Tootfinder

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.

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.

Identification of phase correlations in Financial Stock Market Turbulence
Kiran Sharma, Abhijit Dutta, Rupak Mukherjee
https://arxiv.org/abs/2508.20105 https://

Identification of phase correlations in Financial Stock Market Turbulence
The basis of arbitrage methods depends on the circulation of information within the framework of the financial market. Following the work of Modigliani and Miller, it has become a vital part of discussions related to the study of financial networks and predictions. The emergence of the efficient market hypothesis by Fama, Fisher, Jensen and Roll in the early 1970s opened up the door for discussion of information affecting the price in the market and thereby creating asymmetries and price distor…

Arbitrage Tactics in the Local Markets via Hierarchical Multi-agent Reinforcement Learning
Haoyang Zhang, Mina Montazeri, Philipp Heer, Koen Kok, Nikolaos G. Paterakis
https://arxiv.org/abs/2507.16479

Arbitrage Tactics in the Local Markets via Hierarchical Multi-agent Reinforcement Learning
Strategic bidding tactics employed by prosumers in local markets, including the Local Electricity Market (LEM) and Local Flexibility Market (LFM), have attracted significant attention due to their potential to enhance economic benefits for market participants through optimized energy management and bidding. While existing research has explored strategic bidding in a single market with multi-agent reinforcement learning (MARL) algorithms, arbitrage opportunities across local markets remain unexp…

Graph Learning for Foreign Exchange Rate Prediction and Statistical Arbitrage
Yoonsik Hong, Diego Klabjan
https://arxiv.org/abs/2508.14784 https://arxiv.or…

Graph Learning for Foreign Exchange Rate Prediction and Statistical Arbitrage
We propose a two-step graph learning approach for foreign exchange statistical arbitrages (FXSAs), addressing two key gaps in prior studies: the absence of graph-learning methods for foreign exchange rate prediction (FXRP) that leverage multi-currency and currency-interest rate relationships, and the disregard of the time lag between price observation and trade execution. In the first step, to capture complex multi-currency and currency-interest rate relationships, we formulate FXRP as an edge-…

Measuring CEX-DEX Extracted Value and Searcher Profitability: The Darkest of the MEV Dark Forest
Fei Wu, Danning Sui, Thomas Thiery, Mallesh Pai
https://arxiv.org/abs/2507.13023

Measuring CEX-DEX Extracted Value and Searcher Profitability: The Darkest of the MEV Dark Forest
This paper provides a comprehensive empirical analysis of the economics and dynamics behind arbitrages between centralized and decentralized exchanges (CEX-DEX) on Ethereum. We refine heuristics to identify arbitrage transactions from on-chain data and introduce a robust empirical framework to estimate arbitrage revenue without knowing traders' actual behaviors on CEX. Leveraging an extensive dataset spanning 19 months from August 2023 to March 2025, we estimate a total of 233.8M USD extracted …

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.

Statistical Arbitrage in Options Markets by Graph Learning and Synthetic Long Positions
Yoonsik Hong, Diego Klabjan
https://arxiv.org/abs/2508.14762 https://

Statistical Arbitrage in Options Markets by Graph Learning and Synthetic Long Positions
Statistical arbitrages (StatArbs) driven by machine learning has garnered considerable attention in both academia and industry. Nevertheless, deep-learning (DL) approaches to directly exploit StatArbs in options markets remain largely unexplored. Moreover, prior graph learning (GL) -- a methodological basis of this paper -- studies overlooked that features are tabular in many cases and that tree-based methods outperform DL on numerous tabular datasets. To bridge these gaps, we propose a two-sta…

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…

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

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…

Risk-Neutral Pricing of Random-Expiry Options Using Trinomial Trees
Sebastien Bossu, Michael Grabchak
https://arxiv.org/abs/2508.17014 https://arxiv.org/pd…

Risk-Neutral Pricing of Random-Expiry Options Using Trinomial Trees
Random-expiry options are nontraditional derivative contracts that may expire early based on a random event. We develop a methodology for pricing these options using a trinomial tree, where the middle path is interpreted as early expiry. We establish that this approach is free of arbitrage, derive its continuous-time limit, and show how it may be implemented numerically in an efficient manner.

Arbitrage on Decentralized Exchanges
Xue Dong He, Chen Yang, Yutian Zhou
https://arxiv.org/abs/2507.08302 https://arxiv.org/pdf/2507.…

Arbitrage on Decentralized Exchanges
Decentralized exchanges (DEXs) are alternative venues to centralized exchanges (CEXs) for trading cryptocurrencies and have become increasingly popular. An arbitrage opportunity arises when the exchange rate of two cryptocurrencies in a DEX differs from that in a CEX. Arbitrageurs can then trade on the DEX and CEX to make a profit. Trading on the DEX incurs a gas fee, which determines the priority of the trade being executed. We study a gas-fee competition game between two arbitrageurs who maxi…

Measuring DEX Efficiency and The Effect of an Enhanced Routing Method on Both DEX Efficiency and Stakeholders' Benefits
Yu Zhang, Claudio J. Tessone
https://arxiv.org/abs/2508.03217

Measuring DEX Efficiency and The Effect of an Enhanced Routing Method on Both DEX Efficiency and Stakeholders' Benefits
The efficiency of decentralized exchanges (DEXs) and the influence of token routing algorithms on market performance and stakeholder outcomes remain underexplored. This paper introduces the concept of Standardized Total Arbitrage Profit (STAP), computed via convex optimization, as a systematic measure of DEX efficiency. We prove that executing the trade order maximizing STAP and reintegrating the resulting transaction fees eliminates all arbitrage opportunities-both cyclic arbitrage within DEXs…

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 …

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-…

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…

Revisiting Stochastic Collocation with Exponential Splines for an Arbitrage-Free Interpolation of Option Prices
Fabien Le Floc'h
https://arxiv.org/abs/2508.12419 https://

Revisiting Stochastic Collocation with Exponential Splines for an Arbitrage-Free Interpolation of Option Prices
We revisit the stochastic collocation method using the exponential of a quadratic spline. In particular, we look in details whether it is more appropriate to fix the ordinates and optimize the abscissae of an interpolating spline or to fix the abscissae and optimize the parameters of a B-spline representation.

Unravelling the Probabilistic Forest: Arbitrage in Prediction Markets
Oriol Saguillo, Vahid Ghafouri, Lucianna Kiffer, Guillermo Suarez-Tangil
https://arxiv.org/abs/2508.03474 h…

Unravelling the Probabilistic Forest: Arbitrage in Prediction Markets
Polymarket is a prediction market platform where users can speculate on future events by trading shares tied to specific outcomes, known as conditions. Each market is associated with a set of one or more such conditions. To ensure proper market resolution, the condition set must be exhaustive -- collectively accounting for all possible outcomes -- and mutually exclusive -- only one condition may resolve as true. Thus, the collective prices of all related outcomes should be \$1, representing a c…

Market Viability and Completeness for Multinomial Models
Nahuel I. Arca
https://arxiv.org/abs/2508.13966 https://arxiv.org/pdf/2508.13966

Market Viability and Completeness for Multinomial Models
We study a generalization of the classical binomial model that consists in allowing any finite number of branches in each node of the tree representation. In this model, we show that the two fundamental theorems of asset pricing have a geometric interpretation and, using this, we give necessary and sufficient conditions for a market to be arbitrage-free and complete. We also present an algorithm for completing arbitrage-free markets in every possible way. We apply these results to the study of …

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…

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…

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/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…

Replaced article(s) found for q-fin.PR. https://arxiv.org/list/q-fin.PR/new
[1/1]:
- Automated Market Making and Arbitrage Profits in the Presence of Fees
Jason Milionis, Ciamac C. Moallemi, Tim Roughgarden

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…

Replaced article(s) found for q-fin.MF. https://arxiv.org/list/q-fin.MF/new
[1/1]:
- Automated Market Making and Arbitrage Profits in the Presence of Fees
Jason Milionis, Ciamac C. Moallemi, Tim Roughgarden

Replaced article(s) found for q-fin.PR. https://arxiv.org/list/q-fin.PR/new
[1/1]:
- Statistical Arbitrage in Options Markets by Graph Learning and Synthetic Long Positions
Yoonsik Hong, Diego Klabjan

Accounting for Subsystem Aging Variability in Battery Energy Storage System Optimization
Melina Grane, Martin Cornejo, Holger Hesse, Andreas Jossen
https://arxiv.org/abs/2507.04813

Accounting for Subsystem Aging Variability in Battery Energy Storage System Optimization
This paper presents a degradation-cost-aware optimization framework for multi-string battery energy storage systems, emphasizing the impact of inhomogeneous subsystem-level aging in operational decision-making. We evaluate four scenarios for an energy arbitrage scenario, that vary in model precision and treatment of aging costs. Key performance metrics include operational revenue, power schedule mismatch, missed revenues, capacity losses, and revenue generated per unit of capacity loss. Our ana…

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…

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…

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…

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