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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,695 papers · 148 categories

Trend · papers per month

count% of corpus
0111 · Sep 201719922001200920172026
9 results for “Deribit”
Net Buying Pressure and the Information in Bitcoin Option Tradesq-fin.GN

Bitcoin option prices reflect both market maker supply and trader demand, especially from those with insider information.

problem Understanding how market prices of bitcoin options are influenced by both market makers and informed traders.
method Analysis of Deribit options tick-level data to identify supply and demand effects.
result At-the-money option prices are driven by volatility traders, while out-of-the-money options are influenced by both volatility traders and those with insider information.
BitcoinOptionsInformed TradersMarket MakersDeribit
2021-09-06abs ↗pdf ↗
Pool Value Replication (CPM) and Impermanent Loss Hedgingq-fin.RM

This work analyzes impermanent loss in decentralized markets and provides a hedging strategy.

problem Impermanent loss in automated market makers (AMMs).
method Analytical derivation of a static replication formula using European options, and numerical example with real data.
result Guaranteed hedging coverage for all final prices within a predefined interval.
Impermanent LossAutomated Market MakersDecentralized MarketsEuropean OptionsHedging Strategy
2025-03-27abs ↗pdf ↗
Static Replication of Impermanent Loss for Concentrated Liquidity Provision in Decentralised Marketsq-fin.GN

The article provides formulas to hedge impermanent loss in decentralized markets.

problem Impermanent loss in concentrated liquidity provision in decentralized markets.
method Analytical characterizations and static replication formulas using European calls or puts.
result Static replication formulas accurately hedge impermanent loss.
Impermanent LossDecentralized MarketsConcentrated LiquidityEuropean CallsEuropean Puts
2022-05-24abs ↗pdf ↗
Inverse and Quanto Inverse Options in a Black-Scholes Worldq-fin.PR

We explore inverse and quanto inverse crypto options, their pricing, and applications.

problem Market incompleteness in crypto options trading.
method Comparison of direct and inverse options, and introduction of currency-protected 'quanto' options.
result Pricing and hedging characteristics of inverse and quanto inverse options in a Black-Scholes framework.
crypto optionsinverse optionsquanto optionsmarket incompletenessBlack-Scholes
2021-07-26abs ↗pdf ↗
Pricing and hedging for liquidity provision in Constant Function Market Makingq-fin.MF

The paper develops a new framework for pricing and hedging liquidity in crypto markets.

problem Arbitrage and risk management in crypto market making.
method Developed a new mathematical framework using a coordinate system defined by price and intrinsic liquidity.
result Established a linear dependence of asset reserves and value functions on intrinsic liquidity, facilitating arbitrage-free pricing and delta hedging.
crypto marketsmarket makingliquidity provisionImpermanent LossCarr-Madan formula
2026-03-02abs ↗pdf ↗
Do Prediction Markets Forecast Cryptocurrency Volatility? Evidence from Kalshi Macro Contractsq-fin.ST

Kalshi prediction markets forecast cryptocurrency volatility through monetary policy and inflation signals.

problem Forecasting cryptocurrency volatility using prediction markets.
method Monetary policy and inflation signals from Kalshi prediction markets.
result Signals from Kalshi prediction markets predict cryptocurrency volatility with statistical significance.
prediction marketscryptocurrencyvolatilitymonetary policyinflation
2026-04-01abs ↗pdf ↗