A new discrete-time AMM model with diffusive plus jump price processes shows CEX-DEX arbitrage requires volumes comparable to major liquidity pools and produces profits on the scale of total MEV.
Journal of Financial Economics3(1-2), 125–144 (1976)
2 Pith papers cite this work. Polarity classification is still indexing.
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For Gamma-family fits to NYSE volume-price data the shape parameter follows diffusive mean-reverting dynamics while the scale parameter shows dominant jump-diffusion with elevated higher moments, and jumps explain a large share of variance; the log-normal model reverses the pattern.
citing papers explorer
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Where Does MEV Really Come From? Revisiting CEXDEX Arbitrage on Ethereum
A new discrete-time AMM model with diffusive plus jump price processes shows CEX-DEX arbitrage requires volumes comparable to major liquidity pools and produces profits on the scale of total MEV.
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Jump-diffusion models of parametric volume-price distributions
For Gamma-family fits to NYSE volume-price data the shape parameter follows diffusive mean-reverting dynamics while the scale parameter shows dominant jump-diffusion with elevated higher moments, and jumps explain a large share of variance; the log-normal model reverses the pattern.