Aligrithm

On the Binance BTCUSDT perpetual, the twenty best bids and asks in the five minutes before a scheduled macro release already put the book in one of three labels: calm, mixed, or stressed.

McMillan finds that from 2009 a US stock-bond book needs an 80% stock weight to stay on the return path a 50/50 book had traced before 2000.

Batten, Loncarski, Szilagyi, and Zhou put a long gold book next to the 10-year real yield and the dollar.

Dominik Feil and Max Nendel work out the bid and the ask for a contract that pays 1 if an event happens and 0 if it does not, and they read the traded price as that probability.

Doug Borden, in Knight Capital's electronic trading group, wrote a maker's quote as two prices and two weights for a Columbia workshop on 19 November 2010.

The Hyperliquid BTC-USD perpetual is a price-time book with a one-dollar tick, and the spread sits on that tick almost all the time.

Hummingbot's dynamic pure market maker quotes a crypto perpetual around a reference price, the center between the bid and the ask, and it shifts that center with MACD, the difference between a fast and a slow exponential moving average.

A one-standard-deviation rise in a country's commodity export prices predicts a 0.39% appreciation of its currency against the dollar over the next month.

Gómez-Cram, Guo, Jensen, and Kung score a Polymarket account by scrambling its book.

Victoria Portnaya lines up the Polymarket contract "BTC above $27,000 at end of September?"

Cosenza and Stalder line up trade prices from eight Bitcoin books, three regulated dollar spot markets and five USDT markets, two of those perpetual futures, and ask which book's last trade enters the move that does not die out.

Fieberg, Liedtke, Poddig, Walker, and Zaremba build a weekly score from 28 technical indicators, buy the value-weighted top fifth of coins, and short the bottom fifth.

Babayev and Aliyev's on-chain quality factor posts a Newey-West t-statistic of 9.80 and a top-minus-bottom quintile return of 244.5% a year.

Twelve commodity futures, three momentum windows and an intercept, ten years of daily closes: 444 coefficients on 2,520 rows.

Wang reports logistic regression at 0.7284 binary accuracy on the next 500 milliseconds of the Bybit BTC/USDT limit order book, XGBoost, a gradient-boosted tree, at 0.7281, and DeepLOB, the convolutional network with a memory layer from Zhang, Zohren, and…

You rebalance a long-short of NYSE names once a month, and you keep the top 100 and the bottom 100.

Buy-and-hold on the volatility-scaled US market earns an out-of-sample Sharpe ratio of 0.5494 from January 1940 to December 2020.

McLean and Pontiff record stock-portfolio predictors whose performance is 26% lower out of sample than in sample, and 58% lower after publication.

Gil Cohen fits second-, third-, and fourth-degree polynomial moving regression bands to Nasdaq-100 names from 2017 through March 2024, charges 0.3% on each fill, and names the four-degree model best.

Wang and Zhang study more than 300 altcoins on Binance from 2020 to 2024 and flag about 200 spikes as spot-futures manipulation.

Huang and Shum Nolan buy three names.

On the non-microcap book, 0.50% times the Gu-Kelly-Xiu neural net's turnover of 0.869 costs 0.4345% a month.

A feature that matches the sign of the next E-mini return on 4 days out of 5 leaves 0.722 bits of uncertainty about that sign.

The Euro Stoxx 50 future's trade price led the DAX future's midpoint on 99% of trading days from January to June 2021, and the lag that maximized the correlation was 100 microseconds.

On S&P 500 names from 2000 to 2022, the best book in Raymond Leung's grid is multi-view co-regularized spectral clustering with 25 clusters, a plain long-short spread, and an Ornstein-Uhlenbeck entry and exit.

A pairwise screen of the 64-futures book, at a 5% level and five lags, expects 1,008 false links when every cross-link is null.

Divide a stock's 21-day moving average by its 200-day moving average.

Barak, Razmi and Mousavi report an out-of-sample Sharpe ratio of 1.34 against 0.59 for the best static version of the identical trading logic, on 50 crypto futures from January 2022 to January 2024, with a Ledoit-Wolf bootstrap p-value of 0.008 on the dif…

Pham, Han, Nguyen, Pham and Do build one index and then trade it backwards.

A 70.8% continuation rate looks like a trade.

Bloomberg started selling the clock inside the bar.

Fit a connected piecewise-linear trend to the Swiss Leaders Index with fifteen breakpoints and you get an in-sample R-squared of 0.954.

Bitcoin's volatility does not mix randomly across time.

A 50/50 stock-bond portfolio that earned its target return with moderate volatility before 2000 requires an 80/20 allocation after 2000 to maintain the same profile.

The Avellaneda-Stoikov framework gives you a clean optimization: post at some depth from the midprice, collect fills according to an exponential probability, penalize inventory quadratically, and done.

Sasha Stoikov called it the "worst-kept secret of high-frequency trading" in a 2014 seminar: the volume imbalance in a limit order book predicts the next mid-price move.

Easley, O'Hara, Yang and Zhang take five textbook microstructure measures, compute them on Binance one-minute bars for BTC, ETH, XRP, SOL and ADA over January 2021 to July 2023, and ask a random forest to call the sign of tomorrow's change in the return d…

A currency futures book built from other currency futures scores a Sharpe of 0.16.

Shaw Dalen and the Daedalus Research Team want to give prediction markets what Black and Scholes gave options: one shared kernel, one quotable risk factor, and a derivative layer on top.

Kelly, Malamud and Zhou opened their Journal of Finance paper by reporting out-of-sample market timing Sharpe ratio improvements "relative to market buy-and-hold" of roughly 0.47 per year, earned by a model with 12,000 predictors trained on 12 monthly obs…

Hernández-Romo and co-authors ran four population-based optimizers 31 times each, 1000 generations per run, population of 50, tuning an eight-parameter moving-average strategy on five-minute BTC/USDC bars from January 2020 to March 2025.

Johann Christian Lotter opens his workshop deck with four lines that do more work than most methodology chapters.

Take two stocks that both end the month flat.

Factor timing is the seductive idea that you can do better than holding a basket of factors: lean into value when value looks cheap, load momentum when momentum is running, cut a factor when its volatility spikes.

An 8-week dual-momentum switch between GLD and IBIT returns 79.91% a year at a Sharpe of 1.64.

Every pairs-trading tutorial starts the same way.

Three papers crossed my desk this month.