发表机构
The Hong Kong Polytechnic University; Hefei University of Technology（香港理工大学; 合肥工业大学）
机构由 AI 辅助整理，请以论文原文为准。AI 中文总结
本文首次系统量化Arbitrum上的高频交换（HFS）现象，基于18个月全链数据构建可复现流水线，识别出477个交换者完成近3000万次交换，并揭示其区别于传统零售与套利的结构规律。
AI 中文摘要
二层汇总（Layer-2 rollups）通过用确定性排序、亚秒级出块时间和可忽略的燃料费取代内存池竞争，重塑了以太坊的交易经济。虽然这些特性抑制了经典的矿工/最大可提取价值（MEV），但它们催生了一种新的、此前未被识别的行为模式。在本文中，我们引入了高频交换（High-Frequency Swapping, HFS）的概念，指在去中心化交易所内以机器节奏进行的连续单跳交换。尽管其足迹日益增长，但这一现象在先前的工作中尚未被系统性地识别或量化。我们使用18个月的全链数据（2023年1月至2024年6月），对Arbitrum上的HFS进行了大规模测量。具体而言，我们构建了一个可复现的流水线，用于隔离自愿的单次交换交易，将其归因于交换者层面，并通过到达间隔动态对HFS行为进行分类。分析揭示了477个不同的HFS交换者，负责近3000万次交换和超过$10^{11}$美元的名义交易量。我们的研究从多个角度对HFS进行了全面的实证调查。我们首先对活动模式进行全局概览，然后考察时间动态、交换者身份、代币覆盖范围和场所集中度，并探讨交换规模、时间间隔和订单方向。最后，我们探索案例级行为，包括稳定币套利、CEX-DEX执行差距和短周期往返交易。在这些维度中，我们识别出一致的结构规律，将HFS与传统零售或套利活动区分开来。这项工作提供了Arbitrum上高频交换的大规模地址级实证特征描述，并为未来去中心化市场微观结构研究提供了广泛的实证基础。
英文摘要
Layer-2 rollups have reshaped Ethereum's transaction economy by replacing mempool competition with deterministic sequencing, sub-second block times, and negligible gas fees. While these properties suppress classical Miner/Maximal Extractable Value (MEV), they give rise to a new and previously unrecognized behavioral regime. In this paper, we introduce the concept of High-Frequency Swapping (HFS), referring to continuous single-hop swaps at machine cadence within decentralized exchanges. Despite its growing footprint, this phenomenon has not been systematically identified or quantified in prior work. We conduct a large-scale measurement of HFS on Arbitrum, using 18 months of full-chain data (Jan. 2023--Jun. 2024). Specifically, we construct a reproducible pipeline that isolates voluntary single-swap transactions, attributes them to the swapper level, and classifies HFS behavior through inter-arrival dynamics. The analysis uncovers 477 distinct HFS swappers responsible for nearly 30 million swaps and over $10^{11}$ USD in notional volume. Our study conducts a comprehensive empirical investigation of HFS from multiple perspectives. We begin with a global overview of activity patterns, and then examine temporal dynamics, swapper identity, token coverage, and venue concentration, and explore swap size, time gap, and order direction. Finally, we explore case-level behavior, including stablecoin arbitrage, CEX-DEX execution gaps, and short-horizon round-trip trading. Across these dimensions, we identify consistent structural regularities that distinguish HFS from conventional retail or arbitrage activity. This work provides a large-scale address-level empirical characterization of High-Frequency Swapping on Arbitrum and a broad empirical foundation for future research on decentralized market microstructure.
