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FuturesMEX : secure distributed futures market exchange.

Massacci, F. and Ngo, C.N. and Nie, J. and Venturi, D. and Williams, J. (2018) 'FuturesMEX : secure distributed futures market exchange.', in 2018 IEEE symposium on security and privacy SP 2018. Piscataway, NJ: IEEE, pp. 335-353.

Abstract

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.

Item Type:Book chapter
Full text:(AM) Accepted Manuscript
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Status:Peer-reviewed
Publisher Web site:https://www.ieee.org/conferences_events/conferences/conferencedetails/index.html?Conf_ID=37862
Publisher statement:© 2018 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works.
Date accepted:01 February 2018
Date deposited:15 February 2018
Date of first online publication:26 July 2018
Date first made open access:No date available

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