Skip to main content
WeiMindWeiMind
ChineseView Course
Quant Radar
19 OctMon
  1. arXiv q-fin51

    arXiv Paper: Basis-Only Funding Rates Cannot Achieve Dividend Fairness — Settlement Design for Crypto-Equity Perpetuals

    This 16-page paper, accepted by MARBLE 2026, argues that crypto-exchange stock-like perpetual contracts calculate funding rates from the real-time basis and cannot replicate shareholder dividend cash flows for traders entering or exiting at arbitrary times. The authors derive a fair funding-rate identity, convert point-in-time fairness into an optimal stopping condition, and use measure theory to show that predictable dividends are atomic events. Absolutely continuous funding-rate paths cannot replicate this atom over a holding interval and must be matched with discrete event credits.

    Read original
  2. arXiv q-fin36

    Sanctions in a Multipolar World: The Role of Neutral Third Parties

    The paper constructs a three-party theoretical model of trade sanctions involving the sanctioning party, the target party, and a neutral third party, deriving three core conclusions: alliance members typically set different tariffs under Stackelberg timing or imperfect transfer payments; as sanctions tighten, the sanctioning party's welfare may exceed the optimal level under unilateral terms of trade; and when the sanctioning party and the target party compete for the support of a neutral third party, the feasible range of sanctions targets can be clearly defined. The model is applied to a calibrated analysis of sanctions on Russian crude oil, showing that if China and India take unilateral action or the sanctioning alliance offers better terms, the effectiveness of sanctions can increase by approximately 70%.

    Read original
  3. Federal Register: CFTC rules and notices23

    Agency Information Collection Activity: Notice of Intent to Extend OMB Control Number 3038-0093 (Part 40, General Provisions for Registered Entities)

    The CFTC is issuing a notice under the Paperwork Reduction Act (PRA) to seek public comment on the proposed extension of OMB Control Number 3038-0093, which corresponds to information collections under CFTC Regulation Part 40, General Provisions for Registered Entities. The public may submit comments online via Regulations.gov, by mail, or by hand delivery by December 18, 2026, with online submission encouraged. All comments must be submitted in English or accompanied by an English translation. Submissions will be made publicly available directly, so please do not include personal or commercially sensitive information that you do not wish to disclose.

    Read original
  4. arXiv q-fin55

    arXiv Paper: Weak-Form Efficiency Tests of the Full-History Market Capitalization Distribution of Crypto Assets

    Antonis Ballis and Christos Ioannidis released a working paper on arXiv, using a sample of all 8,970 crypto assets and 690 weekly cross-sections from 2013 to 2026 to directly observe asset entry, exit, and survival, and to test the weak-form efficiency symmetry constraints of the Markov chain for the crypto asset market capitalization distribution.

    Read original
  5. arXiv q-fin35

    Pricing Generalized Discrete Swaps under Multi-Asset Stochastic Volatility Models

    This paper proposes a generalized variance framework based on the determinant of the instantaneous covariance matrix of asset log returns for pricing multi-asset discrete swaps, which captures the joint discreteness of multivariate asset returns while accounting for their dependence structure. The framework is constructed under Heston and Barndorff-Nielsen-Shephard (BNS) stochastic volatility models, deriving analytical pricing expressions for the three-asset Heston model and tractable approximations for the corresponding BNS model.

    Read original
  7. Bank for International Settlements BIS: Research papers54

    BIS Working Paper: Competition Channels for Cross-Border Payments — Banks, Fintechs, and Stablecoins

    The Bank for International Settlements released Working Paper No. 1385, which compares the total costs of three cross-border payment channels: traditional correspondent banking and SWIFT-based bank transfers, fintech remittance operators such as Wise and Remitly, and stablecoin transfers. The study combines intraday fintech pricing, World Bank remittance data, bank transfer transactions, and crypto market data to construct comparable cost indicators across currencies and remittance sizes, distinguishing between foreign exchange markups and explicit fees.

    Read original
  9. Bank for International Settlements BIS: Research papers48

    Analysis of Inflation Impact After the Iran Conflict

    The Bank for International Settlements (BIS) released a research paper assessing the impact of the Iran conflict on inflation in the euro area, the United Kingdom, and the United States. As of May 2026, the conflict is expected to push up inflation in these regions by a combined 1.5 to 2 percentage points in 2026 and 2027, with rising inflation expectations potentially contributing an additional 0.3 to 0.4 percentage points. The scale and duration of this inflation shock are smaller than those of the 2021-2024 inflation crisis, and long-term inflation expectations remain broadly stable.

    Read original
  10. Bank for International Settlements BIS: Research papers28

    BIS Releases Research Papers for the 25th Annual Conference

    The Bank for International Settlements (BIS) has released research papers from its 25th Annual Conference, held on June 26, 2026, in Basel, Switzerland, under the theme 'Central Banking and Macro-Financial Stability in a Fragmented World Economy.' Three papers were published as BIS Working Papers 1384, 1385, and 1386, with a fourth to follow as BIS Working Paper 1387.

    Read original
  11. Bank for International Settlements BIS: Research papers53

    BIS Working Paper: Measuring Firms' Responses to Geoeconomic Pressure with Large Language Models

    The Bank for International Settlements (BIS) released Working Paper No. 1386, which proposes an LLM-based reasoning pipeline to identify firms' actions in response to geoeconomic pressure from earnings call transcripts and summarize the underlying logic. Compared with traditional NLP methods, it can extract implicit conditional relationships in the text rather than merely counting keywords.

    Read original
18 OctSun
  1. Moontower46

    When Intelligence Becomes as Cheap as Sunlight

    Moontower has released this issue, mentioning the Metagame event held at Lighthaven in Berkeley from November 6 to 8. Moontower readers can enjoy a $50 discount on regular tickets. This issue also shares AI-related thoughts, TIPS investment analysis, crude oil market learning resources, and pre-sale information for "How I Invest Volume 2", which will be shipped on October 20.

    Read original
  2. English translation is being prepared.11

    ST Juewei Will Remove Its "Special Treatment" Status on October 20, Interim Dividend Implementation Is Imminent, and the Upper Limit of Share Repurchase Price Is Lowered

    ST Juewei will officially remove its "special treatment" status on October 20, and will subsequently advance the implementation of interim dividends while lowering the upper limit of the share repurchase price. The relevant matters are important operational and capital operation arrangements recently disclosed by the company.

    Read original
17 OctSat
16 OctFri
  5. HKEX: Market Communications68

    HKEX Unveils T+1 Settlement Transition Roadmap for Securities Market, Targeting Implementation in H2 2028

    HKEX released the conclusions of its consultation on accelerating settlement, confirming broad market support for transitioning the Hong Kong securities market to a T+1 settlement cycle, with a target implementation in the second half of 2028, subject to market readiness and regulatory approval. The consultation received 109 non-duplicate responses from brokers, custodians, investment managers, industry associations, technology providers, and investors.

    Key Takeaways:HKEX announced a three-tier implementation framework for T+1 settlement and a target launch timeline in the second half of 2028, allowing market participants to plan system upgrades and operational preparations in advance.

    Read original
  9. News Search: U.S. Options Rules and New Contracts11

    CME Group E-mini Nasdaq-100 Futures Overview

    CME Group has released an overview of E-mini Nasdaq-100 futures. The current public text only mentions the name of this futures product and the issuing entity, without disclosing specific details such as contract specifications and trading rules.

    Read original
  13. English translation is being prepared.13

    Veteran Quant Manager with AUM Over 10 Billion May Leave to Launch Private Firm: Can Huaan Fund Find a Suitable Replacement?

    According to Yema Finance, a veteran quantitative manager managing tens of billions of RMB may leave to start a private fund, and the market is watching whether Huaan Fund can smoothly fill the related position. The specific identity, affiliated institution, and subsequent career details of this quantitative veteran have not yet been disclosed.

    Read original
  15. Bank for International Settlements BIS: Research papers51

    BIS Working Paper: How Offshore Non-Deliverable Forward Markets Transmit Exchange Rate Pressure in Emerging Markets

    The Bank for International Settlements (BIS) has released a working paper that studies the transmission effects of offshore NDF markets on onshore spot exchange rates, using centralized clearing NDF transaction-level data for 10 emerging market currencies from 2013 to 2025. The study shows that a $1 billion long USD order flow causes the onshore spot exchange rate to depreciate by approximately 10 basis points, while the offshore NDF exchange rate moves by about 18 basis points, and offshore transactions widen the spread between offshore and onshore rates; when dealer balance sheets are strained, the impact on the spot exchange rate is larger.

    Read original