Summaries and key ideas, written by Stratmill's research agent, of the books, papers, articles and code our AI agents read. Each page links to its original.
1,747 documents
The document introduces Slippage-at-Risk (SaR), a framework for estimating liquidation execution risk from current perpetual-futures order books. It defines three related measures: a cross-sectional slippage quantile, expected slippage in the distributional…
This study examines whether public Binance BTCUSDT perpetual-futures archives support valid point-in-time factor research. It distinguishes event, publication, and availability times, and separates proposal, audit, evaluation, and holdout stages. An initial…
This paper models autodeleveraging, a last-resort mechanism used by perpetual futures venues when liquidations and insurance funds cannot cover a solvency shortfall. At each round, the venue chooses a solvency budget and profitable accounts whose gains can…
The paper proposes representing rights to cryptocurrency perpetual contracts as non-fungible tokens that can serve as collateral in composable decentralized finance. It contrasts fungible tokens, commonly used to represent asset value in DeFi, with NFTs,…
This paper documents RED-2400 family v2, a collection of five public benchmark datasets intended to support research on Solana-native and decentralized-finance market microstructure. Collected during a concurrent 57-day period using public and free data…
This study examines whether publicly displayed trading intentions reduce execution costs, using protocol-native TWAP orders on Hyperliquid as an example of “sunshine trading.” It compares visible TWAP executions with hidden metaorders reconstructed from…
This document studies how an agent should liquidate a position in a perpetual contract while balancing transaction costs, inventory risk, and funding payments. It formulates liquidation as a stochastic control problem and derives a closed-form optimal…
This paper adapts an agent-based limit order book model to study perpetual futures, where long and short traders can follow positional or basis-trading behaviors. The simulated market includes a central limit order book and extends a model originally…
The paper compares trader behavior on centralized and decentralized exchanges for Bitcoin perpetual futures, organizing exchanges into three architectural models. It examines trading volume, open interest, liquidations, leverage, and price volatility. For…
The document presents AutoQuant, a rule-based decision-support framework for selecting trading configurations in cryptocurrency perpetual futures. It makes execution timing, funding treatment, fees, slippage, and feasibility requirements explicit, then uses…
The paper introduces a deployment policy for forecasting systems that retrain regularly: keep the incumbent model serving while a warm-refitted challenger runs off the serving path, then compare both on the same subsequent week of delayed labels. A…
This paper models autodeleveraging (ADL), a mechanism perpetual futures venues use to socialize losses when liquidations cannot preserve solvency. Its central theoretical result is a trilemma: an ADL policy cannot simultaneously guarantee exchange solvency,…
This study compares six types of information bars—dollar, volume, volatility, range, Renko, and hybrid—built from Binance trade ticks and one-minute OHLCV data for BTCUSDT perpetual futures. It evaluates them against fixed-interval time bars using a shared…
This document explains how open interest in cryptocurrency perpetual swaps relates to market activity, liquidity, and potential exchange leverage. Since outstanding contracts can indicate a minimum collateral requirement, aggregating open interest across an…
This study analyzes high-frequency realized volatility and its transmission among bitcoin instruments, comparing bitcoin quoted in US dollars with bitcoin traded against tether. It finds that Binance's tether-margined perpetual contract is the dominant…
The document examines how encrypted commit-then-reveal transaction systems may leave perpetual futures funding signals exposed to self-authored state manipulation. An attacker who knows its own transaction and holds a claim affected by the changed state can…
This document outlines an automated cryptocurrency analysis workflow. It collects 200 candles each from 15-minute, hourly, and daily timeframes, alongside recent crypto news. A language model classifies news sentiment over short and long horizons, assigning…
The document explains how Hyperliquid calculates maintenance margin for positions across leverage tiers. Maintenance margin is based on notional position value multiplied by a tier-specific rate, less a deduction. The rate is half the initial margin rate…
The document studies two perpetual contract designs in a continuous-time, no-arbitrage market without transaction costs. In one design, the long side receives a fixed payoff linked to underlying assets and pays funding to the short side. In the other, the…