Where Does MEV Really Come From? Revisiting CEXDEX Arbitrage on Ethereum

Computer Science > Cryptography and Security [Submitted on 17 Apr 2026] Where Does MEV Really Come From? Revisiting CEXDEX Arbitrage on Ethereum Bence Ladóczk, Miklós Rásonyi, János Tapolcai A central question of the Ethereum ecosystem is where Maximal Extractable Value (MEV)revenue originates and to what extent it stems from harming unsuspecting users. It is acceptable if MEV arises from arbitrages between centralised and decentralised exchanges (CEX-DEX). Yet theoretical models have significantly underestimated the scale of these arbitrages, while empirical studies have highlighted their importance - though these remain conservative estimates, constrained by numerous debatable heuristic assumptions. Revisiting the theoretical model, we found that CEX-DEX arbitrages require trading volumes on the order of the total activity of major liquidity pools and yield profits comparable to MEV. Most prior AMM models utilised the Black-Scholes (BS) stochastic differential equation (SDE) - i.e., geometric Brownian motion - and assumed continuous price trajectories where asset prices move in small increments this http URL argue that BS underestimates arbitrage profits by ignoring price jumps, which are precisely the points at which arbitrage opportunities tend to arise. To address this gap, we present an extended discrete-time AMM model in which the price process is the sum of a diffusive component and stochastic jumps that can have arbitrary noise distributions. Although mathematically more involved this framework allows us to employ a general discrete-time SDE and compute the stationary probability distribution via function iteration with geometric convergence. We further prove that the resulting mispricing process is an ergodic Markov chain. We implement our model in C++, collect spot prices and AMM exchange data from the Ethereum blockchain and fit the model parameters to the observed prices. The estimates derived from our model closely match empirical observations and provide a natural theoretical explanation for several fundamental questions in the blockchain ecosystem. Comments: Presented at Financial Cryptography and Data Security 2026 Subjects: Cryptography and Security (cs.CR) Cite as: arXiv:2604.15973 [cs.CR]   (or arXiv:2604.15973v1 [cs.CR] for this version)   https://doi.org/10.48550/arXiv.2604.15973 Focus to learn more Submission history From: János Tapolcai [view email] [v1] Fri, 17 Apr 2026 11:37:39 UTC (1,881 KB) Access Paper: view license Current browse context: cs.CR < prev   |   next > new | recent | 2026-04 Change to browse by: cs References & Citations NASA ADS Google Scholar Semantic Scholar Export BibTeX Citation Bookmark Bibliographic Tools Bibliographic and Citation Tools Bibliographic Explorer Toggle Bibliographic Explorer (What is the Explorer?) Connected Papers Toggle Connected Papers (What is Connected Papers?) Litmaps Toggle Litmaps (What is Litmaps?) scite.ai Toggle scite Smart Citations (What are Smart Citations?) Code, Data, Media Demos Related Papers About arXivLabs Which authors of this paper are endorsers? | Disable MathJax (What is MathJax?)