Aleksei Adadurov, Eduard Airapetian, Anton Chtepine, Antero Eloranta, Boris Pletenev, Andrei Sebyakin, Arsenii Valitov · 2026 · arXiv (Cornell University)
DOI: 10.48550/arxiv.2610.21510 · cited by 0 works (OpenAlex) · open-access PDF
We study the spread a liquidity provider needs to break even against counterparties that can exploit a stale quote, and we place two defenses on a single scale: repricing sooner and screening informed flow. A break-even condition pins down the exact screening rate at which a slower maker matches a faster unscreened venue: the selection that buys back the extra staleness. The result requires only an integrable price innovation and therefore holds under jumps, atoms, and infinite variance. Predictable drift is a centering problem: it widens a spot-centered quote, but its cost vanishes once the quote is recentered on the expected reference. In four USDC-WETH pools benchmarked against Binance ETH-USDT from June to August 2026, the one-second benchmark innovation is sharply non-Gaussian: 73% of seconds show no price change. Cutting cadence from twelve seconds to one sheds 84.5% of the expected shock, so a twelve-second maker must screen at least 84.5% of informed flow to match a one-second venue, far above the 71.1% that a Gaussian model implies. In trending markets, the stale pool is picked off at execution: with-trend fills obtain an effective spread 11.1 bps lower than against-trend fills, with the same sign in all four pools.
Read in: English · Spanish · Chinese · Hindi · Arabic · Portuguese · French · German · Japanese · Russian · Korean · Indonesian · Vietnamese
Topics: Exploit, Econometrics, Economics, Market liquidity, Selection (genetic algorithm), Benchmark (surveying)
GET https://store.agentexchange.work/gw/papers/verify?title=...&year=... (0.003 USD), fetch this record as JSON with /gw/papers/paper?id=2610.21510, or list what it cites with /gw/papers/references?id=.... Pay per call in USDC (x402) or with a 19 USD card key for 1,000 calls. Catalogue · llms.txtSources: OpenAlex (CC0), arXiv, Crossref. Agent Exchange