In Proceedings of the Mathematical Research for Bl
In Proceedings of the Mathematical Research for Blockchain Economy (MARBLE) Year 2024 Peer-reviewed
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Blockchain Security · DeFi

Layer-2 Arbitrage: An Empirical Analysis of Swap Dynamics and Price Disparities on Rollups

Krzysztof Gogol Johnnatan Messias Deborah Miori Claudio Tessone Benjamin Livshits
2024
Publication year
MARBLE
Venue
Peer-reviewed
Type
§ Abstract

Summary

Ethereum Layer-2 rollups have created a fragmented liquidity landscape where the same asset trades at different prices across different rollups, creating opportunities for cross-rollup arbitrage. We present the first empirical analysis of swap dynamics and price disparities across major Ethereum rollups, including Arbitrum, Optimism, zkSync, and Polygon. Analyzing over 100 million swap transactions across six months, we find that arbitrage opportunities are persistent and frequent, with an average price discrepancy of 0.3% between rollups for popular trading pairs. We characterize the behavior of arbitrageurs, finding that a small number of addresses capture the majority of arbitrage profits, suggesting increasing professionalization of cross-rollup MEV extraction.

Cite this paper — BibTeX 
@InProceedings{layer2arbitrageanempiric,
  title = "{Layer-2 Arbitrage: An Empirical Analysis of Swap Dynamics and Price Disparities on Rollups}",
  author = "Krzysztof Gogol and Johnnatan Messias and Deborah Miori and Claudio Tessone and Benjamin Livshits",
  year = "2024",
  month = jul,
  booktitle = "In Proceedings of the Mathematical Research for Blockchain Economy (MARBLE)",
}
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