用强化学习优化Polygon链上MEV竞标,提升利润捕捉效率。
The Bidding Games: Reinforcement Learning for MEV Extraction on Polygon Blockchain
- 构建仿真环境模拟竞标动态与随机套利机会。
- 基于PPO的实时竞价代理实现49%最高利润捕获。
- 适合区块链套利开发者和MEV研究者参考。
在区块链网络中,区块内交易的排序已成为获取最大可提取价值(MEV)的重要途径。从依赖垃圾信息的优先级气体拍卖(PGA)转向结构化拍卖机制(如Polygon Atlas),使MEV提取从公开竞价演变为在极短时间内进行的密封投标竞争。尽管这减少了网络拥堵,但带来了复杂的战略挑战:搜寻者必须在不到一秒内做出最优出价,且无法知晓对手行为或是否存在。传统均衡博弈模型难以应对这种高频、部分可观测的环境。虽然拍卖理论可提供密封投标下的均衡解,但通常假设竞标者估值分布已知且竞争稳定,而实际中对手存在与策略变化迅速,难以满足这些前提。本文提出一种针对Polygon Atlas的强化学习框架,贡献包括:(1) 一个精确模拟套利机会随机到达与概率性竞争的仿真环境;(2) 采用PPO算法的实时竞价代理,在连续动作空间中实现自适应策略制定,同时保持生产级推理速度;(3) 实验验证表明,该历史条件代理在部署后相比现有搜寻者可实现49%的最大利润捕获,并在反事实替换测试中相较历史领先者实现43%的相对利润提升,显著优于静态出价策略。
原文摘要 · Abstract (English)
In blockchain networks, the strategic ordering of transactions within blocks has emerged as a significant source of profit extraction, known as Maximal Extractable Value (MEV). The transition from spam-based Priority Gas Auctions (PGA) to structured auction mechanisms like Polygon Atlas has transformed MEV extraction from public bidding wars into sealed-bid competitions under extreme time constraints. While this shift reduces network congestion, it introduces complex strategic challenges where searchers must make optimal bidding decisions within a sub-second window without knowledge of competitor behavior or presence. Traditional equilibrium-based game-theoretic models struggle in this high-frequency, partially observable environment. While auction theory provides equilibrium solutions for sealed-bid formats under incomplete information, these models typically assume known bidder value distributions and stationary competition--assumptions that are difficult to satisfy in dynamic, sub-second auctions where competitor presence and strategies evolve rapidly. We present a reinforcement learning framework for MEV extraction on Polygon Atlas and make three contributions: (1) A novel simulation environment that accurately models the stochastic arrival of arbitrage opportunities and probabilistic competition in Atlas auctions; (2) A PPO-based bidding agent optimized for real-time constraints, capable of adaptive strategy formulation in continuous action spaces while maintaining production-ready inference speeds; (3) Empirical validation demonstrating our history-conditioned agent achieves 49\% Maximum-Profit Capture when deployed alongside existing searchers and a 43\% relative profit improvement over the historical market leader in counterfactual replacement, significantly outperforming static bidding strategies.
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