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In the forthcoming ISDA Standard Credit Support Annex (SCSA), the trades denominated in non-G5 currencies as well as those include multiple currencies are expected to be allocated to the USD silo, where the contracts are collateralized by USD cash, or a different currency with an appropriate interest rate overlay to achieve the same economic effects. In this paper, we have presented a simple generic valuation framewo…
The Local Volatility model is a well-known extension of the Black-Scholes constant volatility model whereby the volatility is dependent on both time and the underlying asset. This model can be calibrated to provide a perfect fit to a wide range of implied volatility surfaces. The model is easy to calibrate and still very popular in FX option trading. In this paper we address a question of validation of the Local Vola…
The emergence of Concentrated Liquidity Market Makers (CLMMs) has made liquidity provision on decentralized exchanges an active and risk-sensitive task. However, the standalone profitability of liquidity provision remains unclear for liquidity providers (LPs) who neither hedge their inventory risk nor receive off-pool profits. This paper studies the actual outcomes of LP activity using historical transaction-level da…
Fiat-pegged stablecoins are by nature exposed to spillover effects during market turmoil in Traditional Finance (TradFi). We observe a difference in TradFi market shocks impact between various stablecoins, in particular, USD Coin (USDC) and Tether USDT (USDT), the former with a higher reporting frequency and transparency than the latter. We investigate this, using top USDC and USDT liquidity pools in Uniswap, by adap…
Liquidity Providers on Automated Market Makers generate millions of USD in transaction fees daily. However, the net value of a Liquidity Position is vulnerable to price changes in the underlying assets in the pool. The dominant measure of loss in a Liquidity Position is Impermanent Loss. Impermanent Loss for Constant Function Market Makers has been widely studied. We propose a new metric to measure Liquidity Position…
In recent years, the popularity of artificial intelligence has surged due to its widespread application in various fields. The financial sector has harnessed its advantages for multiple purposes, including the development of automated trading systems designed to interact autonomously with markets to pursue different aims. In this work, we focus on the possibility of recognizing and leveraging intraday price patterns …
AMMs are autonomous smart contracts deployed on a blockchain that make markets between different assets that live on that chain. In this paper we are examining a specific class of AMMs called Constant Function Market Makers whose trading profile, ignoring fees, is determined by their bonding curve. This class of AMM suffers from what is commonly referred to as Impermanent Loss, which we have previously identified as …
This study aims to determine whether the application of Deep Reinforcement Learning (DRL) as a specialized execution overlay can enhance pair trading in highly volatile cryptocurrency markets. Although classical implementations of the strategy have proven successful in traditional equities, they frequently exhibit rigidity and suffer from severe divergence risks when applied to high-variance environments. To address …
Traditional technical analysis indicators, although widely used by market participants, are often not sufficiently effective. We propose the Visibility Graphs Relative Strength Index (VGRSI), based on backward visibility relations in the price of a financial instrument. Rescaled to the 0--100 range, it can generate profitable trading signals. The performance of the indicator was evaluated using an automated trading s…
Cryptocurrency is a cryptography-based digital asset with extremely volatile prices. Around USD 70 billion worth of cryptocurrency is traded daily on exchanges. Trading cryptocurrency is difficult due to the inherent volatility of the crypto market. This study investigates whether Reinforcement Learning (RL) can enhance decision-making in cryptocurrency algorithmic trading compared to traditional methods. In order to…
Based on geometrical considerations, we propose a new oscillator for technical market analysis, the tube oscillator. This oscillator measures the trending behavior of a fixed market instrument based on its past history. It is shown in an empirical analysis of the German DAX and the Forex EUR/USD exchange rate that a simple trading strategy based on this oscillator and fixed threshold leads to consistent positive mont…
This paper aims at solving FX market volatility modeling problem and finding the most becoming approach to this task. Validity of two competing approaches, classical econometric generalized conditional heteroscedasticity and mathematical (singular spectrum analysis and dynamical systems stability analysis) are tested on major currency pairs (EUR/USD, USD/JPY, GBP/USD) and unique high-frequency USD/RUB data. The study…
In light of micro-scale inefficiencies induced by the high degree of fragmentation of the Bitcoin trading landscape, we utilize a granular data set comprised of orderbook and trades data from the most liquid Bitcoin markets, in order to understand the price formation process at sub-1 second time scales. To achieve this goal, we construct a set of features that encapsulate relevant microstructural information over sho…
Using the most comprehensive, commercially-available dataset of trading activity in U.S. equity markets, we catalog and analyze quote dislocations between the SIP National Best Bid and Offer (NBBO) and a synthetic BBO constructed from direct feeds. We observe a total of over 3.1 billion dislocation segments in the Russell 3000 during trading in 2016, roughly 525 per second of trading. However, these dislocations do n…
This paper examines the intra-day seasonality of transacted limit and market orders in the DEM/USD foreign exchange market. Empirical analysis of completed transactions data based on the Dealing 2000-2 electronic inter-dealer broking system indicates significant evidence of intraday seasonality in returns and return volatilities under usual market conditions. Moreover, analysis of realised tail outcomes supports seas…
In the LIBOR era, banks routinely tied revolving credit facilities to credit-sensitive benchmarks. This study assesses the Across-the-Curve Credit Spread Index (AXI) -- a transparent, transaction-based measure of wholesale bank funding costs -- as a complement to SOFR, summarizing its behavior, construction, and loan-pricing implications. AXI aggregates observable unsecured funding transactions across short- and long…
Applying historical data from the USD LIBOR transition period, we estimate a joint model for SOFR, Fed Funds, and Eurodollar futures rates as well as spot USD LIBOR and term repo rates. The framework endogenously models basis spreads between each of the benchmark rates and allows for the decomposition of spreads. Modelling the LIBOR-OIS spread as credit and funding-liquidity roll-over risk, we find that the spike in …
We provide a large-scale empirical audit of DEX routing using 2.98 million WETH-USDC swaps on Ethereum. Comparing realized routes with optimized benchmarks, we measure an average shortfall of 2.02 bps per trade or \$24 million. To attribute losses, we introduce three reproducible optimal benchmarks: a Support-Constrained Optimum (SCO) that evaluates split quality conditional on the pools actually used; a Full-Venue O…
USD/JPY cross-currency basis measures the extra cost of obtaining dollars through FX swap markets and is a key indicator of offshore dollar funding stress.
Federal Funds Rate — The effective overnight policy rate anchor that transmits through the entire USD funding stack and global risk appetite.
Trade Weighted Dollar — Broad USD strength index affecting global financial conditions.
Gold Real Yields Correlation — Gold as non-yielding asset inversely sensitive to real rates and USD.
Stablecoin Supply (Crypto).
Safe Haven Flow (FX).
Dollarization (FX).
Tether Reserve Opacity — Uncertainty around reserve composition and redemption capacity.
EM Hard Currency Debt (Emerging Markets).
Dollar Smile Theory — USD strength in both risk-off and US exceptionalism regimes.
Spot Cross EURUSD (FX).
Spot Cross USDJPY (FX).
Spot Cross GBPUSD (FX).
Spot Cross AUDUSD (FX).
Spot Cross USDCAD (FX).
Spot Cross USDCHF (FX).
Spot Cross NZDUSD (FX).
Spot Cross USDCNH (FX).
Spot Cross USDTRY (FX).
Spot Cross USDMXN (FX).
Spot Cross USDZAR (FX).
Spot Cross USDINR (FX).
Spot Cross USDKRW (FX).
Spot Cross USDBRL (FX).
Forward Points EURUSD — Currency valuation, flow, or FX-vol concept for FX desks.
Forward Points USDJPY — Currency valuation, flow, or FX-vol concept for FX desks.
Forward Points GBPUSD — Currency valuation, flow, or FX-vol concept for FX desks.
Forward Points AUDUSD — Currency valuation, flow, or FX-vol concept for FX desks.
Forward Points USDCAD — Currency valuation, flow, or FX-vol concept for FX desks.
Forward Points USDCHF — Currency valuation, flow, or FX-vol concept for FX desks.
Forward Points NZDUSD — Currency valuation, flow, or FX-vol concept for FX desks.
Forward Points USDCNH — Currency valuation, flow, or FX-vol concept for FX desks.
Forward Points USDTRY — Currency valuation, flow, or FX-vol concept for FX desks.
Forward Points USDMXN — Currency valuation, flow, or FX-vol concept for FX desks.
Forward Points USDZAR — Currency valuation, flow, or FX-vol concept for FX desks.
Forward Points USDINR — Currency valuation, flow, or FX-vol concept for FX desks.
Barrier Cluster AUDUSD (FX).
Barrier Cluster EURUSD (FX).
Barrier Cluster GBPUSD (FX).
Barrier Cluster NZDUSD (FX).
Barrier Cluster USDBRL (FX).
Barrier Cluster USDCAD (FX).
Barrier Cluster USDCHF (FX).
Barrier Cluster USDCNH (FX).
Barrier Cluster USDINR (FX).
Barrier Cluster USDJPY (FX).
Barrier Cluster USDKRW (FX).
Barrier Cluster USDMXN (FX).
Barrier Cluster USDTRY (FX).
Barrier Cluster USDZAR (FX).
Carry Signal AUDUSD (FX).
Carry Signal EURUSD (FX).
Carry Signal GBPUSD (FX).
Carry Signal NZDUSD (FX).
Carry Signal USDBRL (FX).
Carry Signal USDCAD (FX).
Carry Signal USDCHF (FX).
Carry Signal USDCNH (FX).
Carry Signal USDINR (FX).
Carry Signal USDJPY (FX).