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内存池信息泄露阈值与三明治攻击盈利性

文章 arXiv papers · 作者: Tingyi Lin et al.
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总结

论文研究私有内存池在三明治攻击变得有利可图之前会泄露多少信息。其模型采用无手续费的恒定乘积自动做市商，并假设攻击者知道代币对和交易方向，但只能看到受害者交易规模所在的一个区间。攻击者通过第一价格拍卖竞标机会，并且必须确保受害者的交易在整个区间内都能执行。

分析发现，区间下界决定哪些抢先交易可行，而且最大的可行抢先交易能使若干指定盈利指标达到最大。论文推导出一个阈值：当隐藏规模信息时，可以排除在所有相符交易规模下都能获利的三明治攻击。结果还涵盖多名对称交易者时的拍卖租金、隐藏交易方向和交易后的套利。这些结论取决于指定的AMM和拍卖假设；不能保证适用于其他市场设计或执行成本。

核心观点

  • 分析模拟针对无手续费恒定乘积自动做市商的三明治攻击。
  • 当交易规模以区间形式泄露时，与之相符的最小规模决定可行的抢先交易。
  • 按论文的逐点、期望和最坏情形盈利标准，最大的可行抢先交易是最优选择。
  • 论文推导出规模泄露阈值，以防止在所有相符规模下均可获利的三明治攻击。
  • 隐藏交易方向可以阻止单一、无条件的首段交易，但交易后的套利仍可能发生。

标签

加密资产市场微观结构交易执行套利去中心化金融
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# How Much Must a Private Mempool Hide? Exact Leakage Thresholds for Sandwich Attacks


# How Much Must a Private Mempool Hide? Exact Leakage Thresholds for Sandwich Attacks









Private and encrypted mempools hide pending transactions to stop sandwich attacks and other forms of maximal extractable value (MEV), but what they hide is rarely everything: a transaction's pair, direction, and a coarse range for its size can still leak. How much leakage makes sandwiching pay? We answer exactly for a fee-free constant-product automated market maker, the pricing rule behind Uniswap v2. Traders observe an interval containing the victim's size and bid in a first-price auction for the right to sandwich it, and the winning front-run must keep the victim's trade executable at every size in the interval. The answer turns on the smallest size consistent with the leak. It alone determines the feasible front-runs, the largest feasible front-run is optimal for pointwise, expected, and worst-case profit alike, and the guaranteed profit has a closed form. When execution is costly, a privacy layer that wants to rule out sandwiches profitable at every consistent size may therefore reveal anything about the size except a lower bound above an explicit threshold; the upper end of the range is irrelevant. With two or more symmetric traders, every pure-strategy perfect Bayesian equilibrium of the auction hands the entire expected net rent to the auctioneer. If the direction is hidden too, no non-contingent first leg front-runs both possible directions, while post-trade arbitrage can survive even perfect pre-trade hiding.

在遵守原作品许可的前提下，附作者信息全文展示。 许可协议: abstract CC0

此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。