5.26 The Dance of Volume and Price
Volume does not tell you direction, it tells you whether the move sticks. High volume means continuation, low volume means reversion. Use it as the regime switch on a directional signal, not as the signal.
Author
ali askar
5.25 The 24-Hour Rolling-Return Artifact
The exchange 24h change rolls, so the headline jumps when an old crash drops out of the window, not when price moves. Uninformed traders chase the mirage; front-run them by reading the hour about to exit.
5.24 Harvesting the Volatility Risk Premium by Hour
Slice average return and risk by UTC hour and a time-of-day premium appears: long BTC at midnight, short into the early hours. Then four fills of fees eat the 14 bps gross, which is why you treat it as a tilt, not a strategy.
5.23 SAR: Seasonal Autoregressive Volatility Forecasting
SAR fixes vol seasonality by adding lags at 24 and 168 hours to an AR model, fit by OLS. The daily lag injects the midnight and 14:00 bumps a plain AR(1) misses, so you stop quoting tight into them.
5.22 Crypto Volatility Seasonality
Crypto vol runs on a 24-hour clock, spiking at 14:00 and 00:00 UTC from session opens and midnight rebalancing. GARCH and HAR have no clock term, so they quote too tight into the predictable bursts.
1.24 Alpha Decay Is Just Competition (and Papers Lie)
Alpha decay isn't physics, it's a crowd. There are more funds than strategies, your edge gets divided until it dies, and published papers are crowded corpses. Verify everything yourself.
1.23 The Theory of Edge: Why the Market Pays You
Edge is not knowing what others don't, it's doing what others won't. You get paid for constraints: operational pain, capacity-vs-skill, risk premia, thin margins. Name your check or assume you have none.
6.47 Building a Trend Follower, Component by Component
A trend follower is 0.2 Sharpe on one market; the build is the strategy. Walk all seven stages: universe breadth, vol-normalized crossover, capped sizing, sector balance, inverse-vol risk, and buffered execution.
9.9 Arbitrage Is Just Projection: One Calculation Gives Trade, Profit, and Target Prices
The best arbitrage trade is the closest fair price to the unfair one. One projection returns the trade, the profit, and the target prices at once, measured with KL divergence, not a straight ruler.
9.8 The Marginal Polytope: One Shape That Contains Every Fair Price
Every arbitrage question reduces to one: is the price inside the marginal polytope or outside it. Inside means no trade; outside, the wall separating you from the shape is your portfolio.
9.7 The Dutch Book Theorem, Plainly, and Why Polymarket Will Always Have Arbitrage
Prices that don't sum to a dollar are a guaranteed trade, not a rounding error. De Finetti proved it in 1937, and Polymarket's speed-first design guarantees the mispricings keep coming.
9.6 Outcome Geometry: Why Two Fair Markets Can Be Jointly Unfair
Two prediction markets can each sum to a fair dollar and still be jointly riggable. The reason is geometry: logic deletes impossible outcomes, and the prices can land outside what's left.