An Improved Algorithm to Identify More Arbitrage Opportunities on Decentralized Exchanges
In decentralized exchanges (DEXs), the arbitrage paths exist abundantly in the form of both arbitrage loops (e.g. the arbitrage path starts from token A and back to token A again in the end, A \rightarrow B \rightarrow, \ldots, \rightarrow A) and non-loops (e.g. the arbitrage path starts from token...
Uložené v:
| Vydané v: | IEEE International Conference on Blockchain and Cryptocurrency (Online) s. 1 - 7 |
|---|---|
| Hlavní autori: | , , , , |
| Médium: | Konferenčný príspevok.. |
| Jazyk: | English |
| Vydavateľské údaje: |
IEEE
27.05.2024
|
| Predmet: | |
| ISSN: | 2832-8906 |
| On-line prístup: | Získať plný text |
| Tagy: |
Pridať tag
Žiadne tagy, Buďte prvý, kto otaguje tento záznam!
|
| Abstract | In decentralized exchanges (DEXs), the arbitrage paths exist abundantly in the form of both arbitrage loops (e.g. the arbitrage path starts from token A and back to token A again in the end, A \rightarrow B \rightarrow, \ldots, \rightarrow A) and non-loops (e.g. the arbitrage path starts from token A and stops at a different token N, A \rightarrow B \rightarrow, \ldots, \rightarrow N). The Moore-Bellman-Ford algorithm, often coupled with the "walk to the root" technique, is commonly employed for detecting arbitrage loops in the token graph of decentralized exchanges (DEXs) such as Uniswap. However, a limitation of this algorithm is its ability to recognize only a limited number of arbitrage loops in each run. Additionally, it cannot specify the starting token of the detected arbitrage loops, further constraining its effectiveness in certain scenarios. Another limitation of this algorithm is its incapacity to detect non-loop arbitrage paths between any specified pairs of tokens. In this paper, we develop a new method to solve these problems by combining the line graph and a modified Moore-Bellman-Ford algorithm (MMBF). This method can help to find more arbitrage loops by detecting at least one arbitrage loop starting from any specified tokens in the DEXs and can detect the nonloop arbitrage paths between any pair of tokens. Then, we applied our algorithm to Uniswap V2 and found more arbitrage loops and non-loops indeed compared with applying the Moore-Bellman-Ford (MBF) combined algorithm. The found arbitrage profit by our method in some arbitrage paths can be even as high as one million dollars, far larger than that found by the MBF combined algorithm. Finally, we statistically compare the distribution of arbitrage path lengths and the arbitrage profit detected by both our method and the MBF combined algorithm, and depict how potential arbitrage opportunities change with time by our method. |
|---|---|
| AbstractList | In decentralized exchanges (DEXs), the arbitrage paths exist abundantly in the form of both arbitrage loops (e.g. the arbitrage path starts from token A and back to token A again in the end, A \rightarrow B \rightarrow, \ldots, \rightarrow A) and non-loops (e.g. the arbitrage path starts from token A and stops at a different token N, A \rightarrow B \rightarrow, \ldots, \rightarrow N). The Moore-Bellman-Ford algorithm, often coupled with the "walk to the root" technique, is commonly employed for detecting arbitrage loops in the token graph of decentralized exchanges (DEXs) such as Uniswap. However, a limitation of this algorithm is its ability to recognize only a limited number of arbitrage loops in each run. Additionally, it cannot specify the starting token of the detected arbitrage loops, further constraining its effectiveness in certain scenarios. Another limitation of this algorithm is its incapacity to detect non-loop arbitrage paths between any specified pairs of tokens. In this paper, we develop a new method to solve these problems by combining the line graph and a modified Moore-Bellman-Ford algorithm (MMBF). This method can help to find more arbitrage loops by detecting at least one arbitrage loop starting from any specified tokens in the DEXs and can detect the nonloop arbitrage paths between any pair of tokens. Then, we applied our algorithm to Uniswap V2 and found more arbitrage loops and non-loops indeed compared with applying the Moore-Bellman-Ford (MBF) combined algorithm. The found arbitrage profit by our method in some arbitrage paths can be even as high as one million dollars, far larger than that found by the MBF combined algorithm. Finally, we statistically compare the distribution of arbitrage path lengths and the arbitrage profit detected by both our method and the MBF combined algorithm, and depict how potential arbitrage opportunities change with time by our method. |
| Author | Kraner, Benjamin Yan, Tao Tessone, Claudio J. Zhang, Yu Lin, Jianhong |
| Author_xml | – sequence: 1 givenname: Yu surname: Zhang fullname: Zhang, Yu email: zhangyu@ifi.uzh.ch organization: University of Zurich,BDLT,IfI Department,Zurich,Switzerland – sequence: 2 givenname: Tao surname: Yan fullname: Yan, Tao organization: University of Zurich,BDLT,IfI Department,Zurich,Switzerland – sequence: 3 givenname: Jianhong surname: Lin fullname: Lin, Jianhong organization: University of Zurich,BDLT,IfI Department,Zurich,Switzerland – sequence: 4 givenname: Benjamin surname: Kraner fullname: Kraner, Benjamin organization: University of Zurich,BDLT,IfI Department,Zurich,Switzerland – sequence: 5 givenname: Claudio J. surname: Tessone fullname: Tessone, Claudio J. organization: University of Zurich,BDLT,IfI Department,Zurich,Switzerland |
| BookMark | eNo1kF1LwzAYhaMoOOf-gWD-QOebj6bNZa1TC5Pd6IVXI03fbZEtKWkU56-3oF4dOBweeM4lOfPBIyE3DOaMgb5t6rs617rQcw5czhkoIUXOTshs7EqRg2CqkPyUTHgpeFZqUBdkNgzvACA4Y0rDhLxVnjaHPoZP7Gi134bo0u5AU6BNhz65zZE-h4i0iq1L0WyRrvo-xPThXXI40ODpPdpxGc3efY-MxZfdGb_F4Yqcb8x-wNlfTsnrw-KlfsqWq8emrpaZY4VKGddGS6lbxm3bKc5zIzuLdqOwGC1QomxLEG3JC8uxGIVUiSitUdIyACvFlFz_ch0irvvoDiYe1_9viB9ZBVad |
| ContentType | Conference Proceeding |
| DBID | 6IE 6IL CBEJK RIE RIL |
| DOI | 10.1109/ICBC59979.2024.10634351 |
| DatabaseName | IEEE Electronic Library (IEL) Conference Proceedings IEEE Proceedings Order Plan All Online (POP All Online) 1998-present by volume IEEE Xplore All Conference Proceedings IEEE Electronic Library (IEL) IEEE Proceedings Order Plans (POP All) 1998-Present |
| DatabaseTitleList | |
| Database_xml | – sequence: 1 dbid: RIE name: IEEE Electronic Library (IEL) url: https://ieeexplore.ieee.org/ sourceTypes: Publisher |
| DeliveryMethod | fulltext_linktorsrc |
| EISBN | 9798350316742 |
| EISSN | 2832-8906 |
| EndPage | 7 |
| ExternalDocumentID | 10634351 |
| Genre | orig-research |
| GroupedDBID | 6IE 6IL 6IN AAWTH ABLEC ADZIZ ALMA_UNASSIGNED_HOLDINGS BEFXN BFFAM BGNUA BKEBE BPEOZ CBEJK CHZPO IEGSK OCL RIE RIL |
| ID | FETCH-LOGICAL-i176t-29a9449b12cbd6225a4dcecf6e7798e4e4b803b827c2e767468ee4ca64c100c43 |
| IEDL.DBID | RIE |
| ISICitedReferencesCount | 1 |
| ISICitedReferencesURI | http://www.webofscience.com/api/gateway?GWVersion=2&SrcApp=Summon&SrcAuth=ProQuest&DestLinkType=CitingArticles&DestApp=WOS_CPL&KeyUT=001502281800007&url=https%3A%2F%2Fcvtisr.summon.serialssolutions.com%2F%23%21%2Fsearch%3Fho%3Df%26include.ft.matches%3Dt%26l%3Dnull%26q%3D |
| IngestDate | Wed Aug 27 02:31:03 EDT 2025 |
| IsPeerReviewed | false |
| IsScholarly | false |
| Language | English |
| LinkModel | DirectLink |
| MergedId | FETCHMERGED-LOGICAL-i176t-29a9449b12cbd6225a4dcecf6e7798e4e4b803b827c2e767468ee4ca64c100c43 |
| PageCount | 7 |
| ParticipantIDs | ieee_primary_10634351 |
| PublicationCentury | 2000 |
| PublicationDate | 2024-May-27 |
| PublicationDateYYYYMMDD | 2024-05-27 |
| PublicationDate_xml | – month: 05 year: 2024 text: 2024-May-27 day: 27 |
| PublicationDecade | 2020 |
| PublicationTitle | IEEE International Conference on Blockchain and Cryptocurrency (Online) |
| PublicationTitleAbbrev | ICBC |
| PublicationYear | 2024 |
| Publisher | IEEE |
| Publisher_xml | – name: IEEE |
| SSID | ssj0003211690 |
| Score | 1.8790047 |
| Snippet | In decentralized exchanges (DEXs), the arbitrage paths exist abundantly in the form of both arbitrage loops (e.g. the arbitrage path starts from token A and... |
| SourceID | ieee |
| SourceType | Publisher |
| StartPage | 1 |
| SubjectTerms | Arbitrage Blockchains Cryptocurrency line graph modified Moore-Bellman-Ford algorithm token graph Uniswap V2 |
| Title | An Improved Algorithm to Identify More Arbitrage Opportunities on Decentralized Exchanges |
| URI | https://ieeexplore.ieee.org/document/10634351 |
| WOSCitedRecordID | wos001502281800007&url=https%3A%2F%2Fcvtisr.summon.serialssolutions.com%2F%23%21%2Fsearch%3Fho%3Df%26include.ft.matches%3Dt%26l%3Dnull%26q%3D |
| hasFullText | 1 |
| inHoldings | 1 |
| isFullTextHit | |
| isPrint | |
| link | http://cvtisr.summon.serialssolutions.com/2.0.0/link/0/eLvHCXMwlV07T8MwELagYmACRBFveWBNyeOw47GUVjBQOoBUpiqxLxAJkipNEfDrOTspiIGBxbIsO7HOss_f-b47xs4IGRvSG76HqQ8e2CKFDDwBGRo0dAcJtEs2IcfjeDpVk5as7rgwiOicz7Bnq-4t35R6aU1ltMNFROqdwM66lKIha30bVCKCMgT1Wh-uwFfnN4PLwYVS0vJRQuitRv_Ko-LUyGjrnxPYZt0fQh6ffKuaHbaGxS577Be8sQmg4f2Xp5Jw_vMrr0vesG-zD35LP-D9Ks3ris4Nfje3t-1l4aKo8rLgV9g6Z-af9I3he0MDXnTZw2h4P7j22kwJXh5IUXuhShSASoNQp0bQFk3AaNSZQClVjICQxn6UxqHUIdrwPSJGBJ0I0IHva4j2WKcoC9xnPIsT6p1IRCUAUSswNqBMhgqpbywPWNfKZTZvgmHMViI5_KP9iG1a6dsH91Aes05dLfGEbei3Ol9Up24JvwDQ253S |
| linkProvider | IEEE |
| linkToHtml | http://cvtisr.summon.serialssolutions.com/2.0.0/link/0/eLvHCXMwlV3NT8IwFG8MmuhJjRi_7cHrcB-Pdj0iQiACcsAET2Rr33QJbmQMo_71ttvAePDgpWmafqVN-_p7fb_3CLnRyFhpuWFbGNpggUlCiMBiEKFCpd8gjiyCTfDRyJ9OxbgiqxdcGEQsjM-wYbLFX75K5cqoyvQJZ54W7xrsbDcBXLuka21UKp4GMxrsVVZcji1u--27dlMIbhgpLjTW7X9FUikESXf_n1M4IPUfSh4db4TNIdnC5Ig8txJaagVQ0db8JdVI__WN5ikt-bfRJx3qAWgrC-M80zcHfVyY9_YqKfyo0jSh91iZZ8Zfuo_OR0kEXtbJU7czafesKlaCFTuc5ZYrAgEgQseVoWL6kAagJMqIIefCR0AIfdsLfZdLF40DH-YjggwYSMe2JXjHpJakCZ4QGvmBrh1wRMEAUQpQxqVMhAJ1XZ-fkrpZl9midIcxWy_J2R_l12S3NxkOZoP-6OGc7JmdMN_vLr8gtTxb4SXZke95vMyuiu38BjURoRk |
| openUrl | ctx_ver=Z39.88-2004&ctx_enc=info%3Aofi%2Fenc%3AUTF-8&rfr_id=info%3Asid%2Fsummon.serialssolutions.com&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Abook&rft.genre=proceeding&rft.title=IEEE+International+Conference+on+Blockchain+and+Cryptocurrency+%28Online%29&rft.atitle=An+Improved+Algorithm+to+Identify+More+Arbitrage+Opportunities+on+Decentralized+Exchanges&rft.au=Zhang%2C+Yu&rft.au=Yan%2C+Tao&rft.au=Lin%2C+Jianhong&rft.au=Kraner%2C+Benjamin&rft.date=2024-05-27&rft.pub=IEEE&rft.eissn=2832-8906&rft.spage=1&rft.epage=7&rft_id=info:doi/10.1109%2FICBC59979.2024.10634351&rft.externalDocID=10634351 |