market-microstructure

Inside the $1 trillion repo market: SOFR transition, 56-to-1 Treasury basis trades, Fed standing facilities, and the 2019 and 2020 liquidity crises. 📊 Deep Research 🎥 Watch Video: https://youtu.be/D28mk_bOO4c Topics: quantitative finance, investment analysis, financial education, financial research, market analysis

I'm working with Kraken historical ETH-USD trade data from 2017 onward, which includes: Timestamp (Datetime) Trade ID Trade price Trade volume Taker side (buy/sell) Order type (market or marketable limit) My goal is to derive a fair (efficient) price series that's minimally affected by bid-ask bounce with the goal being to use it for execution backtesting and modeling/analysis. I am okay with dow…

From my reading I understand that: The Bitcoin Pi Cycle top indicator signals a top when: 111 day Simple Moving average > 350 day Simple Moving Average * 2 The Bitcoin Pi Cycle bottom indicator signals a bottom when: 150 day Exponential Moving Average <= .745 * 471 day Simple Moving Average The Bitcoin Pi Cycle bottom indicator then indicates the end of the bottoming zone when: 150 day Exponentia…

URBANA, Ill. — Meatingplace’s Tom Johnston reported that “the U.S. Department of Justice on Tuesday said it is expanding its investigation of record high beef prices to eight major grocery chains.“ “In a post on X, the DOJ’s Antitrust Division said Associate Attorney General Stanley Woodward sent letters to Kroger, Walmart, Publix, Albertsons, Aldi, Ahold […] The post DOJ Expands Beef Price Inves…

Hello, fellow Quants! Welcome to the OpenQuant newsletter - a publication dedicated to democratizing quantitative finance by sharing the latest news, jobs & internships, educational opportunities, and upcoming events in the industry. Here’s what we have in this week’s edition: - Quant News - catch up on what’s happening around the quant industry. - Quant Jobs - discover the latest internships/job…

Order-book imbalance looks simple. Count the bids. Count the asks. Compare them. If bids are much larger than asks, the market looks bullish. If asks are much larger than bids, the market looks bearish. But building a Polymarket bot around that assumption can be a serious mistake. A large imbalance does not automatically mean the price will move. Orders can disappear. New liquidity can arrive. Tr…

Before I start: Ok, this is something I investigated for a fair amount of time and my question is semi-academic. To simplify, I will introduce the short bit (TLDR) of my question and then lay out specifics. Short Question : What happens when option pricing model estimate and market price disagree? What is the course of action? What happens to the difference when I take positions on option and del…

Governments should examine whether major decisions to procure and adopt frontier technologies could restrict future competition, argue 2 academics at Cambridge Judge Business School writing in the leading journal Nature. They propose a contestability check to help public agencies reward strong performance today without closing credible routes for later suppliers. The post Governments urged to kee…

Hello, fellow Quants! Welcome to the OpenQuant newsletter - a publication dedicated to democratizing quantitative finance by sharing the latest news, jobs & internships, educational opportunities, and upcoming events in the industry. Here’s what we have in this week’s edition: - Quant News - catch up on what’s happening around the quant industry. - Quant Jobs - discover the latest internships/job…

The competition watchdog raised concerns in its latest update over ‘passive pricing strategies’ used by the majority of retailers.

The modern artificial intelligence and semiconductor markets are heavily dependent on two major technological titans, which shape how chips are [&#8230;]

The share of Treasury repo centrally cleared increased during 2025, reaching 71% by year-end, before stabilizing to 62% during Q1 2026.

A surge in stock markets towards year end goes against the idea of rational traders, yet it often happens.

Petrochemicals derived from oil and fossil fuels underlie the production of many consumer goods − and many you wouldn’t know from looking at the final product.

Market Intelligence Startup Innovation Radar: A real-time startup database Discover, track and compare startups in any industry Jay Feyerabend on Nov 06, 2025 15-Second summary Monitoring all emerging startups in your industry is vital, but current methodologies have flaws. Organic discovery is time-consuming and incomplete, while paid databases provide outdated metrics and rigid search options, …

Market Intelligence Turn press releases into competitive signals Feedly supports over 4,000 company press release sources so you can surface competitive signals faster Jay Feyerabend on Jun 10, 2025 15 Second-summary Manually tracking press releases across thousands of scattered sources is time-consuming, error-prone, and nearly impossible to scale until now. Feedly now supports thousands of comp…

Bitcoin’s rebound toward $69,000 is gaining momentum as Geoff Kendrick points to improving liquidity conditions and a potential cycle bottom.

Hello, fellow Quants! Welcome to the OpenQuant newsletter - a publication dedicated to democratizing quantitative finance by sharing the latest news, jobs & internships, educational opportunities, and upcoming events in the industry. Here’s what we have in this week’s edition: - Quant News - catch up on what’s happening around the quant industry. - Quant Jobs - discover the latest internships/job…

Where This Started This is a follow-up article to a piece I recently wrote about the token relay market. Noticeably absent from that piece was a mention of the rise of “token brokers” — people who buy unused credits from startups and then resell them. I first heard about token brokers while chatting with a good friend of mine who was receiving offers for Anthropic tokens at steep discounts. It wa…

Maglin M Raja, Research Scholar, Bhagwant University, Ajmer, Rajasthan (Department of Law) ABSTRACT Artificial Intelligence (AI) and algorithmic trading have fundamentally reshaped global financial markets through unprecedented analytical power, automation, and data-driven decision-making. While these technologies have enhanced liquidity, efficiency, and speed, they have simultaneously complicate…