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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.

168,657 papers · 148 categories

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0111 · Nov 202519922001200920172026
3 results for “autodeleveraging”
Autodeleveraging as Online Learningcs.GT

This paper formalizes autodeleveraging as online learning, providing robustness results and algorithms for better performance.

problem Autodeleveraging as a mechanism to restore solvency in perpetual futures markets when liquidation and insurance buffers are insufficient.
method Formalizes autodeleveraging as online learning on a PNL-haircut domain, using an algorithm to recover solvency.
result The optimized algorithm achieves about 2.6% of an upper bound on regret, reducing overshoot to $3M.
autodeleveragingonline learningperpetual futuressolvencyregret
2026-02-16abs ↗pdf ↗
Autodeleveraging: Impossibilities and Optimizationcs.GT

The paper proves ADL mechanisms face a trilemma and optimizes them for fairness, revenue, and exchange solvency.

problem The impossibility of a perpetual futures exchange achieving solvency, revenue, and fairness.
method Formal model of ADL, proving trilemma, and analyzing three ADL mechanisms.
result Optimized ADL mechanisms can reduce trader losses while maintaining exchange solvency.
ADLtrilemmaperpetual futuressolvencyrevenue
2025-11-30abs ↗pdf ↗
Slippage-at-Risk (SaR): A Forward-Looking Liquidity Risk Framework for Perpetual Futures Exchangesq-fin.RM

A new framework assesses liquidity risk in perpetual futures exchanges.

problem Measuring and predicting liquidation execution risk in perpetual futures markets.
method Slippage-at-Risk (SaR) framework, comprising three metrics: cross-sectional slippage quantile, expected slippage, and aggregate dollar-denominated tail slippage.
result SaR provides a forward-looking assessment of liquidation execution risk, predictive of systemic stress.
liquidity riskperpetual futuresforward-lookingslippagesystemic stress
2026-03-10abs ↗pdf ↗