Publication Type
Journal Article
Version
acceptedVersion
Publication Date
4-2026
Abstract
Decentralized exchanges (DEXs) allow traders to express their willingness to pay for quick execution through a public priority fee bidding mechanism. We provide evidence that high-fee DEX trades are more informative and contribute more to price discovery. Using address-level blockchain transaction data, we show that informed traders persistently bid higher fees to secure early execution, revealing a strong willingness to pay for execution priority. Further, analysis of Ethereum mempool data demonstrates that informed traders employ a “jump bidding” strategy, placing high initial bids to deter potential competitors.
Keywords
price discovery, blockchain fees, decentralized exchanges, informed traders, private information
Discipline
Finance and Financial Management
Research Areas
Finance
Publication
Review of Financial Studies
First Page
1
Last Page
43
ISSN
0893-9454
Identifier
10.1093/rfs/hhag002
Publisher
Oxford University Press
Citation
CAPPONI, Agostino; JIA, Ruizhe; and YU, Shihao.
Price discovery on decentralized exchanges. (2026). Review of Financial Studies. 1-43.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/7914
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1093/rfs/hhag002