Tootfinder

Arbitrage with bounded Liquidity
Christoph Schlegel
https://arxiv.org/abs/2507.02027 https://arxiv.org/pdf/2507.02027

Arbitrage with bounded Liquidity
The arbitrage gains or, equivalently, Loss Versus Rebalacing (LVR) for arbitrage between two imperfectly liquid markets is derived. To derive the LVR, I assume a quadratic trading cost to model the cost of trading on the more liquid exchange and discuss to which situations my model arguably applies well (long tail CEX-DEX arbitrage, DEX-DEX arbitrage) and to which not so well (CEX-DEX arbitrage for major pairs). I discuss extension to other cost functions and directions for future research.

This https://arxiv.org/abs/2504.06686 has been replaced.
initial toot: https://mastoxiv.page/@arXiv_mat…

Quantitative Halmos-Savage theorems and robust large financial markets
We establish a quantitative version of the classical Halmos-Savage Theorem for convex sets of probability measures and its dual counterpart, generalizing previous quantitative versions. These results are then used to derive robust versions of the fundamental theorem of asset pricing (FTAP) in large financial markets in a one period setting, characterizing the absence of arbitrage under Knightian uncertainty. To this end, we consider robust formulations of no asymptotic arbitrage of first kind (…

This https://arxiv.org/abs/2506.01462 has been replaced.
initial toot: https://mastoxiv.page/@arXiv_csCR_…

First-Spammed, First-Served: MEV Extraction on Fast-Finality Blockchains
This research analyzes the economics of spam-based arbitrage strategies on fast-finality blockchains. We begin by theoretically demonstrating that, splitting a profitable MEV opportunity into multiple small transactions is the optimal strategy for CEX-DEX arbitrageurs. We then empirically validate these findings on major Ethereum rollups. To uncover the structure of reverted transactions, we construct execution graphs from transaction traces and systematically search them to identify DEX or rou…

Optimal BESS Scheduling for Multi-Market Participation in the Nordics
Zeenat Hameed, Chresten Traeholt
https://arxiv.org/abs/2506.02837 https://

Optimal BESS Scheduling for Multi-Market Participation in the Nordics
Battery energy storage systems BESSs can provide fast frequency reserves and energy arbitrage in Nordic electricity markets but their limited energy capacity requires accurate revenue forecasts and coordinated bidding across multiple submarkets. This paper introduces a unified framework that employs generalized additive models GAMs to generate one week ahead forecasts of spot and FCRN revenues in Denmark, Finland, and Norway using three years of hourly price and volume data. Forecast outputs fe…

This https://arxiv.org/abs/2411.13558 has been replaced.
initial toot: https://mastoxiv.page/@arXiv_qfi…

Finding the nonnegative minimal solutions of Cauchy PDEs in a volatility-stabilized market
The strong relative arbitrage problem in Stochastic Portfolio Theory seeks an investment strategy that almost surely outperforms a benchmark portfolio at the end of a given time horizon. The highest relative return in relative arbitrage opportunities is characterized by the smallest nonnegative continuous solution of a Cauchy problem for a partial differential equation (PDE). However, solving this type of PDE poses analytical and numerical challenges, due to the high dimensionality and its non-…

🍫 High cocoa prices drive smuggling surge, alarming traders
https://www.japantimes.co.jp/business/2025/06/17/markets/cocoa-prices-smuggling-traders/
🆓

Reproducing kernel Hilbert space methods for modelling the discount curve
Andreas Celary, Paul Kr\"uhner, Zehra Eksi
https://arxiv.org/abs/2506.03342 …

Reproducing kernel Hilbert space methods for modelling the discount curve
We consider the theory of bond discounts, defined as the difference between the terminal payoff of the contract and its current price. Working in the setting of finite-dimensional realizations in the HJM framework, under suitable notions of no-arbitrage, the admissible discount curves take the form of polynomial, exponential functions. We introduce reproducing kernels that are admissible under no-arbitrage as a tractable regression basis for the estimation problem in calibrating the model to ma…

Experts raise concerns that Malta's expedited MiCA licensing process may lack sufficient enforcement and oversight; OKX received a MiCA license in four days (CoinDesk)
https://www.coindesk.com/news-analysis/202

'Like Ordering McDonald's:' Malta's MiCA Fast-Track Draws Oversight Concerns
Some people think Malta is nimble and innovative when it comes to regulation. But others see a fast track to regulatory arbitrage.

This https://arxiv.org/abs/2505.22784 has been replaced.
initial toot: https://mastoxiv.page/@arXiv_eco…

Split the Yield, Share the Risk: Pricing, Hedging and Fixed rates in DeFi
We present the first formal treatment of \emph{yield tokenization}, a mechanism that decomposes yield-bearing assets into principal and yield components to facilitate risk transfer and price discovery in decentralized finance (DeFi). We propose a model that characterizes yield token dynamics using stochastic differential equations. We derive a no-arbitrage pricing framework for yield tokens, enabling their use in hedging future yield volatility and managing interest rate risk in decentralized l…

Function space induced by no arbitrage
Kihun Nam, Yunxi Xu
https://arxiv.org/abs/2506.22213 https://arxiv.org/pdf/2506.22213

Function space induced by no arbitrage
In this article, we show necessary and sufficient conditions for a function to transform a continuous Markov semimartingale to a semimartingale. As a result, the no-arbitrage principle guarantees the differentiability of asset prices with respect to the underlying noise, if the asset prices are continuous and the underlying noise is a continuous Markov semimartingale.

Repeated Auctions with Speculators: Arbitrage Incentives and Forks in DAOs
Nicolas Eschenbaum, Nicolas Greber
https://arxiv.org/abs/2505.21296 https://

Repeated Auctions with Speculators: Arbitrage Incentives and Forks in DAOs
We analyze the vulnerability of decentralized autonomous organizations (DAOs) to speculative exploitation via their redemption mechanisms. Studying a game-theoretic model of repeated auctions for governance shares with speculators, we characterize the conditions under which -- in equilibrium -- an exploitative exit is guaranteed to occur, occurs in expectation, or never occurs. We evaluate four redemption mechanisms and extend our model to include atomic exits, time delays, and DAO spending str…

An analysis of capital market through the lens of integral transforms: exploring efficient markets and information asymmetry
Kiran Sharma, Abhijit Dutta, Rupak Mukherjee
https://arxiv.org/abs/2506.06350

An analysis of capital market through the lens of integral transforms: exploring efficient markets and information asymmetry
Post Modigliani and Miller (1958), the concept of usage of arbitrage created a permanent mark on the discourses of financial framework. The arbitrage process is largely based on information dissemination amongst the stakeholders operating in the financial market. The advent of the efficient market Hypothesis draws close to the M&M hypothesis. Giving importance to the arbitrage process, which effects the price discovery in the stock market. This divided the market as random and efficient cohort …

Optimistic MEV in Ethereum Layer 2s: Why Blockspace Is Always in Demand
Ozan Solmaz, Lioba Heimbach, Yann Vonlanthen, Roger Wattenhofer
https://arxiv.org/abs/2506.14768

Optimistic MEV in Ethereum Layer 2s: Why Blockspace Is Always in Demand
Layer 2 rollups are rapidly absorbing DeFi activity, securing over $40 billion and accounting for nearly half of Ethereum's DEX volume by Q1 2025, yet their MEV dynamics remain understudied. We address this gap by defining and quantifying optimistic MEV, a form of speculative, on-chain cyclic arbitrage whose detection and execution logic reside largely on-chain in smart contracts. As a result of their speculative nature and lack of off-chain opportunity verification, optimistic MEV transactions…

Hybrid Stabilization Protocol for Cross-Chain Digital Assets Using Adaptor Signatures and AI-Driven Arbitrage
Shengwei You, Andrey Kuehlkamp, Jarek Nabrzyski
https://arxiv.org/abs/2506.05708

Hybrid Stabilization Protocol for Cross-Chain Digital Assets Using Adaptor Signatures and AI-Driven Arbitrage
Stablecoins face an unresolved trilemma of balancing decentralization, stability, and regulatory compliance. We present a hybrid stabilization protocol that combines crypto-collateralized reserves, algorithmic futures contracts, and cross-chain liquidity pools to achieve robust price adherence while preserving user privacy. At its core, the protocol introduces stabilization futures contracts (SFCs), non-collateralized derivatives that programmatically incentivize third-party arbitrageurs to cou…

Techno-economic optimization of hybrid steam-electric energy systems with excess heat utilization and reserve market participation
Olav Galteland, Jacob Hadler-Jacobsen, Hanne Kauko
https://arxiv.org/abs/2506.14252

Techno-economic optimization of hybrid steam-electric energy systems with excess heat utilization and reserve market participation
This study investigates the economic viability and optimal configuration of a hybrid industrial energy system combining an electrode boiler, steam accumulator, and battery energy storage system (BESS). This study optimizes system operation for a specific configuration to minimize net energy costs, defined as energy costs minus profits from price arbitrage and reserve markets. The optimization uses load shifting, peak shaving, and frequency containment reserve market participation with hourly 20…

Replaced article(s) found for q-fin.MF. https://arxiv.org/list/q-fin.MF/new
[1/1]:
- Robust No-Arbitrage under Projective Determinacy
Alexandre Boistard, Laurence Carassus, Safae Issaoui

Split the Yield, Share the Risk: Pricing, Hedging and Fixed rates in DeFi
Viraj Nadkarni, Pramod Viswanath
https://arxiv.org/abs/2505.22784 https://…

Split the Yield, Share the Risk: Pricing, Hedging and Fixed rates in DeFi
We present the first formal treatment of \emph{yield tokenization}, a mechanism that decomposes yield-bearing assets into principal and yield components to facilitate risk transfer and price discovery in decentralized finance (DeFi). We propose a model that characterizes yield token dynamics using stochastic differential equations. We derive a no-arbitrage pricing framework for yield tokens, enabling their use in hedging future yield volatility and managing interest rate risk in decentralized l…

Industrial Flexibility Investment Under Uncertainty: A Multi-Stage Stochastic Framework Considering Energy and Reserve Market Participation
Amund Norland, Lasse Skare, Ole Jakob Viken, Stian Backe
https://arxiv.org/abs/2506.08638

Industrial Flexibility Investment Under Uncertainty: A Multi-Stage Stochastic Framework Considering Energy and Reserve Market Participation
The global energy transition toward net-zero emissions by 2050 is expected to increase the share of variable renewable energy sources (VRES) in the energy mix. As a result, industrial actors will encounter more complex market conditions, characterized by volatile electricity prices, rising carbon costs, and stricter regulations. This situation calls for the industry to capitalize on opportunities in both spot-price arbitrage and reserve market participation, while also meeting future regulatory…

Deep Learning Enhanced Multi-Day Turnover Quantitative Trading Algorithm for Chinese A-Share Market
Yimin Du
https://arxiv.org/abs/2506.06356 https://

Deep Learning Enhanced Multi-Day Turnover Quantitative Trading Algorithm for Chinese A-Share Market
This paper presents a sophisticated multi-day turnover quantitative trading algorithm that integrates advanced deep learning techniques with comprehensive cross-sectional stock prediction for the Chinese A-share market. Our framework combines five interconnected modules: initial stock selection through deep cross-sectional prediction networks, opening signal distribution analysis using mixture models for arbitrage identification, market capitalization and liquidity-based dynamic position sizing…

This https://arxiv.org/abs/2406.12417 has been replaced.
initial toot: https://mastoxiv.page/@arXiv_qfi…

Fees in AMMs: A quantitative study
In the ever evolving landscape of decentralized finance automated market makers (AMMs) play a key role: they provide a market place for trading assets in a decentralized manner. For so-called bluechip pairs, arbitrage activity provides a major part of the revenue generation of AMMs but also a major source of loss due to the so-called 'informed orderflow'. Finding ways to minimize those losses while still keeping uninformed trading activity alive is a major problem in the field. In this paper we…

This https://arxiv.org/abs/2404.03976 has been replaced.
initial toot: https://mastoxiv.page/@arXiv_qfi…

A theoretical framework for fees in AMMs
In the ever evolving landscape of decentralized finance automated market makers (AMMs) play a key role: they provide a market place for trading assets in a decentralized manner. For so-called bluechip pairs, arbitrage activity provides a major part of the revenue generation of AMMs but also a major source of loss due to the so-called informed orderflow. Finding ways to minimize those losses while still keeping uninformed trading activity alive is a major problem in the field. In this paper we w…

The Additive Bachelier model with an application to the oil option market in the Covid period
Roberto Baviera, Michele Domenico Massaria
https://arxiv.org/abs/2506.09760

The Additive Bachelier model with an application to the oil option market in the Covid period
In April 2020, the Chicago Mercantile Exchange temporarily switched the pricing formula for West Texas Intermediate oil market options from the Black model to the Bachelier model. In this context, we introduce an Additive Bachelier model that provides a simple closed-form solution and a good description of the Implied volatility surface. This new Additive model exhibits several notable mathematical and financial properties. It ensures the no-arbitrage condition, a critical requirement in highly…