Research
45d agoNew Framework For Perpetual Futures Market Making
A new theoretical framework models market making in perpetual futures as a stochastic optimal control problem. The researchers introduce a PnL decomposition theorem to isolate adverse selection loss from funding rate exposure. Using CARA utility and Hamilton-Jacobi-Bellman equations, the study defines specific high-APY regimes.
The Signal
This provides a mathematical basis for optimizing bid-ask spreads.