MPC Joins The Dark Side

Abstract

We consider the issue of securing dark pools/markets in the financial services sector. These markets currently are executed via trusted third parties, leading to potential fraud being able to be conducted by the market operators. We present a potential solution to this problem by using Multi-Party Computation to enable a trusted third party to be emulated in software. Our experiments show that whilst the standard market clearing mechanism of Continuous Double Auction in lit markets is not currently viable when executed using MPC, a popular mechanism for evaluating dark markets, namely the volume matching methodology, is viable. We present experimental validation of this conclusion by presenting the expected throughputs for such markets in two popular MPC paradigms; namely the two party dishonest majority setting and the honest majority three party setting.

Fools Rush In: Competitive Effects of Reaction Time in Automated Trading

“…We aim to investigate the incorporation of order book metrics into trading agent strategies in future work. In real-world markets, order book information and reaction speed is so strategically useful that, in order to stop a trader's trading intention from being used adversely by predatory competitors, some trading venues, described as dark pools, do not reveal quotes (see, e.g., Cartlidge et al (2019), for a summary of dark pools and methods for implementing cryptographically secure dark pool mechanisms using multi-party computation (MPC)). Further, as the majority of predatory HFT strategies rely on being quick(est) to act, there is also some movement in real To appear in ICAART 2020: Proc.…”

SEAL: Sealed-Bid Auction Without Auctioneers

“…The number of rounds required for threshold decryption is O(n•c), c being the bit length of the bid and n being the number of participants in the decryption process. The Kurosawa-Ogata's method, like many other works [3], [9]- [11], performs encryption and decryption of bids as two separate phases. By comparison, in our protocol, the encryption and decryption operations are more integrated within the constant 2-round Boolean-OR computation (veto protocol) at each bit iteration, which results in O(c) rounds in total regardless of the number of participants.…”

“…Cartlidge et al proposed an e-auction scheme for dark pools/markets where all bids are encrypted under a global public key and the decryption is performed by auctioneers using MPC [11]. They presented two implementations based on the SCALE-MAMBA library: the first uses the SPDZ protocol [11] to implement the role of "auctioneer" as two servers assuming at least one is trustworthy; the second uses Shamir's secret sharing to implement the auctioneers as three servers assuming at least one of them is trustworthy. In all these auctioneerbased protocols, if auctioneers collude all together, they can trivially break the privacy of sealed bids.…”

“…However, the past schemes generally assume the role of an auctioneer (as in traditional sealed-bid auctions). To mitigate the trust problem about the auctioneer, researchers propose to apply threshold cryptography or multiparty computation (MPC) techniques [10], [11] to distribute the trust from a single auctioneer to two or several. However, one can never rule out the possibility that the auctioneers may collude all together to compromise the privacy of the bids [7].…”

Polymath: Low-Latency MPC via Secure Polynomial Evaluations and Its Applications

“…After over four decades of research in MPC, only recently, the number of MPC instances for real-world use cases has increased significantly. Indeed, thanks to recent researches that significantly improved the performance of MPC, several MPC frameworks are now available to help with various use cases like privacy-preserving machine learning [35,37,40,43], privacy-preserving financial solutions [12,34], and secure information escrows [10,31].…”