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We find the equilibrium contract that an automated market maker (AMM) offers to their strategic liquidity providers (LPs) in order to maximize the order flow that gets processed by the venue. Our model is formulated as a leader-follower stochastic game, where the venue is the leader and a representative LP is the follower. We derive approximate closed-form equilibrium solutions to the stochastic game and analyze the …
Constant product markets with concentrated liquidity (CL) are the most popular type of automated market makers. In this paper, we characterise the continuous-time wealth dynamics of strategic LPs who dynamically adjust their range of liquidity provision in CL pools. Their wealth results from fee income, the value of their holdings in the pool, and rebalancing costs. Next, we derive a self-financing and closed-form op…
Price impact of a trade is an important element in pre-trade and post-trade analyses. We introduce a framework to analyze the market price of liquidity risk, which allows us to derive an inhomogeneous Bernoulli ordinary differential equation. We obtain two closed form solutions, one of which reproduces the linear function of the order flow in Kyle (1985) for informed traders. However, when traders are not as asymmetr…
We postulates, and then show experimentally, that liquidity deficit is the driving force of the markets. In the first part of the paper a kinematic of liquidity deficit is developed. The calculus-like approach, which is based on Radon--Nikodym derivatives and their generalization, allows us to calculate important characteristics of observable market dynamics. In the second part of the paper this calculus is used in a…
In financial markets, liquidity is not constant over time but exhibits strong seasonal patterns. In this article we consider a limit order book model that allows for time-dependent, deterministic depth and resilience of the book and determine optimal portfolio liquidation strategies. In a first model variant, we propose a trading dependent spread that increases when market orders are matched against the order book. I…
Automated market makers (AMMs) are a new type of trading venues which are revolutionising the way market participants interact. At present, the majority of AMMs are constant function market makers (CFMMs) where a deterministic trading function determines how markets are cleared. Within CFMMs, we focus on constant product market makers (CPMMs) which implements the concentrated liquidity (CL) feature. In this thesis we…
Synthetic financial data provides a practical solution to the privacy, accessibility, and reproducibility challenges that often constrain empirical research in quantitative finance. This paper investigates the use of deep generative models, specifically Time-series Generative Adversarial Networks (TimeGAN) and Variational Autoencoders (VAEs) to generate realistic synthetic financial return series for portfolio constr…
Unlike developed market, some emerging markets are dominated by retail and unprofessional trading. China A share market is a good and fitting example in last 20 years. Meanwhile, lots of research show professional investor in China A share market continuously generate excess return compare with total market index. Specifically, this excess return mostly come from stock selectivity ability instead of market timing. Ho…
In this bachelor thesis, we show how four different machine learning methods (Long Short-Term Memory, Random Forest, Support Vector Machine Regression, and k-Nearest Neighbor) perform compared to already successfully applied trading strategies such as Cross Signal Trading and a conventional statistical time series model ARMA-GARCH. The aim is to show that machine learning methods perform better than conventional meth…
In this paper, we consider the portfolio optimization problem in a financial market under a general utility function. Empirical results suggest that if a significant market fluctuation occurs, invested wealth tends to have a notable change from its current value. We consider an incomplete stochastic volatility market model, that is driven by both a Brownian motion and a jump process. At first, we obtain a closed-form…
In practice daily volatility of portfolio returns is transformed to longer holding periods by multiplying by the square-root of time which assumes that returns are not serially correlated. Under this assumption this procedure of scaling can also be applied to contributions to volatility of the assets in the portfolio. Close prices are often used to calculate the profit and loss of a portfolio. Trading at exchanges lo…
We propose a unified structural credit risk model incorporating both insolvency and illiquidity risks, in order to investigate how a firm's default probability depends on the liquidity risk associated with its financing structure. We assume the firm finances its risky assets by mainly issuing short- and long-term debt. Short-term debt can have either a discrete or a more realistic staggered tenor structure. At rollov…
The composition of natural liquidity has been changing over time. An analysis of intraday volumes for the S&P500 constituent stocks illustrates that (i) volume surprises, i.e., deviations from their respective forecasts, are correlated across stocks, and (ii) this correlation increases during the last few hours of the trading session. These observations could be attributed, in part, to the prevalence of portfolio tra…
This paper develops a three-currency Heath-Jarrow-Morton framework in which corporate credit is treated as a separate economy, connected to the nominal and real economies through synthetic inflation and credit exchange rates. The framework produces a testable identity. Under joint no-arbitrage, the credit spread of an issuer expressed over the inflation-rateindexed risk-free curve equals the same issuer's credit spre…
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…
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…
We audit whether candle-based machine-learning models can turn predictions of cryptocurrency extrema or short-horizon outcomes into positive Binance Spot paper policies after assumed costs. Numerical results come from scripted fixed-seed model runs and deterministic simulators; human-supervised AI agents supported the July 20 evidence-integrity revision through literature retrieval, separately tasked critique, artifa…
In this paper, we develop an open-economy macroeconomic model of a Proof-of-Stake network to analyze nominal token-price dynamics and the systemic effects of speculative capital. We first consider a network populated solely by active utility users, who finance network activity through a steady exogenous inflow of fiat currency. We prove the existence of a unique, globally asymptotically stable steady-state equilibriu…
The 3M10Y Treasury curve compares 10-year Treasury yields with 3-month Treasury bill yields and is closely watched as a recession and policy-cycle indicator.
Soft Close Capacity (Systems).
Hard Close Capacity (Systems).
MOC Imbalance (Equity).
Crypto Liquidation Cascade — Forced closes amplifying moves when leverage clusters breach.
Closing Auction Imbalance — Pre-close buy/sell imbalance that can move the print.
MOC Order Flow (Microstructure).
Fail Closed Gate US (Systems).
Fail Closed Gate Euro Area (Systems).
Fail Closed Gate UK (Systems).
Fail Closed Gate Japan (Systems).
Fail Closed Gate China (Systems).
Fail Closed Gate EM Asia (Systems).
Fail Closed Gate LatAm (Systems).
Fail Closed Gate CEEMEA (Systems).
Fail Closed Gate Canada (Systems).
Fail Closed Gate Australia (Systems).
Fail Closed Gate Nordics (Systems).
Fail Closed Gate ASEAN (Systems).
Fail Closed Gate risk-on (Systems).
Fail Closed Gate risk-off (Systems).
Fail Closed Gate tightening (Systems).
Fail Closed Gate easing (Systems).
Fail Closed Gate stagflation (Systems).
Fail Closed Gate reflation (Systems).
Fail Closed Gate disinflation (Systems).
Fail Closed Gate liquidity-crisis (Systems).
Fail Closed Gate carry (Systems).
Fail Closed Gate recession (Systems).
Fail Closed Gate desk (Systems).
Fail Closed Gate portfolio (Systems).
Fail Closed Gate ops (Systems).
Fail Closed Gate nightly (Systems).
Fail Closed Gate realtime (Systems).
Close Cross Pressure US equities (Microstructure).
Close Cross Pressure EU equities (Microstructure).
The 3M10Y Treasury curve compares 10-year Treasury yields with 3-month Treasury bill yields and is closely watched as a recession and policy-cycle indicator.
Close Cross Pressure carry Regime (Microstructure).
Close Cross Pressure crypto (Microstructure).
Close Cross Pressure disinflation Regime (Microstructure).
Close Cross Pressure easing Regime (Microstructure).
Close Cross Pressure ETF (Microstructure).
Close Cross Pressure EU equities (Microstructure).
Close Cross Pressure futures (Microstructure).
Close Cross Pressure FX spot (Microstructure).
Close Cross Pressure HY credit (Microstructure).
Close Cross Pressure IG credit (Microstructure).
Close Cross Pressure liquidity-crisis Regime (Microstructure).
Close Cross Pressure options (Microstructure).
Close Cross Pressure recession Regime (Microstructure).
Close Cross Pressure reflation Regime (Microstructure).
Close Cross Pressure risk-off Regime (Microstructure).
Close Cross Pressure risk-on Regime (Microstructure).
Close Cross Pressure stagflation Regime (Microstructure).
Close Cross Pressure tightening Regime (Microstructure).
Close Cross Pressure Treasury (Microstructure).
Close Cross Pressure US equities (Microstructure).
Closing Auction Imbalance — Pre-close buy/sell imbalance that can move the print.
Crypto Liquidation Cascade — Forced closes amplifying moves when leverage clusters breach.
Fail Closed Gate ASEAN (Systems).