Deviations from tradition: stylized facts in the era of DeFi

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Authors: Daniele Maria Di Nosse, Federico Gatta, Fabrizio Lillo, Sebastian Jaimungal
Cited by: 0
References: 44

Abstract

Decentralized Exchanges (DEXs) are now a significant component of the financial world where billions of dollars are traded daily. Differently from traditional markets, which are typically based on Limit Order Books, DEXs typically work as Automated Market Makers, and, since the implementation of Uniswap v3, feature concentrated liquidity. By investigating the twenty-four most active pools in Uniswap v3 during 2023 and 2024, we empirically study how this structural change in the organization of the markets modifies the well-studied stylized facts of prices, liquidity, and order flow observed in traditional markets. We find a series of new statistical regularities in the distributions and cross-autocorrelation functions of these variables that we are able to associate either with the market structure (e.g. the execution of orders in blocks) or with the intense activity of Maximal Extractable Value searchers, such as Just-in-Time liquidity providers and sandwich attackers.

Fields of Study & Subjects

Complex Systems and Time Series Analysis Financial Markets and Investment Strategies Sports Analytics and Performance

Publication details

Journal / source
Quantitative Finance
Publisher
Informa UK Limited
Volume
26
Issue
8
Pages
1231–1252
Publication date
27 July 2026
Language
EN