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We study equilibrium investment into bidding and latency reduction for different sequencing policies. For a batch auction design, we observe that bidders shade bids according to the likelihood that competing bidders land in the current batch. Moreover, in equilibrium, in the ex-ante investment stage before the auction, bidders invest into latency until they make zero profit in expectation. We compare the batch auction design to continuous time bidding policies (time boost) and observe that (depending on the choice of parameters) they obtain similar revenue and welfare guarantees.

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Transaction Ordering Auctions

  • 会议论文

  • 发表日期：

    2025年

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  • Christoph Schlegel

摘要

We study equilibrium investment into bidding and latency reduction for different sequencing policies. For a batch auction design, we observe that bidders shade bids according to the likelihood that competing bidders land in the current batch. Moreover, in equilibrium, in the ex-ante investment stage before the auction, bidders invest into latency until they make zero profit in expectation. We compare the batch auction design to continuous time bidding policies (time boost) and observe that (depending on the choice of parameters) they obtain similar revenue and welfare guarantees.