FuturesMEX: Secure Distributed Futures Market Exchange

Massacci, F.; Ngo, C.N.; Nie, J.; Venturi, D.; Williams, J.

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.

Citation

Massacci, F., Ngo, C., Nie, J., Venturi, D., & Williams, J. (2018, May). FuturesMEX: Secure Distributed Futures Market Exchange. Presented at 2018 IEEE Symposium on Security and Privacy (SP)., San Francisco, CA, USA

• Presentation Conference Type: Conference Paper (published)
• Conference Name: 2018 IEEE Symposium on Security and Privacy (SP).
• Start Date: May 20, 2018
• End Date: May 24, 2018
• Acceptance Date: Feb 1, 2018
• Online Publication Date: Jul 26, 2018
• Publication Date: 2018
• Deposit Date: Feb 15, 2018
• Publicly Available Date: Feb 15, 2018
• Pages: 335-353
• Series ISSN: 2375-1207
• Book Title: 2018 IEEE symposium on security and privacy SP 2018.
• DOI: https://doi.org/10.1109/sp.2018.00028
• Public URL: https://durham-repository.worktribe.com/output/1147202
• Publisher URL: https://www.ieee.org/conferences_events/conferences/conferencedetails/index.html?Conf_ID=37862