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Price Discovery on Decentralized Exchanges

Agostino Capponi et al.

The Review of Financial Studies2026https://doi.org/10.1093/rfs/hhag002article
FT50UTD24AJG 4*ABDC A*
Weight
0.37

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.

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https://doi.org/https://doi.org/10.1093/rfs/hhag002

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@article{agostino2026,
  title        = {{Price Discovery on Decentralized Exchanges}},
  author       = {Agostino Capponi et al.},
  journal      = {The Review of Financial Studies},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.1093/rfs/hhag002},
}

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Price Discovery on Decentralized Exchanges

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Evidence weight

0.37

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.16 × 0.4 = 0.06
M · momentum0.53 × 0.15 = 0.08
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.