Empirical study reveals new statistical regularities in Uniswap v3's market structure, highlighting implications for liquidity and order flow.
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.
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Nosse et al. (2026) studied this question.
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