In a Futures-Exchange, such as the Chicago Mercantile Exchange, traders buy and sell contractual promises (futures) to acquire or deliver, at some future pre-specified date, assets ranging from wheat to crude oil and from bacon to cash in a desired currency. The interactions between economic and security properties and the exchange's essentially non-monotonic security behavior; a valid trader's valid action can invalidate other traders' previously valid positions, are a challenge for security research. We show the security properties that guarantee an Exchange's economic viability (availability of trading information, liquidity, confidentiality of positions, absence of price discrimination, risk-management) and an attack when traders' anonymity is broken. We describe all key operations for a secure, fully distributed Futures-Exchange, hereafter referred to as simply the 'Exchange'. Our distributed, asynchronous protocol simulates the centralized functionality under the assumptions of anonymity of the physical layer and availability of a distributed ledger. We consider security with abort (in absence of honest majority) and extend it to penalties. Our proof of concept implementation and its optimization (based on zk-SNARKs and SPDZ) demonstrate that the computation of actual trading days (along Thomson-Reuters Tick History DB) is feasible for low-frequency markets; however, more research is needed for high-frequency ones.
FuturesMEX: Secure, Distributed Futures Market Exchange / Massacci, Fabio; Nam Ngo, Chan; Nie, Jing; Venturi, Daniele; Williams, Julian. - (2018). ((Intervento presentato al convegno IEEE Symposium on Security and Privacy tenutosi a San Francisco.
|Titolo:||FuturesMEX: Secure, Distributed Futures Market Exchange|
|Data di pubblicazione:||2018|
|Citazione:||FuturesMEX: Secure, Distributed Futures Market Exchange / Massacci, Fabio; Nam Ngo, Chan; Nie, Jing; Venturi, Daniele; Williams, Julian. - (2018). ((Intervento presentato al convegno IEEE Symposium on Security and Privacy tenutosi a San Francisco.|
|Appartiene alla tipologia:||04b Atto di convegno in volume|