发表机构
Institute of Statistics, National Chung Hsing University（国立中兴大学统计研究所）
机构由 AI 辅助整理，请以论文原文为准。AI 中文总结
本研究探讨自动做市商中策略选择交易磁带的排名认证问题，提出置信集方法以在隐藏机会下认证符号或弃权，并指出实际排名可能未被认证。
AI 中文摘要
可编程匹配机制决定哪些订单成为数据。因此，从机制自身的交易磁带计算的损失度量将执行质量与选择混合在一起。我们研究了在隐藏机会和抽样不确定性下，由策略选择的标记交易磁带得出的每服务损失排名何时可以被符号认证。磁带识别出一个选定的补偿器，$e^{\pi_0}\nu^\circ$，加上鞅波动；它不能识别隐藏机会的构成。我们给出了一个精确的原生双磁带非识别构造、尖锐的带符号隐藏质量排名区域，以及基于投影的置信集，该置信集通过区域分母筛选来认证一个符号或弃权（不执行）。在一个为期两年的WETH-USDC应用中，点估计对池进行排序，但描述性的跨池排名未被符号认证。所报告的比较是选定磁带的排名，而非动态机制的反事实。
英文摘要
Public blockchains can make many trading venues simultaneously visible and mechanically reachable, yet an order still has to pay to activate each additional venue: technological connectivity need not translate into economically integrated execution. Automated-market-maker (AMM) pools make this gap directly measurable, because exact pre-trade venue states, transaction-level routing costs, and realized venue use can be reconstructed jointly from public blockchain records. Using 13,768 sampled family-transactions from 29 Ethereum and Base token-pair families and 71 sibling pools, we document a sharp compression from gross to net execution opportunity: the equal-chain lower bound on gross multi-venue gains is 34.85%, while the corresponding upper bound after measured access costs is 6.89%, as access costs eliminate 80.45% of point-identified states with positive gross gains. Realized routing shows a distinct second contrast: actual multi-pool activation occurs in only 1.203% of the opportunity population, yet among 170 eligible realized integrated routes, observed allocation captures 94.8% of aggregate feasible gain. Holding recipient orders and exact venue states fixed, replacing the Ethereum routing-cost regime with Base's lower-cost regime materially expands executable integration under both state populations. For digital-market design, the results imply that blockchain scaling, cross-venue connectivity, and displayed liquidity do not by themselves establish economically integrated execution: integration is an order-specific property that depends on transaction-level access costs.
CommentsRevised version with updated title and manuscript
