Agostino Capponi is an Associate Professor of Industrial Engineering and Operations Research at Columbia University, where he is also the founding director of the the Center for Digital Finance and Technologies and a member of the Data Science Institute. Agostino's research interests are in systemic risk, financial stability, economic networks, financial technologies, and socially responsible design of decentralized economies.
Abstract: Trading at decentralized exchanges (DEXs) requires traders to bid blockchain fees to determine the execution priority of their orders. We employ a structural vector-autoregressive (structural VAR) model to provide evidence that DEX trades with high blockchain fees not only reveal more private information, but also respond more to public price innovations on centralized exchanges (CEXs), contributing to price discovery. Using a unique dataset of Ethereum mempool orders, we further demonstrate that high blockchain fees do not result from traders competing with each other on private or public information. Rather, our analysis lends support to the hypothesis that they bid high blockchain fees to reduce the execution risk of their orders due to blockchain crowding.
Papers: https://econ.hkbu.edu.hk/eng/Doc/20221006_%20CAPPONI.pdf
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