Deep dives into AI trading, market analysis, and the future of DeFi.
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How Aave v3 and Compound liquidations actually work: health factor math, close factors, liquidation bonuses, Chainlink oracle triggers, and what it takes to run a flash-loan liquidation bot in 2026.
How Uniswap v3 really works under the hood: virtual reserves, liquidity L, sqrtPriceX96, tick math, feeGrowthInside, and why an LP position is a short-volatility payoff. With exact formulas and a worked numeric example.
Every swap you send to a public RPC is a visible limit order nobody has to honor. A technical breakdown of how MEV extraction works: mempool ordering, sandwich math on Uniswap v2, PGAs, Flashbots, and trader defenses.
Five rungs of fill simulation fidelity — from close-price fills to probabilistic queue-position models. Partial fills as a state machine, limit-fill probability bounds as a PnL bracket, and a calibration loop against live fills.
TWAP, VWAP and POV are bets on a volume forecast. We dissect each scheduler's hidden assumptions, build crypto intraday volume curves, and run all three head-to-head on replayed L2 data.
Full derivation of the Almgren-Chriss optimal execution model: linear impact, the sinh/cosh trajectory, the efficient frontier, and working Python for calibrating eta, gamma, and sigma from Binance L2 and trade data.
A GARCH volatility forecast is only worth something if it improves a trading decision. We build a volatility-targeted crypto strategy, evaluate forecast quality honestly, and compare GARCH against realized-vol and EWMA baselines in a walk-forward backtest.