Imperial College London

ProfessorWilliamKnottenbelt

Faculty of EngineeringDepartment of Computing

Professor of Applied Quantitative Analysis
 
 
 
//

Contact

 

+44 (0)20 7594 8331w.knottenbelt Website

 
 
//

Location

 

E363ACE ExtensionSouth Kensington Campus

//

Summary

 

Publications

Publication Type
Year
to

238 results found

Xiong X, Wang Z, Knottenbelt W, Huth Met al., 2023, Demystifying Just-in-Time (JIT) liquidity attacks on Uniswap V3, 2023 5th Conference on Blockchain Research & Applications for Innovative Networks and Services (BRAINS), Publisher: IEEE, ISSN: 2835-3021

Uniswap is currently the most liquid DecentralizedExchange (DEX) on Ethereum. In May 2021, it upgraded to the third protocol version named Uniswap V3. The key feature update is “concentrated liquidity”, which supports liquidity provision within custom price ranges. However, this design introduces a new type of Miner Extractable Value (MEV) source called Just-in-Time (JIT) liquidity attack, where the adversary mints and burns a liquidity position right before and after a sizable swap. We begin by formally defining the JIT liquidity attack and subsequently conduct empirical measurements on Ethereum. Over a span of 20 months, we identify 36,671 such attacks, which have collectively generated profits of 7,498 ETH. Our analysis suggests that the JIT liquidity attack essentially represents a whales’ game, predominantly controlled by a select few bots. The most active bot, identified as 0xa57...6CF, has managed to amass 92% of the total profit. Furthermore, we find that this attack strategy poses significant entry barriers, as it necessitates adversaries to provide liquidity that is, on average, 269 times greater than the swap volume. In addition, our findings reveal that the JIT liquidity attack exhibits relatively poor pr ofitability, with an average Return On Investment (ROI) of merely 0.007%. We alsofind this type of attack to be detrimental to existing Liquidity Providers (LPs) within the pool, as their shares of liquidity undergo an average dilution of 85%. On the contrary, this attack proves advantageous for liquidity takers, who secure execution prices that are, on average, 0.139% better than before. We further dissect the behaviors of the top MEV bots and evaluate theirstrategies through local simulation. Our observations reveal that the most active bot, 0xa57...6CF, conducted 27% of non-optimal attacks, thereby failing to capture at least 7,766 ETH (equivalent to 16.1M USD) of the potential attack profit.

Conference paper

Wang Z, Cirkovic M, Le D, Knottenbelt W, Cachin Cet al., 2023, Pay less for your privacy: towards cost-effective on-chain mixers, 5th ACM Conference on Advances in Financial Technologies (AFT 2023), Publisher: Schloss Dagstuhl -- Leibniz-Zentrum fuer Informatik, Pages: 16:1-16:25, ISSN: 1868-8969

On-chain mixers, such as Tornado Cash (TC), have become a popular privacy solution for manynon-privacy-preserving blockchain users. These mixers enable users to deposit a fixed amount ofcoins and withdraw them to another address, while effectively reducing the linkability between theseaddresses and securely obscuring their transaction history. However, the high cost of interactingwith existing on-chain mixer smart contracts prohibits standard users from using the mixer, mainlydue to the use of computationally expensive cryptographic primitives. For instance, the deposit costof TC on Ethereum is approximately 1.1m gas (i.e., 66 USD in June 2023), which is 53× higher thanissuing a base transfer transaction.In this work, we introduce the Merkle Pyramid Builder approach, to incrementally build theMerkle tree in an on-chain mixer and update the tree per batch of deposits, which can thereforedecrease the overall cost of using the mixer. Our evaluation results highlight the effectiveness ofthis approach, showcasing a significant reduction of up to 7× in the amortized cost of depositingcompared to state-of-the-art on-chain mixers. Importantly, these improvements are achieved withoutcompromising users’ privacy. Furthermore, we propose the utilization of verifiable computations toshift the responsibility of Merkle tree updates from on-chain smart contracts to off-chain clients,which can further reduce deposit costs. Additionally, our analysis demonstrates that our designsensure fairness by distributing Merkle tree update costs among clients over time.

Conference paper

Bor J, Casale G, Knottenbelt W, Smirni E, Stathopoulos Aet al., 2023, Fitting with matrix exponential mixtures generated by discrete probabilistic scaling, Performance Evaluation Review, Vol: 51, Pages: 15-17, ISSN: 0163-5999

Matrix exponential (ME) distributions generalize phase-type distributions; however, their use in queueing theory is hampered by the difficulty of checking their feasibility. We propose a novel ME fitting algorithm that produces a valid distribution by construction. The ME distribution used during the fitting is a product of independent random variables that are easy to control in isolation. Consequently, the calculation of the CDF and the Mellin transform factorizes, making it possible to use these measures for the fitting without significant restriction on the distribution order. Trace-driven queueing simulations indicate that the resulting distributions yield highly accurate results.

Journal article

Srinivasan P, Subramanian R, Knottenbelt W, 2023, Thinking the GOAT: imitating tennis styles, MIT Sloan Sports Analytics Conference, Publisher: MIT Sloan Sports Analytics Conference

A tactically aware coach is key to improving tennis players’ games; a coach analyses past matches with two considerations in mind: 1) the style of the player and how that style translates to real-world shot-making, and 2) the intent of a shot, irrespective of the outcome. Modern Hawk-Eye technology deployed in top-tier tournaments has enabled deeper analysis of professional matches than ever before. The aim of this paper is to emulate and augment the qualities of great coaches using data collected by Hawk-Eye; we develop a deep learning approach to imitate tennis players’ responses, to learn individual player styles efficiently, and we demonstrate this using performance metrics and illustrations.

Conference paper

Forshaw M, Gilly K, Knottenbelt W, Thomas Net al., 2023, Preface, Communications in Computer and Information Science, Vol: 1786 CCIS, ISSN: 1865-0929

Journal article

Wang Z, Dong N, Sun J, Knottenbelt WJet al., 2023, zkFL: Zero-Knowledge Proof-based Gradient Aggregation for Federated Learning., CoRR, Vol: abs/2310.02554

Journal article

Wang Z, Xiong X, Knottenbelt WJ, 2023, Blockchain Transaction Censorship: (In)secure and (In)efficient?, IACR Cryptol. ePrint Arch., Vol: 2023, Pages: 786-786

Journal article

Wang Z, Cirkovic M, Le DV, Knottenbelt WJ, Cachin Cet al., 2023, Pay Less for Your Privacy: Towards Cost-Effective On-Chain Mixers., Publisher: Schloss Dagstuhl - Leibniz-Zentrum für Informatik, Pages: 16:1-16:1

Conference paper

Dong N, Wang Z, Sun J, Kampffmeyer M, Wen Y, Zhang S, Knottenbelt WJ, Xing EPet al., 2023, Defending Against Malicious Behaviors in Federated Learning with Blockchain., CoRR, Vol: abs/2307.00543

Journal article

Matsui T, Knottenbelt WJ, 2023, Optimal Hedge Ratio Estimation for Bitcoin Futures using Kalman Filter, 5th IEEE International Conference on Blockchain and Cryptocurrency (ICBC), Publisher: IEEE, ISSN: 2832-8892

Conference paper

Li J, Veneris A, Krishnamachari B, Knottenbelt W, Matsuo S, Thai MT, Wu Met al., 2022, Message from the ICBC2022 General and Technical Program Chairs, IEEE International Conference on Blockchain and Cryptocurrency, ICBC 2022

Journal article

Matsui T, Al-Ali A, Knottenbelt WJ, 2022, On the Dynamics of Solid, Liquid and Digital Gold Futures, 4th IEEE International Conference on Blockchain and Cryptocurrency (IEEE ICBC), Publisher: IEEE

Conference paper

Srinivasan P, Knottenbelt WJ, 2022, Time-series Transformer Generative Adversarial Networks., CoRR, Vol: abs/2205.11164

Journal article

Pan S, Finlay C, Besenbruch C, Knottenbelt Wet al., 2021, Three gaps for quantisation in learned image compression, New Trends in Image Restoration and Enhancement (NTIRE 2021) (CVPR Workshop), Publisher: IEEE

Learned lossy image compression has demonstrated impressive progress via end-to-end neural network training. However, this end-to-end training belies the fact that lossy compression is inherently not differentiable, due to the necessity of quantisation. To overcome this difficulty in training, researchers have used various approximations to the quantisation step. However, little work has studied the mechanism of quantisation approximation itself. We ad-dress this issue, identifying three gaps arising in the quantisation approximation problem. These gaps are visualised, and show the effect of applying different quantisation approximation methods. Following this analysis, we propose a Soft-STE quantisation approximation method, which closes these gaps and demonstrates better performance than other quantisation approaches on the Kodak dataset.

Conference paper

Koutsouri A, Petch M, Knottenbelt W, 2021, Performance of the CoinShares Gold and Cryptoassets Index under different market regimes, Cryptoeconomic Systems, Vol: 1

Regime-switching models are frequently used to explain the tendency of financial markets to change their behavior, often abruptly. Such changes usually translate to structural breaks in the average means and volatilities of financial indicators, and partition their time-series into distinct segments, each with unique statistical properties. In this paper, we address the problem of identifying the presence of such regimes in the constituents of diversified, cryptoasset-containing portfolios, ultimately to define high-risk market conditions and assess portfolio resilience. For each portfolio component, we first consider a Gaussian Hidden Markov Model (HMM) in order to extract intermediate trend-related states, conditional on the weekly returns distributions. We further apply a Markov-switching GARCH model to the demeaned daily returns to describe changes in the conditional variance dynamics and isolate volatility-related states. We combine the former approaches to generate a number of price paths for each constituent, simulate the portfolio allocation strategy and obtain a risk profile for each combination of the trend and volatility regimes. We apply the proposed method to the CoinShares Gold and Cryptoassets Index, a diversified, monthly-rebalanced index which includes two main risk-weighted components; a cryptoassets basket and physical gold. Results demonstrate an overall stable risk-reward profile when compared against the individual components and suggest a superior performance in terms of Omega ratio for investors that target wealth preservation and moderate annual returns. We detect underperformance regions in bear-low volatility market regimes, where diversification is hindered.

Journal article

Ilie D, Werner S, Stewart I, Knottenbelt Wet al., 2021, Unstable throughput: when the difficulty algorithm breaks, 2021 IEEE Conference on Blockchain and Cryptocurrency (ICBC 2021), Publisher: IEEE, Pages: 1-5

In Proof-of-Work blockchains, difficulty algorithms serve the crucial purpose of maintaining a stable transaction throughput by dynamically adjusting the block difficulty in response to the miners’ constantly changing computational power. Blockchains that may experience severe hash rate fluctuations need difficulty algorithms that quickly adapt the mining difficulty. However, without careful design, the system could be gamed by miners using coin-hopping strategies to manipulate the block difficulty for profit. Such miner behavior results in an unreliable system due to the unstable processing of transactions. We provide an empirical analysis of how Bitcoin Cash’s difficulty algorithm design leads to cyclicality in block solve times as a consequence of a positive feedback loop. In response, we mathematically derive a difficulty algorithm using a negative exponential filter which prohibits the formation of positive feedback and exhibits additional desirable properties, such as history agnosticism. We compare the described algorithm to that of Bitcoin Cash in a simulated mining environment and verify that the former would eliminate the severe oscillations in transaction throughput.

Conference paper

Koutsouri A, Petch M, Knottenbelt W, 2021, Diversification benefits of commodities for cryptoasset portfolios, 2021 International Conference on Blockchain and Cryptocurrency (ICBC 2021), Publisher: IEEE, Pages: 1-9

The aim for balance between risk and reward in investment portfolios often requires studying the diversification contribution of its constituents. This objective requires to specify whether investors can extend their exposure in certain asset classes and benefit their portfolios in a statistically significant way. In this paper, we address this issue of diversification in the context of cryptoasset portfolios and examine whether their risk-adjusted performance can be enhanced through seeking exposure into the commodities class. For an equally-weighted portfolio of five cryptoassets, we first consider the addition of physical gold, as conceptualised by the CoinShares Gold and Cryptoassets Index, a diversified, monthly-rebalanced index that seeks exposure to both asset classes. We further consider modifying the index composition by replacing physical gold with a basket of five commodities. Mean-variance spanning tests reveal that the addition of physical gold in the original cryptoasset portfolio translates to a significant shift in the efficient frontier, both in terms of the global minimum variance and the tangency portfolios. Additionally, expanding the exposure in the commodity side confirms a statistically significant improvement, with the diversification benefit arising from a shift in the tangency portfolio. We further generate a number of price paths for the original index, the modified index and their components, according to a Dynamic Conditional Correlation GARCH specification, to assess the efficiency of the index weighted risk contribution scheme. Results demonstrate a superior performance of the two indices when compared against their constituents in terms of Omega ratio. The modified index appears more appropriate for investors that seek higher annual returns, while the original composition would be more appropriate for individuals with mod

Conference paper

Knottenbelt W, Wolter K, 2021, Message from the Chairs, Performance Evaluation Review, Vol: 48, ISSN: 0163-5999

Journal article

Jurdak R, Knottenbelt W, Krishnamachari B, 2021, Message from the ICBC2021 general and technical program chairs, IEEE International Conference on Blockchain and Cryptocurrency, ICBC 2021

Journal article

Werner SM, Perez D, Gudgeon L, Klages-Mundt A, Harz D, Knottenbelt WJet al., 2021, SoK: Decentralized Finance (DeFi)., Publisher: arXiv

Decentralized Finance (DeFi), a blockchain powered peer-to-peer financial system, is mushrooming. One year ago the total value locked in DeFi systems was approximately 600m USD, now, as of January 2021, it stands at around 25bn USD. The frenetic evolution of the ecosystem makes it challenging for newcomers to gain an understanding of its basic features. In this Systematization of Knowledge (SoK), we delineate the DeFi ecosystem along its principal axes. First, we provide an overview of the DeFi primitives. Second, we classify DeFi protocols according to the type of operation they provide. We then go on to consider in detail the technical and economic security of DeFi protocols, drawing particular attention to the issues that emerge specifically in the DeFi setting. Finally, we outline the open research challenges in the ecosystem.

Working paper

Ntolkeras K, Sharif H, Salmasi SD, Knottenbelt Wet al., 2021, Performance Analysis of a Hyperledger Iroha Blockchain Framework Used in the UK Livestock Industry, Pages: 456-461

This investigation focuses on the performance analysis of one of the most nascent Blockchain frameworks, Hyperledger Iroha. This paper evaluates the performance of the Hyperledger Iroha framework based on three parameters: (a) total requests per seconds (RPS) over time; (b) response times in milliseconds over time; and (c) number of users in the network over time. The results indicate that the integration of Hyperledger Iroha with a major livestock management and trading platform in the UK, can support at least 200 participants with no errors in the network. Additionally, the total requests per second can reach as high as 40.6, and the response times are in the order of a fraction of a second. This research and its results can assist scholars and practitioners regarding selection of an ideal Blockchain framework for their problem setting.

Conference paper

Chong QZ, Knottenbelt WJ, Bhatia KK, 2021, Evaluation of Active Learning Techniques on Medical Image Classification with Unbalanced Data Distributions, 1st Workshop on Deep Generative Models for Medical Image Computing and Computer Assisted Intervention (DGM4MICCAI) / 1st MICCAI Workshop on Data Augmentation, Labelling, and Imperfections (DALI), Publisher: SPRINGER INTERNATIONAL PUBLISHING AG, Pages: 235-242, ISSN: 0302-9743

Conference paper

Zamyatin A, Al-Bassam M, Zindros D, Kokoris-Kogias E, Moreno-Sanchez P, Kiayias A, Knottenbelt WJet al., 2021, SoK: Communication Across Distributed Ledgers, 25th International Conference on Financial Cryptography and Data Security (FC), Publisher: SPRINGER-VERLAG BERLIN, Pages: 3-36, ISSN: 0302-9743

Conference paper

Khandelwal P, Nadler P, Arcucci R, Knottenbelt WJ, Guo Y-Ket al., 2021, A Scalable Inference Method For Large Dynamic Economic Systems., CoRR, Vol: abs/2110.14346

Journal article

Zamyatin A, Avarikioti Z, Perez D, Knottenbelt WJet al., 2020, TxChain: efficient cryptocurrency light clients via contingent transaction aggregation, DPM 2020, Publisher: Springer International Publishing, Pages: 269-286, ISSN: 0302-9743

Cryptocurrency light- or simplified payment verification (SPV) clients allow nodes with limited resources to efficiently verify execution of payments. Instead of downloading the entire blockchain, only block headers and selected transactions are stored. Still, the storage and bandwidth cost, linear in blockchain size, remain non-negligible, especially for smart contracts and mobile devices: as of April 2020, these amount to 50 MB in Bitcoin and 5 GB in Ethereum.Recently, two improved sublinear light clients were proposed: to validate the blockchain, NIPoPoWs and FlyClient only download a polylogarithmic number of block headers, sampled at random. The actual verification of payments, however, remains costly: for each verified transaction, the corresponding block must too be downloaded. This yields NIPoPoWs and FlyClient only effective under low transaction volumes.We present TxChain, a novel mechanism to maintain efficiency of light clients even under high transaction volumes. Specifically, we introduce the concept of contingent transaction aggregation, where proving inclusion of a single contingent transaction implicitly proves that n other transactions exist in the blockchain. To verify n payments, TxChain requires a only single transaction in the best (n≤c), and [missing equation] transactions in the worst case (n>c), where c is a blockchain constant. We deploy TxChain on Bitcoin without consensus changes and implement a hard fork for Ethereum. To demonstrate effectiveness in the cross-chain setting, we implement TxChain as a smart contract on Ethereum to efficiently verify Bitcoin payments.

Conference paper

Gudgeon L, Werner S, Perez Hernandez D, Knottenbelt Wet al., 2020, DeFi protocols for loanable funds: interest rates, liquidity and market efficiency, 2nd ACM Conference on Advances in Financial Technologies (AFT 2020), Publisher: ACM, Pages: 92-112

We coin the term Protocols for Loanable Funds (PLFs)to refer to pro-tocols which establish distributed ledger-based markets for loanable funds. PLFs are emerging as one of the main applications within De-centralized Finance (DeFi), and use smart contract code to facilitate the intermediation of loanable funds. In doing so, these protocols allow agents to borrow and save programmatically. Within these protocols, interest rate mechanisms seek to equilibrate the supply and demand for funds. In this paper, we review the methodologies used to set interest rates on three prominent DeFi PLFs, namely Compound, Aave and dYdX. We provide an empirical examination of how these interest rate rules have behaved since their inception in response to differing degrees of liquidity. We then investigate the market efficiency and inter-connectedness between multiple protocols, examining first whether Uncovered Interest Parity holds within a particular protocol and second whether the interest rates for a particular token market show dependence across protocols,developing a Vector Error Correction Model for the dynamics.

Conference paper

Ilie DI, Karantias K, Knottenbelt WJ, 2020, Bitcoin crypto–bounties for quantum capable adversaries, MARBLE 2020, Publisher: Springer International Publishing, Pages: 9-25, ISSN: 2198-7246

With the advances in quantum computing taking place over the last few years, researchers have started considering the implications on cryptocurrencies. As most digital signature schemes would be impacted, it is somewhat reassuring that transition schemes to quantum resistant signatures are already being considered for Bitcoin. In this work, we stress the danger of public key reuse, as it prevents users from recovering their funds in the presence of a quantum enabled adversary despite any transition scheme the developers decide to implement. We emphasize this threat by quantifying the damage a functional quantum computer could inflict on Bitcoin (and Bitcoin Cash) by breaking exposed public keys.

Conference paper

Koutsouri A, Knottenbelt WJ, 2020, Stress Testing Diversified Portfolios: The Case of the CoinShares Gold and Cryptoassets Index, 2nd International Conference on Mathematical Research for Blockchain Economy, Publisher: Springer Verlag

Stress testing involves the use of simulation to assess the resilience of investment portfolios to changes in market regimes and extreme events. The quality of stress testing is a function of the realism of the market models employed, as well as the strategy used to determine the set of simulated scenarios. In this paper, we consider both of these parameters in the context of diversified portfolios, with a focus on the emerging class of cryptoasset-containing portfolios. Our analysis begins with univariate modelling of individual risk factors using ARMA and GJR--GARCH processes. Extreme Value Theory is applied to the tails of the standardised residuals distributions in order to account for extreme outcomes accurately. Next, we consider a family of copulas to represent the dependence structure of the individual risk factors. Finally, we combine the former approaches to generate a number of plausibility-constrained scenarios of interest, and simulate them to obtain a risk profile. We apply our methodology to the CoinShares Gold and Cryptoassets Index, a monthly-rebalanced index which comprises two baskets of risk-weighted assets: one containing gold and one containing cryptoassets. We demonstrate a superior risk-return profile as compared to investments in a traditional market-cap-weighted cryptoasset index.

Conference paper

Koutsouri A, Poli F, Alfieri E, Petch M, Distaso W, Knottenbelt Wet al., 2020, Balancing Cryptoassets and Gold: A Weighted-Risk-Contribution Index for the Alternative Asset Space, 1st International Conference on Mathematical Research for Blockchain Economy, Publisher: Springer Verlag, Pages: 217-232, ISSN: 0302-9743

Bitcoin is foremost amongst the emerging asset class knownas cryptoassets. Two noteworthy characteristics of the returns of non-stablecoin cryptoassets are their high volatility, which brings with it ahigh level of risk, and their high intraclass correlation, which limits thebenefits that can be had by diversifying across multiple cryptoassets. Yetcryptoassets exhibit no correlation with gold, a highly-liquid yet scarceasset which has proved to function as a safe haven during crises affectingtraditional financial systems. As exemplified by Shannon’s Demon, a lackof correlation between assets opens the door to principled risk controlthrough so-called volatility harvesting involving periodic rebalancing.In this paper we propose an index which combines a basket of five cryp-toassets with an investment in gold in a way that aims to improve therisk profile of the resulting portfolio while preserving its independencefrom mainstream financial asset classes such as stocks, bonds and fiatcurrencies. We generalise the theory of Equal Risk Contribution to allowfor weighting according to a desired level of contribution to volatility. Wefind a crypto–gold weighting based on Weighted Risk Contribution to behistorically more effective in terms of Sharpe Ratio than several alterna-tive asset allocation strategies including Shannon’s Demon. Within thecrypto-basket, whose constituents are selected and rebalanced monthly,we find an Equal Weighting scheme to be more effective in terms of thesame metric than a market capitalisation weighting.

Conference paper

Wolter K, Pesu T, van Moorsel A, Knottenbelt WJet al., 2020, Black-box models for restart, reboot and rejuvenation, Handbook Of Software Aging And Rejuvenation: Fundamentals, Methods, Applications, And Future Directions, Pages: 155-194, ISBN: 9789811214578

This chapter discusses black-box models for retries, where no distinction is made between the purpose of the retry. Retries can be used as restart, to improve userobserved performance, as reboot, for fault-tolerance, or as rejuvenation, to treat the aging of the system. The chapter derives stochastic models and shows the results we obtained for optimising moments of the user-observed job completion time as well as the probability of meeting a deadline. The second part of the chapter provides a review of the literature in this area of the past decade. The chapter closes with a discussion of open problems.

Book chapter

This data is extracted from the Web of Science and reproduced under a licence from Thomson Reuters. You may not copy or re-distribute this data in whole or in part without the written consent of the Science business of Thomson Reuters.

Request URL: http://wlsprd.imperial.ac.uk:80/respub/WEB-INF/jsp/search-html.jsp Request URI: /respub/WEB-INF/jsp/search-html.jsp Query String: respub-action=search.html&id=00159431&limit=30&person=true