Details

Autor(en) / Beteiligte

• Massacci, Fabio
• Chan Nam Ngo
• Jing Nie
• Venturi, Daniele
• Williams, Julian

Titel

FuturesMEX: Secure, Distributed Futures Market Exchange

Ist Teil von

• 2018 IEEE Symposium on Security and Privacy (SP), 2018, p.335-353

Ort / Verlag

IEEE

Erscheinungsjahr

2018

Quelle

IEEE Xplore

Beschreibungen/Notizen

• 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.