layer attacks. Our results are reproducible with the material provided online [Keller and Glickenhaus, 2023]. Lastly, we have implemented a prototype of the Tailstorm cryptocurrency as a fork of Bitcoin Cash. The client software is ready for testnet deployment and we also publish its source online [Griffith and Bissias, 2023].

Cite as

Patrik Keller, Ben Glickenhaus, George Bissias, and Gregory Griffith. Tailstorm: A Secure and Fair Blockchain for Cash Transactions. In 5th Conference on Advances in Financial Technologies (AFT 2023). Leibniz International Proceedings in Informatics (LIPIcs), Volume 282, pp. 6:1-6:26, Schloss Dagstuhl – Leibniz-Zentrum für Informatik (2023)

Copy BibTex To Clipboard

@InProceedings{keller_et_al:LIPIcs.AFT.2023.6,
  author =	{Keller, Patrik and Glickenhaus, Ben and Bissias, George and Griffith, Gregory},
  title =	{{Tailstorm: A Secure and Fair Blockchain for Cash Transactions}},
  booktitle =	{5th Conference on Advances in Financial Technologies (AFT 2023)},
  pages =	{6:1--6:26},
  series =	{Leibniz International Proceedings in Informatics (LIPIcs)},
  ISBN =	{978-3-95977-303-4},
  ISSN =	{1868-8969},
  year =	{2023},
  volume =	{282},
  editor =	{Bonneau, Joseph and Weinberg, S. Matthew},
  publisher =	{Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik},
  address =	{Dagstuhl, Germany},
  URL =		{https://drops-dev.dagstuhl.de/entities/document/10.4230/LIPIcs.AFT.2023.6},
  URN =		{urn:nbn:de:0030-drops-191954},
  doi =		{10.4230/LIPIcs.AFT.2023.6},
  annote =	{Keywords: Proof-of-Work, Blockchain, Cryptocurrency, Mining Rewards, Fairness}
}

Document

DOI: 10.4230/LIPIcs.AFT.2023.7

STROBE: Streaming Threshold Random Beacons

Authors: Donald Beaver, Konstantinos Chalkias, Mahimna Kelkar, Lefteris Kokoris-Kogias, Kevin Lewi, Ladi de Naurois, Valeria Nikolaenko, Arnab Roy, and Alberto Sonnino

Published in: LIPIcs, Volume 282, 5th Conference on Advances in Financial Technologies (AFT 2023)

Abstract

We revisit decentralized random beacons with a focus on practical distributed applications. Decentralized random beacons (Beaver and So, Eurocrypt'93) provide the functionality for n parties to generate an unpredictable sequence of bits in a way that cannot be biased, which is useful for any decentralized protocol requiring trusted randomness. Existing beacon constructions are highly inefficient in practical settings where protocol parties need to rejoin after crashes or disconnections, and more significantly where smart contracts may rely on arbitrary index points in high-volume streams. For this, we introduce a new notion of history-generating decentralized random beacons (HGDRBs). Roughly, the history-generation property of HGDRBs allows for previous beacon outputs to be efficiently generated knowing only the current value and the public key. At application layers, history-generation supports registering a sparser set of on-chain values if desired, so that apps like lotteries can utilize on-chain values without incurring high-frequency costs, enjoying all the benefits of DRBs implemented off-chain or with decoupled, special-purpose chains. Unlike rollups, HG is tailored specifically to recovering and verifying pseudorandom bit sequences and thus enjoys unique optimizations investigated in this work. We introduce STROBE: an efficient HGDRB construction which generalizes the original squaring-based RSA approach of Beaver and So. STROBE enjoys several useful properties that make it suited for practical applications that use beacons: 1) history-generating: it can regenerate and verify high-throughput beacon streams, supporting sparse (thus cost-effective) ledger entries; 2) concisely self-verifying: NIZK-free, with state and validation employing a single ring element; 3) eco-friendly: stake-based rather than work based; 4) unbounded: refresh-free, addressing limitations of Beaver and So; 5) delay-free: results are immediately available. 6) storage-efficient: the last beacon suffices to derive all past outputs, thus O(1) storage requirements for nodes serving the whole history.

Cite as

Donald Beaver, Konstantinos Chalkias, Mahimna Kelkar, Lefteris Kokoris-Kogias, Kevin Lewi, Ladi de Naurois, Valeria Nikolaenko, Arnab Roy, and Alberto Sonnino. STROBE: Streaming Threshold Random Beacons. In 5th Conference on Advances in Financial Technologies (AFT 2023). Leibniz International Proceedings in Informatics (LIPIcs), Volume 282, pp. 7:1-7:16, Schloss Dagstuhl – Leibniz-Zentrum für Informatik (2023)

Copy BibTex To Clipboard

@InProceedings{beaver_et_al:LIPIcs.AFT.2023.7,
  author =	{Beaver, Donald and Chalkias, Konstantinos and Kelkar, Mahimna and Kokoris-Kogias, Lefteris and Lewi, Kevin and de Naurois, Ladi and Nikolaenko, Valeria and Roy, Arnab and Sonnino, Alberto},
  title =	{{STROBE: Streaming Threshold Random Beacons}},
  booktitle =	{5th Conference on Advances in Financial Technologies (AFT 2023)},
  pages =	{7:1--7:16},
  series =	{Leibniz International Proceedings in Informatics (LIPIcs)},
  ISBN =	{978-3-95977-303-4},
  ISSN =	{1868-8969},
  year =	{2023},
  volume =	{282},
  editor =	{Bonneau, Joseph and Weinberg, S. Matthew},
  publisher =	{Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik},
  address =	{Dagstuhl, Germany},
  URL =		{https://drops-dev.dagstuhl.de/entities/document/10.4230/LIPIcs.AFT.2023.7},
  URN =		{urn:nbn:de:0030-drops-191969},
  doi =		{10.4230/LIPIcs.AFT.2023.7},
  annote =	{Keywords: decentralized randomness, beacons, consensus, blockchain, lottery}
}

Document

DOI: 10.4230/LIPIcs.AFT.2023.8

User Participation in Cryptocurrency Derivative Markets

Authors: Daisuke Kawai, Bryan Routledge, Kyle Soska, Ariel Zetlin-Jones, and Nicolas Christin

Published in: LIPIcs, Volume 282, 5th Conference on Advances in Financial Technologies (AFT 2023)

Abstract

As cryptocurrencies have been appreciating against fiat currencies, global markets for cryptocurrency investment have started to emerge, including, most prominently, derivative exchanges. Different from traditional derivative markets, cryptocurrency derivative products are directly marketed to consumers, rather than through brokerage firms or institutional investors. Cryptocurrency derivative exchange platforms include many game-like features (e.g., leaderboards, chatrooms, loot boxes), and have successfully attracted large numbers of investors. This paper attempts to discover the primary factors driving users to flock to these platforms. To answer this question, we have collected approximately a year worth of user data from one of the leading cryptocurrency derivative exchanges between 2020 and 2021. During that period, more than 7.5 million new user accounts were created on that platform. We build a regression analysis, accounting for the idiosyncrasies of the data at hand - notably, its non-stationarity and high correlation - and discover that prices of two major cryptocurrencies, Bitcoin and Ethereum, impact user registrations both in the short and long run. On the other hand, the influence of a less prominent coin, Ripple, and of a "meme" coin with a large social media presence, Dogecoin, is much more subtle. In particular, our regression model reveals the influence of Ripple prices vanishes when we include the SEC litigation against Ripple Labs, Inc. as an explanatory factor. Our regression analysis also suggests that the Chinese government statement regarding tightening cryptocurrency mining and trading regulations adversely impacted user registrations. These results indicate the strong influence of regulatory authorities on cryptocurrency investor behavior. We find cryptocurrency volatility impacts user registrations differently depending on the currency considered: volatility episodes in major cryptocurrencies immediately affect user registrations, whereas volatility of less prominent coins shows a delayed influence.

Cite as

Daisuke Kawai, Bryan Routledge, Kyle Soska, Ariel Zetlin-Jones, and Nicolas Christin. User Participation in Cryptocurrency Derivative Markets. In 5th Conference on Advances in Financial Technologies (AFT 2023). Leibniz International Proceedings in Informatics (LIPIcs), Volume 282, pp. 8:1-8:24, Schloss Dagstuhl – Leibniz-Zentrum für Informatik (2023)

Copy BibTex To Clipboard

@InProceedings{kawai_et_al:LIPIcs.AFT.2023.8,
  author =	{Kawai, Daisuke and Routledge, Bryan and Soska, Kyle and Zetlin-Jones, Ariel and Christin, Nicolas},
  title =	{{User Participation in Cryptocurrency Derivative Markets}},
  booktitle =	{5th Conference on Advances in Financial Technologies (AFT 2023)},
  pages =	{8:1--8:24},
  series =	{Leibniz International Proceedings in Informatics (LIPIcs)},
  ISBN =	{978-3-95977-303-4},
  ISSN =	{1868-8969},
  year =	{2023},
  volume =	{282},
  editor =	{Bonneau, Joseph and Weinberg, S. Matthew},
  publisher =	{Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik},
  address =	{Dagstuhl, Germany},
  URL =		{https://drops.dagstuhl.de/entities/document/10.4230/LIPIcs.AFT.2023.8},
  URN =		{urn:nbn:de:0030-drops-191975},
  doi =		{10.4230/LIPIcs.AFT.2023.8},
  annote =	{Keywords: Cryptocurrency, Online Markets, Derivatives, Trading, Regression Analysis}
}

Document

DOI: 10.4230/LIPIcs.AFT.2023.9

DeFi Lending During The Merge

Authors: Lioba Heimbach, Eric Schertenleib, and Roger Wattenhofer

Published in: LIPIcs, Volume 282, 5th Conference on Advances in Financial Technologies (AFT 2023)

Abstract

Lending protocols in decentralized finance enable the permissionless exchange of capital from lenders to borrowers without relying on a trusted third party for clearing or market-making. Interest rates are set by the supply and demand of capital according to a pre-defined function. In the lead-up to The Merge: Ethereum blockchain’s transition from proof-of-work (PoW) to proof-of-stake (PoS), a fraction of the Ethereum ecosystem announced plans of continuing with a PoW-chain. Owners of ETH - whether their ETH was borrowed or not - would hold the native tokens on each chain. This development alarmed lending protocols. They feared spiking ETH borrowing rates would lead to mass liquidations which could undermine their viability. Thus, the decentralized autonomous organization running the protocols saw no alternative to intervention - restricting users' ability to borrow. We investigate the effects of the merge and the aforementioned intervention on the two biggest lending protocols on Ethereum: AAVE and Compound. Our analysis finds that borrowing rates were extremely volatile, jumping by two orders of magnitude, and borrowing at times reached 100% of the available funds. Despite this, no spike in mass liquidations or irretrievable loans materialized. Further, we are the first to quantify and analyze hard-fork-arbitrage, profiting from holding debt in the native blockchain token during a hard fork. We find that arbitrageurs transferred tokens to centralized exchanges which at the time were worth more than 13 Mio US$, money that was effectively extracted from the platforms' lenders.

Cite as

Lioba Heimbach, Eric Schertenleib, and Roger Wattenhofer. DeFi Lending During The Merge. In 5th Conference on Advances in Financial Technologies (AFT 2023). Leibniz International Proceedings in Informatics (LIPIcs), Volume 282, pp. 9:1-9:25, Schloss Dagstuhl – Leibniz-Zentrum für Informatik (2023)

Copy BibTex To Clipboard

@InProceedings{heimbach_et_al:LIPIcs.AFT.2023.9,
  author =	{Heimbach, Lioba and Schertenleib, Eric and Wattenhofer, Roger},
  title =	{{DeFi Lending During The Merge}},
  booktitle =	{5th Conference on Advances in Financial Technologies (AFT 2023)},
  pages =	{9:1--9:25},
  series =	{Leibniz International Proceedings in Informatics (LIPIcs)},
  ISBN =	{978-3-95977-303-4},
  ISSN =	{1868-8969},
  year =	{2023},
  volume =	{282},
  editor =	{Bonneau, Joseph and Weinberg, S. Matthew},
  publisher =	{Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik},
  address =	{Dagstuhl, Germany},
  URL =		{https://drops-dev.dagstuhl.de/entities/document/10.4230/LIPIcs.AFT.2023.9},
  URN =		{urn:nbn:de:0030-drops-191985},
  doi =		{10.4230/LIPIcs.AFT.2023.9},
  annote =	{Keywords: blockchain, Ethereum, lending protocol, hard fork}
}

Document

DOI: 10.4230/LIPIcs.AFT.2023.10

FairPoS: Input Fairness in Permissionless Consensus

Authors: James Hsin-yu Chiang, Bernardo David, Ittay Eyal, and Tiantian Gong

Published in: LIPIcs, Volume 282, 5th Conference on Advances in Financial Technologies (AFT 2023)

Abstract

In permissionless consensus, the ordering of transactions or inputs in each block is freely determined by an anonymously elected block leader. A rational block leader will choose an ordering of inputs that maximizes financial gain; the emergence of automatic market makers in decentralized finance enables the block leader to front-run honest trade orders by injecting its own inputs prior to and after honest trades. Front-running is rampant in decentralized finance and reduces the utility of the system by extracting financial value from honest trades and increasing demand for block-space. Current proposals to prevent input order attacks by encrypting user inputs are not permissionless, as they rely on small static committees to perform distributed key generation and threshold decryption. Such committees require party authentication, knowledge of the number of participating parties or do not permit player replaceability and are therefore not permissionless. Moreover, alternative solutions based on sequencing inputs in order of their arrival cannot prevent front-running in an unauthenticated peer-2-peer network where message arrival is adversarially controlled. We present FairPoS, the first consensus protocol to achieve input fairness in the permissionless setting with security against adaptive adversaries in semi-synchronous networks. In FairPoS, the adversary cannot learn the plaintext of any client input before it is included in a block in the chain’s common-prefix. Thus, input ordering attacks that depend on observing pending client inputs in the clear are no longer possible. In FairPoS, this is achieved via Delay Encryption (DeFeo et al., EUROCRYPT 2021), a recent cryptographic primitive related to time-lock puzzles, allowing all client inputs in a given round to be encrypted under a key that can only be extracted after enough time has elapsed. In contrast to alternative approaches, the key extraction task in delay encryption can, in principle, be performed by any party in the permissionless setting and requires no distribution of secret key material amongst authenticated parties. However, key extraction requires highly specialized hardware in practice. Thus, FairPoS requires resource-rich staking parties to insert extracted keys into blocks, enabling light-clients to decrypt past inputs and relieving parties who join the execution from decrypting all inputs in the entire chain history. Realizing this in proof-of-stake is non-trivial; naive application of key extraction to proof-of-stake can result in chain stalls lasting the entire key extraction period. We overcome this challenge with a novel key extraction protocol, which tolerates adversarial delays in block delivery intended to prevent key extraction from completing on schedule. Critically, this also enables the adoption of a new longest-extendable-chain rule which allows FairPoS to achieve the same guarantees as Ouroborous Praos against an adaptive adversary.

Cite as

James Hsin-yu Chiang, Bernardo David, Ittay Eyal, and Tiantian Gong. FairPoS: Input Fairness in Permissionless Consensus. In 5th Conference on Advances in Financial Technologies (AFT 2023). Leibniz International Proceedings in Informatics (LIPIcs), Volume 282, pp. 10:1-10:23, Schloss Dagstuhl – Leibniz-Zentrum für Informatik (2023)

Copy BibTex To Clipboard

@InProceedings{chiang_et_al:LIPIcs.AFT.2023.10,
  author =	{Chiang, James Hsin-yu and David, Bernardo and Eyal, Ittay and Gong, Tiantian},
  title =	{{FairPoS: Input Fairness in Permissionless Consensus}},
  booktitle =	{5th Conference on Advances in Financial Technologies (AFT 2023)},
  pages =	{10:1--10:23},
  series =	{Leibniz International Proceedings in Informatics (LIPIcs)},
  ISBN =	{978-3-95977-303-4},
  ISSN =	{1868-8969},
  year =	{2023},
  volume =	{282},
  editor =	{Bonneau, Joseph and Weinberg, S. Matthew},
  publisher =	{Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik},
  address =	{Dagstuhl, Germany},
  URL =		{https://drops-dev.dagstuhl.de/entities/document/10.4230/LIPIcs.AFT.2023.10},
  URN =		{urn:nbn:de:0030-drops-191990},
  doi =		{10.4230/LIPIcs.AFT.2023.10},
  annote =	{Keywords: Front-running, Delay Encryption, Proof-of-Stake, Blockchain}
}

Document

DOI: 10.4230/LIPIcs.AFT.2023.11

Correlated-Output Differential Privacy and Applications to Dark Pools

Authors: James Hsin-yu Chiang, Bernardo David, Mariana Gama, and Christian Janos Lebeda

Published in: LIPIcs, Volume 282, 5th Conference on Advances in Financial Technologies (AFT 2023)

Abstract

In the classical setting of differential privacy, a privacy-preserving query is performed on a private database, after which the query result is released to the analyst; a differentially private query ensures that the presence of a single database entry is protected from the analyst’s view. In this work, we contribute the first definitional framework for differential privacy in the trusted curator setting (Fig. 1); clients submit private inputs to the trusted curator, which then computes individual outputs privately returned to each client. The adversary is more powerful than the standard setting; it can corrupt up to n-1 clients and subsequently decide inputs and learn outputs of corrupted parties. In this setting, the adversary also obtains leakage from the honest output that is correlated with a corrupted output. Standard differentially private mechanisms protect client inputs but do not mitigate output correlation leaking arbitrary client information, which can forfeit client privacy completely. We initiate the investigation of a novel notion of correlated-output differential privacy to bound the leakage from output correlation in the trusted curator setting. We define the satisfaction of both standard and correlated-output differential privacy as round differential privacy and highlight the relevance of this novel privacy notion to all application domains in the trusted curator model. We explore round differential privacy in traditional "dark pool" market venues, which promise privacy-preserving trade execution to mitigate front-running; privately submitted trade orders and trade execution are kept private by the trusted venue operator. We observe that dark pools satisfy neither classic nor correlated-output differential privacy; in markets with low trade activity, the adversary may trivially observe recurring, honest trading patterns, and anticipate and front-run future trades. In response, we present the first round differentially private market mechanisms that formally mitigate information leakage from all trading activity of a user. This is achieved with fuzzy order matching, inspired by the standard randomized response mechanism; however, this also introduces a liquidity mismatch as buy and sell orders are not guaranteed to execute pairwise, thereby weakening output correlation; this mismatch is compensated for by a round differentially private liquidity provider mechanism, which freezes a noisy amount of assets from the liquidity provider for the duration of a privacy epoch, but leaves trader balances unaffected. We propose oblivious algorithms for realizing our proposed market mechanisms with secure multi-party computation (MPC) and implement these in the Scale-Mamba Framework using Shamir Secret Sharing based MPC. We demonstrate practical, round differentially private trading with comparable throughput as prior work implementing (traditional) dark pool algorithms in MPC; our experiments demonstrate practicality for both traditional finance and decentralized finance settings.

Cite as

James Hsin-yu Chiang, Bernardo David, Mariana Gama, and Christian Janos Lebeda. Correlated-Output Differential Privacy and Applications to Dark Pools. In 5th Conference on Advances in Financial Technologies (AFT 2023). Leibniz International Proceedings in Informatics (LIPIcs), Volume 282, pp. 11:1-11:23, Schloss Dagstuhl – Leibniz-Zentrum für Informatik (2023)

Copy BibTex To Clipboard

@InProceedings{chiang_et_al:LIPIcs.AFT.2023.11,
  author =	{Chiang, James Hsin-yu and David, Bernardo and Gama, Mariana and Lebeda, Christian Janos},
  title =	{{Correlated-Output Differential Privacy and Applications to Dark Pools}},
  booktitle =	{5th Conference on Advances in Financial Technologies (AFT 2023)},
  pages =	{11:1--11:23},
  series =	{Leibniz International Proceedings in Informatics (LIPIcs)},
  ISBN =	{978-3-95977-303-4},
  ISSN =	{1868-8969},
  year =	{2023},
  volume =	{282},
  editor =	{Bonneau, Joseph and Weinberg, S. Matthew},
  publisher =	{Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik},
  address =	{Dagstuhl, Germany},
  URL =		{https://drops-dev.dagstuhl.de/entities/document/10.4230/LIPIcs.AFT.2023.11},
  URN =		{urn:nbn:de:0030-drops-192003},
  doi =		{10.4230/LIPIcs.AFT.2023.11},
  annote =	{Keywords: Differential Privacy, Secure Multi-party Computation, Dark Pools, Decentralized Finance}
}

Document

DOI: 10.4230/LIPIcs.AFT.2023.12

SoK: Privacy-Enhancing Technologies in Finance

Authors: Carsten Baum, James Hsin-yu Chiang, Bernardo David, and Tore Kasper Frederiksen

Published in: LIPIcs, Volume 282, 5th Conference on Advances in Financial Technologies (AFT 2023)

Abstract

Recent years have seen the emergence of practical advanced cryptographic tools that not only protect data privacy and authenticity, but also allow for jointly processing data from different institutions without sacrificing privacy. The ability to do so has enabled implementations of a number of traditional and decentralized financial applications that would have required sacrificing privacy or trusting a third party. The main catalyst of this revolution was the advent of decentralized cryptocurrencies that use public ledgers to register financial transactions, which must be verifiable by any third party, while keeping sensitive data private. Zero Knowledge (ZK) proofs rose to prominence as a solution to this challenge, allowing for the owner of sensitive data (e.g. the identities of users involved in an operation) to convince a third party verifier that a certain operation has been correctly executed without revealing said data. It quickly became clear that performing arbitrary computation on private data from multiple sources by means of secure Multiparty Computation (MPC) and related techniques allows for more powerful financial applications, also in traditional finance. In this SoK, we categorize the main traditional and decentralized financial applications that can benefit from state-of-the-art Privacy-Enhancing Technologies (PETs) and identify design patterns commonly used when applying PETs in the context of these applications. In particular, we consider the following classes of applications: 1. Identity Management, KYC & AML; 2. Markets & Settlement; 3. Legal; and 4. Digital Asset Custody. We examine how ZK proofs, MPC and related PETs have been used to tackle the main security challenges in each of these applications. Moreover, we provide an assessment of the technological readiness of each PET in the context of different financial applications according to the availability of: theoretical feasibility results, preliminary benchmarks (in scientific papers) or benchmarks achieving real-world performance (in commercially deployed solutions). Finally, we propose future applications of PETs as Fintech solutions to currently unsolved issues. While we systematize financial applications of PETs at large, we focus mainly on those applications that require privacy preserving computation on data from multiple parties.

Cite as

Carsten Baum, James Hsin-yu Chiang, Bernardo David, and Tore Kasper Frederiksen. SoK: Privacy-Enhancing Technologies in Finance. In 5th Conference on Advances in Financial Technologies (AFT 2023). Leibniz International Proceedings in Informatics (LIPIcs), Volume 282, pp. 12:1-12:30, Schloss Dagstuhl – Leibniz-Zentrum für Informatik (2023)

Copy BibTex To Clipboard

@InProceedings{baum_et_al:LIPIcs.AFT.2023.12,
  author =	{Baum, Carsten and Chiang, James Hsin-yu and David, Bernardo and Frederiksen, Tore Kasper},
  title =	{{SoK: Privacy-Enhancing Technologies in Finance}},
  booktitle =	{5th Conference on Advances in Financial Technologies (AFT 2023)},
  pages =	{12:1--12:30},
  series =	{Leibniz International Proceedings in Informatics (LIPIcs)},
  ISBN =	{978-3-95977-303-4},
  ISSN =	{1868-8969},
  year =	{2023},
  volume =	{282},
  editor =	{Bonneau, Joseph and Weinberg, S. Matthew},
  publisher =	{Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik},
  address =	{Dagstuhl, Germany},
  URL =		{https://drops-dev.dagstuhl.de/entities/document/10.4230/LIPIcs.AFT.2023.12},
  URN =		{urn:nbn:de:0030-drops-192019},
  doi =		{10.4230/LIPIcs.AFT.2023.12},
  annote =	{Keywords: DeFi, Anti-money laundering, MPC, FHE, identity management, PETs}
}

35 Search Results for "Bonneau, Joseph"

Abstract

Cite as

Abstract

Cite as

Abstract

Cite as

Abstract

Cite as

Abstract

Cite as

Abstract

Cite as

Abstract

Cite as

Abstract

Cite as

Abstract

Cite as

Abstract

Cite as

Abstract

Cite as

Abstract

Cite as

Abstract

Cite as

Abstract

Cite as

Thanks for your feedback!

Could not send message