FuturesMEX: Secure, Distributed Futures Market Exchange

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, riskmanagement) 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.

In contrast, financial intermediation is not monotonic: Alice's asset (e.g. a trader's inventory) might be proven (cryptographically) valid by Alice and later made (economically) invalid by the honest Bob who, by just offering to sell assets and thus changing the market price, can make Alice bankrupt without any action on her side. Hence, v) security evidence 335