{"id":"https://openalex.org/W7154949831","doi":"https://doi.org/10.48550/arxiv.2604.15973","title":"Where Does MEV Really Come From? Revisiting CEXDEX Arbitrage on Ethereum","display_name":"Where Does MEV Really Come From? Revisiting CEXDEX Arbitrage on Ethereum","publication_year":2026,"publication_date":"2026-04-17","ids":{"openalex":"https://openalex.org/W7154949831","doi":"https://doi.org/10.48550/arxiv.2604.15973"},"language":null,"primary_location":{"id":"doi:10.48550/arxiv.2604.15973","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.2604.15973","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Preprint"},"type":"preprint","indexed_in":["datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.48550/arxiv.2604.15973","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5134039199","display_name":"Bence Lad\u00f3czk","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Lad\u00f3czk, Bence","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"middle","author":{"id":"https://openalex.org/A5087944053","display_name":"Mikl\u00f3s R\u00e1sonyi","orcid":"https://orcid.org/0000-0002-3105-4752"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"R\u00e1sonyi, Mikl\u00f3s","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5062012037","display_name":"J\u00e1nos Tapolcai","orcid":"https://orcid.org/0000-0002-3512-9504"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Tapolcai, J\u00e1nos","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10270","display_name":"Blockchain Technology Applications and Security","score":0.6193000078201294,"subfield":{"id":"https://openalex.org/subfields/1710","display_name":"Information Systems"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},"topics":[{"id":"https://openalex.org/T10270","display_name":"Blockchain Technology Applications and Security","score":0.6193000078201294,"subfield":{"id":"https://openalex.org/subfields/1710","display_name":"Information Systems"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.07989999651908875,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11437","display_name":"Digital Platforms and Economics","score":0.07509999722242355,"subfield":{"id":"https://openalex.org/subfields/1408","display_name":"Strategy and Management"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/arbitrage","display_name":"Arbitrage","score":0.7368000149726868},{"id":"https://openalex.org/keywords/geometric-brownian-motion","display_name":"Geometric Brownian motion","score":0.7257999777793884},{"id":"https://openalex.org/keywords/stochastic-differential-equation","display_name":"Stochastic differential equation","score":0.5212000012397766},{"id":"https://openalex.org/keywords/asset","display_name":"Asset (computer security)","score":0.4498000144958496},{"id":"https://openalex.org/keywords/heuristic","display_name":"Heuristic","score":0.42289999127388},{"id":"https://openalex.org/keywords/markov-chain","display_name":"Markov chain","score":0.41019999980926514},{"id":"https://openalex.org/keywords/brownian-motion","display_name":"Brownian motion","score":0.4058000147342682},{"id":"https://openalex.org/keywords/function","display_name":"Function (biology)","score":0.40549999475479126},{"id":"https://openalex.org/keywords/scale","display_name":"Scale (ratio)","score":0.3982999920845032},{"id":"https://openalex.org/keywords/ergodic-theory","display_name":"Ergodic theory","score":0.39320001006126404}],"concepts":[{"id":"https://openalex.org/C160623529","wikidata":"https://www.wikidata.org/wiki/Q273088","display_name":"Arbitrage","level":2,"score":0.7368000149726868},{"id":"https://openalex.org/C101615488","wikidata":"https://www.wikidata.org/wiki/Q1503307","display_name":"Geometric Brownian motion","level":4,"score":0.7257999777793884},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5275999903678894},{"id":"https://openalex.org/C51955184","wikidata":"https://www.wikidata.org/wiki/Q1545585","display_name":"Stochastic differential equation","level":2,"score":0.5212000012397766},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.46880000829696655},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.4498000144958496},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.42570000886917114},{"id":"https://openalex.org/C173801870","wikidata":"https://www.wikidata.org/wiki/Q201413","display_name":"Heuristic","level":2,"score":0.42289999127388},{"id":"https://openalex.org/C98763669","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov chain","level":2,"score":0.41019999980926514},{"id":"https://openalex.org/C112401455","wikidata":"https://www.wikidata.org/wiki/Q178036","display_name":"Brownian motion","level":2,"score":0.4058000147342682},{"id":"https://openalex.org/C14036430","wikidata":"https://www.wikidata.org/wiki/Q3736076","display_name":"Function (biology)","level":2,"score":0.40549999475479126},{"id":"https://openalex.org/C2778755073","wikidata":"https://www.wikidata.org/wiki/Q10858537","display_name":"Scale (ratio)","level":2,"score":0.3982999920845032},{"id":"https://openalex.org/C122044880","wikidata":"https://www.wikidata.org/wiki/Q5498822","display_name":"Ergodic theory","level":2,"score":0.39320001006126404},{"id":"https://openalex.org/C159886148","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov process","level":2,"score":0.37720000743865967},{"id":"https://openalex.org/C201779956","wikidata":"https://www.wikidata.org/wiki/Q5426803","display_name":"Ergodicity","level":2,"score":0.35510000586509705},{"id":"https://openalex.org/C182306322","wikidata":"https://www.wikidata.org/wiki/Q1779371","display_name":"Order (exchange)","level":2,"score":0.35359999537467957},{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.3447999954223633},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3343999981880188},{"id":"https://openalex.org/C134121241","wikidata":"https://www.wikidata.org/wiki/Q899301","display_name":"Yield (engineering)","level":2,"score":0.3183000087738037},{"id":"https://openalex.org/C8272713","wikidata":"https://www.wikidata.org/wiki/Q176737","display_name":"Stochastic process","level":2,"score":0.3009999990463257},{"id":"https://openalex.org/C99498987","wikidata":"https://www.wikidata.org/wiki/Q2210247","display_name":"Noise (video)","level":3,"score":0.29820001125335693},{"id":"https://openalex.org/C2776291640","wikidata":"https://www.wikidata.org/wiki/Q2912517","display_name":"Value (mathematics)","level":2,"score":0.29739999771118164},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.2903999984264374},{"id":"https://openalex.org/C143724316","wikidata":"https://www.wikidata.org/wiki/Q312468","display_name":"Series (stratigraphy)","level":2,"score":0.2881999909877777},{"id":"https://openalex.org/C2777600642","wikidata":"https://www.wikidata.org/wiki/Q1508707","display_name":"Call option","level":2,"score":0.27869999408721924},{"id":"https://openalex.org/C127491075","wikidata":"https://www.wikidata.org/wiki/Q7617825","display_name":"Stochastic modelling","level":2,"score":0.27250000834465027},{"id":"https://openalex.org/C110121322","wikidata":"https://www.wikidata.org/wiki/Q865811","display_name":"Distribution (mathematics)","level":2,"score":0.27230000495910645},{"id":"https://openalex.org/C2776988154","wikidata":"https://www.wikidata.org/wiki/Q66100","display_name":"Exchange rate","level":2,"score":0.2712000012397766},{"id":"https://openalex.org/C149441793","wikidata":"https://www.wikidata.org/wiki/Q200726","display_name":"Probability distribution","level":2,"score":0.26420000195503235},{"id":"https://openalex.org/C126780896","wikidata":"https://www.wikidata.org/wiki/Q899871","display_name":"Distortion (music)","level":4,"score":0.2630999982357025},{"id":"https://openalex.org/C141042865","wikidata":"https://www.wikidata.org/wiki/Q200125","display_name":"Expected value","level":2,"score":0.25870001316070557},{"id":"https://openalex.org/C175223733","wikidata":"https://www.wikidata.org/wiki/Q1047888","display_name":"Spot contract","level":3,"score":0.2538999915122986}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.48550/arxiv.2604.15973","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.2604.15973","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":null,"is_accepted":false,"is_published":null,"raw_source_name":null,"raw_type":"Preprint"}],"best_oa_location":{"id":"doi:10.48550/arxiv.2604.15973","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.2604.15973","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Preprint"},"sustainable_development_goals":[{"id":"https://metadata.un.org/sdg/15","display_name":"Life in Land","score":0.47982874512672424}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":0,"referenced_works":[],"related_works":[],"abstract_inverted_index":{"A":[0],"central":[1],"question":[2],"of":[3,46,83,87,169],"the":[4,44,69,81,84,102,141,163,167,198,212,235,240,244,268],"Ethereum":[5,236],"ecosystem":[6],"is":[7,25,166,216],"where":[8,120],"Maximal":[9],"Extractable":[10],"Value":[11],"(MEV)revenue":[12],"originates":[13],"and":[14,34,91,115,173,196,230,238,257],"to":[15,95,148,190,243],"what":[16],"extent":[17],"it":[18],"stems":[19],"from":[20,30,234,250],"harming":[21],"unsuspecting":[22],"users.":[23],"It":[24],"acceptable":[26],"if":[27],"MEV":[28],"arises":[29],"arbitrages":[31,76],"between":[32],"centralised":[33],"decentralised":[35],"exchanges":[36],"(CEX-DEX).":[37],"Yet":[38],"theoretical":[39,70,261],"models":[40,100],"have":[41,52,178],"significantly":[42],"underestimated":[43],"scale":[45],"these":[47,58],"arbitrages,":[48],"while":[49],"empirical":[50,255],"studies":[51],"highlighted":[53],"their":[54],"importance":[55],"-":[56,109,114],"though":[57],"remain":[59],"conservative":[60],"estimates,":[61],"constrained":[62],"by":[63,134],"numerous":[64],"debatable":[65],"heuristic":[66],"assumptions.":[67],"Revisiting":[68],"model,":[71],"we":[72,154],"found":[73],"that":[74,129,176,211],"CEX-DEX":[75],"require":[77],"trading":[78],"volumes":[79],"on":[80],"order":[82],"total":[85],"activity":[86],"major":[88],"liquidity":[89],"pools":[90],"yield":[92],"profits":[93,133],"comparable":[94],"MEV.":[96],"Most":[97],"prior":[98],"AMM":[99,159,231],"utilised":[101],"Black-Scholes":[103],"(BS)":[104],"stochastic":[105,174],"differential":[106],"equation":[107],"(SDE)":[108],"i.e.,":[110],"geometric":[111,206],"Brownian":[112],"motion":[113],"assumed":[116],"continuous":[117],"price":[118,136,164],"trajectories":[119],"asset":[121],"prices":[122,229],"move":[123],"in":[124,161,225,267],"small":[125],"increments":[126],"only.We":[127],"argue":[128],"BS":[130],"underestimates":[131],"arbitrage":[132,145],"ignoring":[135],"jumps,":[137],"which":[138,144,162],"are":[139],"precisely":[140],"points":[142],"at":[143],"opportunities":[146],"tend":[147],"arise.":[149],"To":[150],"address":[151],"this":[152,186],"gap,":[153],"present":[155],"an":[156,217],"extended":[157],"discrete-time":[158,194],"model":[160,224,241,252],"process":[165,215],"sum":[168],"a":[170,192,259],"diffusive":[171],"component":[172],"jumps":[175],"can":[177],"arbitrary":[179],"noise":[180],"distributions.":[181],"Although":[182],"mathematically":[183],"more":[184],"involved":[185],"framework":[187],"allows":[188],"us":[189],"employ":[191],"general":[193],"SDE":[195],"compute":[197],"stationary":[199],"probability":[200],"distribution":[201],"via":[202],"function":[203],"iteration":[204],"with":[205],"convergence.":[207],"We":[208,221],"further":[209],"prove":[210],"resulting":[213],"mispricing":[214],"ergodic":[218],"Markov":[219],"chain.":[220],"implement":[222],"our":[223,251],"C++,":[226],"collect":[227],"spot":[228],"exchange":[232],"data":[233],"blockchain":[237,269],"fit":[239],"parameters":[242],"observed":[245],"prices.":[246],"The":[247],"estimates":[248],"derived":[249],"closely":[253],"match":[254],"observations":[256],"provide":[258],"natural":[260],"explanation":[262],"for":[263],"several":[264],"fundamental":[265],"questions":[266],"ecosystem.":[270]},"counts_by_year":[],"updated_date":"2026-07-28T07:46:37.118299","created_date":"2026-04-21T00:00:00"}