We study Arbitrum's Express Lane Auction (ELA), an ahead-of-time second-price auction that grants the winner an exclusive latency advantage for one minute. Building on a single-round model with risk-averse bidders, we propose a hypothesis that the value of priority access is discounted relative to risk-neutral valuation due to the difficulty of forecasting short-horizon volatility and bidders' risk aversion. We test these predictions using ELA bid records matched to high-frequency ETH prices and find that the result is consistent with the model.

翻译：本研究探讨了Arbitrum的快速通道拍卖（ELA），这是一种预先进行的次高价拍卖，获胜者可获得一分钟的独占延迟优势。基于风险厌恶投标者的单轮模型，我们提出一个假设：由于短期波动性预测的困难以及投标者的风险厌恶特性，优先访问权的价值相对于风险中性估值存在折价。通过将ELA投标记录与高频ETH价格数据进行匹配分析，我们验证了这些预测，发现结果与模型具有一致性。