Price Discovery on Decentralized Exchanges1

• 成果类型: Article; Early Access
• 署名作者: Capponi, Agostino; Jia, Ruizhe; Yu, Shihao
• 署名单位: Singapore Management University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454; 1465-7368
• DOI: 10.1093/rfs/hhag002
• 发表日期: 2026-04-21
• 关键词: G10; G14; G23; INFORMATION; COMPETITION; auctions

摘要

Decentralized exchanges (DEXs) allow traders to express their willingness to pay for quick execution through a public priority fee bidding mechanism. We provide evidence that high-fee DEX trades are more informative and contribute more to price discovery. Using address-level blockchain transaction data, we show that informed traders persistently bid higher fees to secure early execution, revealing a strong willingness to pay for execution priority. Further, analysis of Ethereum mempool data demonstrates that informed traders employ a jump bidding strategy, placing high initial bids to deter potential competitors.