Cross-Rollup MEV: Non-Atomic Arbitrage Across L2 Blockchains

TL;DR

This paper quantifies non-atomic MEV arbitrage opportunities across Layer-2 blockchains, revealing over 500,000 persistent opportunities with varying profitability, highlighting the significance of cross-rollup arbitrage in blockchain trading.

Contribution

It provides the first comprehensive measurement of non-atomic MEV opportunities across multiple L2s, introducing a modified LVR metric to accurately estimate arbitrage potential.

Findings

Over 500,000 arbitrage opportunities identified.

Opportunities persist for 10-20 blocks on average.

Arbitrage profit ranges from 0.03% to 0.25% of trading volume.

Abstract

This study quantifies the potential non-atomic MEV on Layer-2 (L2) blockchains by measuring the arbitrage opportunities between cross-rollup and DEX-CEX. Over recent years, we observe a shift in trading activities from Ethereum to rollups, with swaps on rollups occurring 2-3 times more frequently, albeit with lower trade volumes. By analyzing the costs of swap on L2s and price discrepancies cross-rollup and DEX-CEX, we identify more than 500 000 unexplored arbitrage opportunities. In particular, we find that these opportunities persist, on average, for 10 to 20 blocks, necessitating the modification of the Loss Versus Rebalancing (LVR) metric to prevent double-counting. Our findings indicate that the arbitrage opportunities in Arbitrum, Base, and Optimism range between 0.03% and 0.05% of the trading volume, while in the ZKsync it fluctuates around 0.25%.