2026-08-06T13:43:11Z https://drops.dagstuhl.de/oai

oai:drops-oai.dagstuhl.de:20954 2024-09-16T10:19:09Z ddc:004 open_access

Loss-Versus-Fair: Efficiency of Dutch Auctions on Blockchains Moallemi, Ciamac C. Robinson, Dan Dutch auctions blockchain decentralized finance Milionis et al. (2023) studied the rate at which automated market makers leak value to arbitrageurs when block times are discrete and follow a Poisson process, and where the risky asset price follows a geometric Brownian motion. We extend their model to analyze another popular mechanism in decentralized finance for onchain trading: Dutch auctions. We compute the expected losses that a seller incurs to arbitrageurs and expected time-to-fill for Dutch auctions as a function of starting price, volatility, decay rate, and average interblock time. We also extend the analysis to gradual Dutch auctions, a variation on Dutch auctions for selling tokens over time at a continuous rate. We use these models to explore the tradeoff between speed of execution and quality of execution, which could help inform practitioners in setting parameters for starting price and decay rate on Dutch auctions, or help platform designers determine performance parameters like block times. Schloss Dagstuhl – Leibniz-Zentrum für Informatik Ciamac C. Moallemi and Dan Robinson 2024 Is Part Of LIPIcs, Volume 316, 6th Conference on Advances in Financial Technologies (AFT 2024) InProceedings Text doc-type:ResearchArticle publishedVersion application/pdf doi:10.4230/LIPIcs.AFT.2024.18 urn:nbn:de:0030-drops-209541 https://drops.dagstuhl.de/entities/document/10.4230/LIPIcs.AFT.2024.18 eng https://creativecommons.org/licenses/by/4.0/legalcode