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We show that net demand for liquidity by algo strategies is identifiable from its trade and price history alone, with no knowledge of its signal or optimization problem. An exact multi-period regret decomposition implies that the sign of this statistic classifies a linear strategy as a net liquidity consumer or provider, recovering the Kyle (1985) informed-trader/market-maker dichotomy from observables alone. Under a…
As the FX markets continue to evolve, many institutions have started offering passive access to their internal liquidity pools. Market makers act as principal and have the opportunity to fill those orders as part of their risk management, or they may choose to adjust pricing to their external OTC franchise to facilitate the matching flow. It is, a priori, unclear how the strategies managing internal liquidity should …
Meme tokens represent a distinctive asset class within the cryptocurrency ecosystem, characterized by high community engagement, significant market volatility, and heightened vulnerability to market manipulation. This paper introduces an innovative approach to assessing liquidity risk in meme token markets using entity-linked address identification techniques. We propose a multi-dimensional method integrating fund fl…
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 …
We study a multi-agent setting in which brokers transact with an informed trader. Through a sequential Stackelberg-type game, brokers manage trading costs and adverse selection with an informed trader. In particular, supplying liquidity to the informed traders allows the brokers to speculate based on the flow information. They simultaneously attempt to minimize inventory risk and trading costs with the lit market bas…
We study liquidity on decentralized exchanges (DEXs), identifying factors at the platform, blockchain, token pair, and liquidity pool levels with predictive power for market depth metrics. We introduce the v2 counterfactual spread metric, a novel criterion which assesses the degree of liquidity concentration in pools using the ``concentrated liquidity'' mechanism, allowing us to decompose the effect of a factor on ma…
We present a new type of game, the Liquidity Game. We draw inspiration from the UK government bond market and apply game theoretic approaches to its analysis. In Liquidity Games, market participants (agents) use non-cooperative games where the players' utility is directly defined by the liquidity of the game itself, offering a paradigm shift in our understanding of market dynamics. Each player's utility is intricatel…
We study how to unwind stochastic order flow with minimal transaction costs. Stochastic order flow arises, e.g., in the central risk book (CRB), a centralized trading desk that aggregates order flows within a financial institution. The desk can warehouse in-flow orders, ideally netting them against subsequent opposite orders (internalization), or route them to the market (externalization) and incur costs related to p…
Changes in the capital structure before and after the global financial crisis for SMEs are studied, emphasizing their financing problems, distinguishing between internal financing and external financing determinants. The empirical research bears upon 158 small and medium-sized firms listed on Shenzhen and Shanghai Stock Exchanges in China over the period of 2004-2014. A regression analysis, along the lines of the Tra…
We explore the interplay between sovereign debt default/renegotiation and environmental factors (e.g., pollution from land use, natural resource exploitation). Pollution contributes to the likelihood of natural disasters and influences economic growth rates. The country can default on its debt at any time while also deciding whether to invest in pollution abatement. The framework provides insights into the credit spr…
This paper describes multi-portfolio `internal' rebalancing processes used in the finance industry. Instead of trading with the market to `externally' rebalance, these internal processes detail how portfolio managers buy and sell between their portfolios to rebalance. We give an overview of currently used internal rebalancing processes, including one known as the `banker' process and another known as the `linear' pro…
Generating realistic synthetic option prices requires implied volatility as an input, yet implied volatility is itself derived from observed option prices, creating a circular dependency that limits synthetic data for machine-learning and risk-analysis applications. We break this circularity with a pipeline in which implied volatility emerges as an output of a structural model of equity returns. A Jump Hidden Markov …
RED-2400 is a public benchmark of 6,660 algorithmically-rejected trading events from a live Solana decentralised-exchange filter stack, observed continuously over 22 calendar days (2026-04-10T21:10Z through 2026-05-02T21:48Z, UTC). Each rejection event is linked to its post-rejection price-and-liquidity trajectory. The deposit contains 169,123 forward-outcome observations and 1,837 graveyard-tracker lifecycle snapsho…
Prediction-market price moves are widely treated as informationally equivalent: a price jump is read the same way regardless of whether it reflects durable Bayesian updating, transient liquidity pressure, strategic position adjustment, or genuine disagreement. This paper formalizes the Signal Credibility Index (SCI) introduced in Nechepurenko (2026) as a stand-alone diagnostic. We make four contributions: (i) a revis…
This study examines how institutional differences and external crises shape volatility dynamics in emerging Asian stock markets. Using daily stock index returns for Indonesia, Malaysia, and the Philippines from 2010 to 2024, we estimate EGARCH(1,1) and TGARCH(1,1) models in a by-window design. The sample is split into the 2013 Taper Tantrum, the 2020-2021 COVID-19 period, the 2022-2023 rate-hike cycle, and tranquil p…
We study strategic interactions in a broker-mediated market in which agents learn and exploit each other's private information. A broker provides liquidity to an informed trader and to noise traders while managing inventory in a lit market. The informed trader infers the broker's trading activity in the lit market, while the broker estimates the trader's private signal. Information leakage in the client's trading flo…
This paper presents a new approach to volume ratio prediction in financial markets, specifically targeting the execution of Volume-Weighted Average Price (VWAP) strategies. Recognizing the importance of accurate volume profile forecasting, our research leverages the Transformer architecture to predict intraday volume ratio at a one-minute scale. We diverge from prior models that use log-transformed volume or turnover…
Automated Market Makers (AMMs) hold assets and are constantly being rebalanced by external arbitrageurs to match external market prices. Loss-versus-rebalancing (LVR) is a pivotal metric for measuring how an AMM pool performs for its liquidity providers (LPs) relative to an idealised benchmark where rebalancing is done not via the action of arbitrageurs but instead by trading with a perfect centralised exchange with …
Original Sin EM Debt — Inability to borrow long-term in local currency, raising external vulnerability.
Comparing DXY with an EM FX basket helps assess whether dollar strength is becoming a broader external-financing stress event for emerging markets.