News & Events

UK-SPS Seminar 23rd June 2021 - High-Frequency Trading

Title: High-Frequency Trading on Decentralized On-Chain Exchanges
Speaker: Arthur Gervais (Imperial College London)
The Online Seminar was held 23rd June 2021 (3pm - 4pm) Speaker Arthur Gervais (Imperial College London)
Recording available in link below via YouTube:

Abstract: Decentralized exchanges (DEXs) allow parties to participate in financial markets while retaining full custody of their funds. However, the transparency of blockchain-based DEX in combination with the latency for transactions to be processed, makes market-manipulation feasible. For instance, adversaries could perform front-running–the practice of exploiting (typically non-public) information that may change the price of an asset for financial gain. In this talk we formalize, analytically exposit and empirically evaluate an augmented variant of front-running: sandwich attacks, which involve front-and back-running victim transactions on a blockchain-based DEX. We quantify the probability of an adversarial trader being able to undertake the attack, based on the relative positioning of a transaction within a blockchain block. We find that a single adversarial trader can earn a daily revenue of over several thousand USD when performing sandwich attacks on one particular DEX–Uniswap, an exchange with over 5M USD daily trading volume by June 2020. In addition to a single-adversary game, we simulate the outcome of sandwich attacks under multiple competing adversaries, to account for the real-world trading environment.

(The talk was based on a paper at IEEE Symposium on Security & Privacy (S&P) 2021. The preprint is available:

Bio: Arthur Gervais is a Lecturer (equivalent Assistant Professor) at Imperial College London. He's passionate about information security and worked since 2012 on blockchain related topics, with a recent focus on Decentralized Finance (DeFi).


Please feel free to forward to others who might be interested. 


UK-SPS is an inter-university seminar series on cyber security and privacy. Seminar details are also advertised on our websitecalendar and Twitter, and recordings will be available on our YouTube channel afterwards. 

Last modified: Tue, 27 Jul 2021 10:19:27 BST