Parikaupankäyntimahdollisuuksien hyödyntäminen maksimaalisen poimittavan arvon poimintatapana Ethereum verkossa

Abstract

Maximal Extractable Value (MEV) refers to a maximum value block producers can extract from an Ethereum block by reordering, inserting, or censoring transactions. Pair trading is an investment strategy which involves identifying two closely related assets and taking simultaneous long and short positions in them. This strategy aims to generate returns by exploiting price disparities between the two assets, regardless of the broader market’s direction. The purpose of this study is to examine whether pair trading opportunities can be used as a Maximal Extractable Value extraction method on Ethereum Network. The study expands on the existing literature on Maximal Extractable Value by analyzing new kind of extraction method. This study analyzes decentralized exchange transactions between September 2022 and September 2023 to determine the applicability of pair trading logic as a Maximal Extractable Value extraction method. Pair trading opportunities are identified from the transactions following methodology of pair trading literature and pair trading strategy is found to be profitable over a long period, while individual opportunities tend to make a loss. The strategy is also found to remain profitable during the collapse of FTX, bankruptcy of Silicon Valley Bank, exploitation of Curve which were periods of increased market distress. The majority of the opportunities are relatively time sensitive with the median entry window for positions lasting for slightly over 10 minutes, and the median position must be held being 16 minutes before the position reverts or diverges. The study does not find unambiguous evidence of pair trading opportunities’ characteristics changing under increased market distress. Similarly, the study does not find competition among MEV searchers for the pair trading opportunities having increasing or decreasing trend during the observation period.