Research2h ago
New Framework For Perpetual Futures Market Making
A new paper on arXiv introduces a stochastic optimal control framework for liquidity provision in perpetual futures. It decomposes profit and loss into five distinct components, including adverse selection and funding rate exposure. The research provides a Hamilton-Jacobi-Bellman equation to optimize bid-ask spreads. Quant traders can use these theorems to identify high-yield regimes.