HYPERLIQUID · PERPETUAL FUTURES

ARB

ARB-USD perpetual · 24/7 trading on Hyperliquid

▸ Advanced metrics · M2M bundle

hyperliquid · perp-arb · fresh · feed 2s old
24h sparkline · 60 pts▼ -4.08%
realized vol (ann.)
39.75%
max drawdown
0.99%
sharpe
-23.94
ulcer index
0.52%
RMS drawdown
pain index
0.43%
mean drawdown
mod. VaR 95%
0.03%
Cornish-Fisher
martin ratio
-1824.27
ret / ulcer
CDaR 95%
0.92%
cond. drawdown
gain/pain
0.96
Σgain / Σ|loss|
sterling
-1030.67
ret / CDaR
omega (θ=0)
0.96
upside/downside
roll spread
0.0 bps
implied (price-only)
bars used
2000
store
spread
—
24h Δ
-4.08%
flow lean
—
carry
longs_pay
10.95%
signalSHORTconfidence 39%suggested side: SELL
  • 24h change -4.08%
  • funding: longs pay — perp shorts get paid to wait
  • mark cheap vs HL oracle by 7.2bps — long bias
Same bundle via M2M API: /api/m2m/hl-ARB/bundle · venue execution: hyperliquid →
LIVEPOLL0SRCFRESH2.2s⏱--:--:-- UTC8NEXT8.0sUP0s--:--HIST0/30
▶ STREAMING·HYPERLIQUID·POLYMARKET·0 POLLS·SRC FRESH·UPTIME 0s·NEXT POLL 8.0s·CC0 OPEN DATA·HYPO.MARKETS·▶ STREAMING·HYPERLIQUID·POLYMARKET·0 POLLS·SRC FRESH·UPTIME 0s·NEXT POLL 8.0s·CC0 OPEN DATA·HYPO.MARKETS·
MARK · live
$0.083
24h Δ · live
-4.08%
24h vol · live
$1.2M
ARB · live 24h price
n=25 · μ=0.0844 · σ=0.0012 · range [0.0828, 0.0863] · R²=0.940▼ FALLING -4.11%σ NORMAL 1.37%LAST 0.08280.08630.08540.08450.08360.0828μ = 0.0844max 0.0863min 0.0828dataMA(5)OLS R²=0.94μ lineμ ± σ bandmaxminlive endpoint
25 closes · last $0.08
Funding direction · live
Long fee 48.1%Short fee 51.9%SHORT FEE51.9%
Σ = 0.0%
Σ-sides total = 0.00% (100.00pp arb gap)
H(p) entropy = 0.999 / 1.00 bits (100%) · max uncertainty (~50/50)
Long fee
48.1%▬ +0.00pp
Short fee
51.9%▬ +0.00pp
1h funding 0.001250% · longs pay
Hourly contract volume · live
n=25 · Σ=13,918,178 · μ=556727.1 · σ=325831.4 · CV=0.59STEADY FLOWcumulative energy ↗ · 50% by h=110339,745679,4911,019,2361,358,981μ = 5567271,358,981.450%h1h5h9h13h17h21h25#1 peak#2-3> μactivequietμ linecum energy
peak 1358981 contracts
Live numerics · pulse on poll
LIVE NUMERICS9 metrics·POLL 0
⏱snapshot age
2.2s
$mark $
$0.0827
$mid $
$0.0827
◉prev-day close
$0.0863
Δ24h Δ %
-4.081%
$24h vol $
$1.17M
◐open interest $
$3.57M
%funding (1h)
0.001250%
%funding (yr)
+10.95%/yr

§1 · 24h time-series

Close price · hourly
n=25 · μ=0.0844 · σ=0.0012 · range [0.0828, 0.0863] · R²=0.940▼ FALLING -4.11%σ NORMAL 1.37%LAST 0.08280.08630.08540.08450.08360.0828μ = 0.0844max 0.0863min 0.0828dataMA(5)OLS R²=0.94μ lineμ ± σ bandmaxmin
mark $0.0827 · 24h -4.08% · range $[0.0828, 0.0863]
OHLC candles · hourly
n=25 · up 9 · down 16 (36% up) · range [0.0827, 0.0869] · σ=0.0012 · CV=0.01 · bodyµ=41%STRONG BEARISH -3.91%CLOSE 0.0828 vs OPEN 0.0861 (-3.91%)&#9660; CLOSE 0.08280.08690.08580.08480.08370.0827μ close = 0.0844O0.086 H0.086 L0.086 C0.086 (+0.21%)O0.086 H0.086 L0.086 C0.086 (+0.21%)O0.086 H0.087 L0.086 C0.086 (-0.15%)O0.086 H0.087 L0.086 C0.086 (-0.15%)O0.086 H0.086 L0.085 C0.086 (-0.83%)O0.086 H0.086 L0.085 C0.086 (-0.83%)O0.086 H0.086 L0.086 C0.086 (+0.14%)O0.086 H0.086 L0.086 C0.086 (+0.14%)O0.086 H0.086 L0.085 C0.085 (-0.29%)O0.086 H0.086 L0.085 C0.085 (-0.29%)O0.085 H0.086 L0.085 C0.086 (+0.07%)O0.085 H0.086 L0.085 C0.086 (+0.07%)O0.085 H0.086 L0.085 C0.085 (-0.11%)O0.085 H0.086 L0.085 C0.085 (-0.11%)O0.085 H0.086 L0.085 C0.086 (+0.60%)O0.085 H0.086 L0.085 C0.086 (+0.60%)O0.086 H0.086 L0.085 C0.085 (-0.66%)O0.086 H0.086 L0.085 C0.085 (-0.66%)O0.085 H0.086 L0.085 C0.085 (-0.25%)O0.085 H0.086 L0.085 C0.085 (-0.25%)-1.0%O0.085 H0.085 L0.084 C0.084 (-0.97%)O0.085 H0.085 L0.084 C0.084 (-0.97%)O0.084 H0.085 L0.084 C0.084 (-0.01%)O0.084 H0.085 L0.084 C0.084 (-0.01%)O0.084 H0.085 L0.084 C0.084 (-0.30%)O0.084 H0.085 L0.084 C0.084 (-0.30%)O0.084 H0.084 L0.084 C0.084 (+0.17%)O0.084 H0.084 L0.084 C0.084 (+0.17%)O0.084 H0.084 L0.083 C0.084 (-0.72%)O0.084 H0.084 L0.083 C0.084 (-0.72%)O0.084 H0.084 L0.083 C0.084 (+0.23%)O0.084 H0.084 L0.083 C0.084 (+0.23%)O0.084 H0.084 L0.083 C0.084 (-0.24%)O0.084 H0.084 L0.083 C0.084 (-0.24%)O0.084 H0.084 L0.083 C0.083 (-0.11%)O0.084 H0.084 L0.083 C0.083 (-0.11%)O0.083 H0.084 L0.083 C0.083 (-0.13%)O0.083 H0.084 L0.083 C0.083 (-0.13%)O0.083 H0.084 L0.083 C0.083 (+0.00%)O0.083 H0.084 L0.083 C0.083 (+0.00%)O0.083 H0.084 L0.083 C0.083 (-0.34%)O0.083 H0.084 L0.083 C0.083 (-0.34%)O0.083 H0.084 L0.083 C0.083 (+0.36%)O0.083 H0.084 L0.083 C0.083 (+0.36%)O0.083 H0.084 L0.083 C0.083 (-0.77%)O0.083 H0.084 L0.083 C0.083 (-0.77%)O0.083 H0.083 L0.083 C0.083 (+0.18%)O0.083 H0.083 L0.083 C0.083 (+0.18%)O0.083 H0.083 L0.083 C0.083 (-0.30%)O0.083 H0.083 L0.083 C0.083 (-0.30%)#1#5#9#13#17#21#25up bar (C≥O)down bar (C<O)MA(5) closeμ closedoji (~no body)biggest body
25 bars
Hourly volume (base units)
n=25 · Σ=13,918,178 · μ=556727.1 · σ=325831.4 · CV=0.59STEADY FLOWcumulative energy &nearr; · 50% by h=110339,745679,4911,019,2361,358,981μ = 556727304,232 · 22.4% peak304,232 · 22.4% peak313,595.8 · 23.1% peak313,595.8 · 23.1% peak1,076,870.9 · 79.2% peak1,076,870.9 · 79.2% peak820,375.6 · 60.4% peak820,375.6 · 60.4% peak467,526.6 · 34.4% peak467,526.6 · 34.4% peak601,123.2 · 44.2% peak601,123.2 · 44.2% peak391,345.2 · 28.8% peak391,345.2 · 28.8% peak848,093.6 · 62.4% peak848,093.6 · 62.4% peak574,003 · 42.2% peak574,003 · 42.2% peak231,890.1 · 17.1% peak231,890.1 · 17.1% peak1,358,981.41,358,981.4 · 100.0% peak1,358,981.4 · 100.0% peak438,014.7 · 32.2% peak438,014.7 · 32.2% peak323,920.4 · 23.8% peak323,920.4 · 23.8% peak981,768.5 · 72.2% peak981,768.5 · 72.2% peak1,262,621 · 92.9% peak1,262,621 · 92.9% peak483,762.2 · 35.6% peak483,762.2 · 35.6% peak338,074.6 · 24.9% peak338,074.6 · 24.9% peak329,543 · 24.2% peak329,543 · 24.2% peak572,277 · 42.1% peak572,277 · 42.1% peak393,356.7 · 28.9% peak393,356.7 · 28.9% peak174,012 · 12.8% peak174,012 · 12.8% peak289,076.2 · 21.3% peak289,076.2 · 21.3% peak618,793.8 · 45.5% peak618,793.8 · 45.5% peak498,662.8 · 36.7% peak498,662.8 · 36.7% peak226,257.6 · 16.6% peak226,257.6 · 16.6% peak50%#1#5#9#13#17#21#25#1 peak#2-3> μactivequietμ linecum energy
Σ vol 13918178 · peak 1358981 · CV 0.59

§2 · Returns distribution (log-returns)

Histogram of rₜ = ln(pₜ/pₜ₋₁)
n=24 · 12 bins · μ=-0.0017 · σ=0.0038 · skew=-0.25 (symmetric) · kurt=-0.62 (mesokurtic)43210 2-86.76bpbin -86.76bp · n=2 · 50.0% peakbin -86.76bp · n=2 · 50.0% peak 2-73.84bpbin -73.84bp · n=2 · 50.0% peakbin -73.84bp · n=2 · 50.0% peak 1-60.91bpbin -60.91bp · n=1 · 25.0% peakbin -60.91bp · n=1 · 25.0% peak-47.99bp 3-35.06bpbin -35.06bp · n=3 · 75.0% peakbin -35.06bp · n=3 · 75.0% peak 3-22.14bpbin -22.14bp · n=3 · 75.0% peakbin -22.14bp · n=3 · 75.0% peak 4-9.21bpbin -9.21bp · n=4 · 100.0% peakbin -9.21bp · n=4 · 100.0% peak 33.71bpbin 3.71bp · n=3 · 75.0% peakbin 3.71bp · n=3 · 75.0% peak 316.63bpbin 16.63bp · n=3 · 75.0% peakbin 16.63bp · n=3 · 75.0% peak 129.56bpbin 29.56bp · n=1 · 25.0% peakbin 29.56bp · n=1 · 25.0% peak 142.48bpbin 42.48bp · n=1 · 25.0% peakbin 42.48bp · n=1 · 25.0% peak 155.41bpbin 55.41bp · n=1 · 25.0% peakbin 55.41bp · n=1 · 25.0% peakμΔ < 0 · loss barsΔ ≈ 0 · flatΔ > 0 · gain barsN(μ,σ²) referenceμ line · ±σ band shaded
n=24 · positive 9 · negative 15
Q-Q plot · standardised rₜ vs N(0,1)
n=24 · skew=-0.24 · kurt=-0.59 · near 21 / mid 3 / far 0 · OLS slope=1.01 intercept=-0.00MATCHES NORMAL · WELL-BEHAVEDUPPER TAIL NORMALMILDLY HEAVY LOWER-3σ-3σ-2σ-2σ-1σ-1σ+0σ+0σ+1σ+1σ+2σ+2σ+3σ+3σsample ↓marginal: sample bars + theoretical N(0,1) curve →theoretical Φ⁻¹(p) →↑ sample z-quantile|Δ| < 0.3σ · on the line|Δ| < 1σ · moderate|Δ| ≥ 1σ · outliery = x refOLS fit

§3 · Spot quote

Mark price
$0.0827
Mid price
$0.0827
24h change
-4.08%
Mark–mid spread
1.21 bps
Prev-day close
$0.0863

§4 · Sample moments (prices)

Descriptive statistics · 5-number summary · shape diagnostics
SAMPLE MOMENTS · N=25PLATYKURTIC · THIN TAILS (G₂=-1.51)
μ MEAN0.0844$95% CI: [0.0839$, 0.0848$]
σ STD DEV0.0012$σ² = 0.013×10⁻⁴ · CV = 1.37%
med MEDIAN0.0842$Q₁ 0.0834$ · Q₃ 0.0854$
FIVE-NUMBER SUMMARY · BOX PLOTrange 0.0035$ · IQR 0.0020$ (1.349σ→0.0016$)
min 0.0828$Q₁ 0.0834$med 0.0842$Q₃ 0.0854$max 0.0863$μ
SKEWNESS · G₁0.181approximately symmetric
−3−10+1+3
EXCESS KURTOSIS · G₂-1.511platykurtic · thin tails
−30+2+4+6
μ ↔ medianμ > med · right-tailed|μ−med| / σ = 0.14
σ × 1.349 ↔ IQRdiverges from normalratio = 0.78
range ↔ σconcentrated (range < 4σ)range / σ = 3.08
μ = mean · σ = standard deviation · CV = coefficient of variation. Skew (G₁): >0 right-skewed. Kurt (G₂, excess): >0 leptokurtic. 95% CI = μ ± 1.96·SE.

§5 · Returns analytics (log-returns)

Risk-adjusted performance · log-returns
RETURNS · RISK-ADJUSTEDUNPROFITABLE · SR=-40.55
μᵣ MEAN / h-0.175023%drift is negative per h · |μ|/σ = 0.433
σᵣ STD / h0.403942%σ²ᵣ = 0.163×10⁻⁴ · CV = 2.31×
σ ANNUALISED37.81%/yrscaled by √8760 (hourly→yearly) · 0.404%/h base
RISK-ADJUSTED PERFORMANCEhigher = better edge per unit risk
SHARPE (annualised)-40.55negative edge
-2-10+1+2+3+4
SORTINO (annualised)-32.63downside drag
-2-10+1+2+3+4
CALMAR (return / max-DD)-100.00drawdown overwhelms returns
-20+2+4+6
RETURN-DISTRIBUTION SHAPE|skew| < 0.5 ≈ symmetric · |kurt| < 1 ≈ mesokurtic
SKEWNESS · G₁-0.25approximately symmetric
-3-10+1+3
EXCESS KURTOSIS · G₂-0.43mesokurtic · normal-like tails
-30+2+4+6
SORTINO vs SHARPEdownside vol < total vol · favourableSoR / SR = 0.80
CALMAR · DD CONTROLdrawdown > returns · adverseCR = -100.00
EXPECTED EDGE-1533.20%/yr driftμ × 8760 = annualised expectation
rₜ = ln(pₜ/pₜ₋₁). σ × √8760 = annualised. Sharpe = μ/σ scaled; Sortino uses downside-only vol; Calmar = annual return / max drawdown.

§6 · Risk metrics

Tail risk + drawdown · downside diagnostics
TAIL & DRAWDOWN RISKELEVATED · 95% VaR 0.81%
VaR₉₅ (h)0.812%5% prob of larger adverse h move
VaR₉₉ (h)0.905%1% prob · extreme-tail threshold
ES₉₅ (CVaR)0.874%expected loss given 5% tail event
MAX DRAWDOWN4.11%24h from peak to trough
TAIL-RISK LADDER (h losses)larger negative = worse · markers show severity
0 · no lossVaR₉₅−0.812%VaR₉₉−0.905%ES₉₅−0.874%worst tail ←→ zero loss
MAX DRAWDOWN PROFILEmoderate drawdown · 24h duration
PEAK8.63$
−4.11% drawdown over 24h
8.28$TROUGH
ES / VaR · TAIL THICKNESSthin tails · ES ≈ VaR|ES₉₅| / |VaR₉₅| = 1.08× (normal ≈ 1.25)
VaR₉₉ / VaR₉₅ · CONCENTRATIONuniform tailratio = 1.12× (normal ≈ 1.41)
DRAWDOWN · CAPITAL DURATIONmoderate drawdownrecovery needed: +4.29% (compounding)
VaR = quantile loss · ES (CVaR) = expected loss conditional on tail · DD = peak-to-trough decline. Under normality ES₉₅/VaR₉₅ ≈ 1.25; ratio > 1.5 ⇒ fat-tail regime.

§7 · Technicals

RSI(14)
25.1 · oversold
Bollinger %B
0.170 · within band
Bollinger upper
$0.0860
Bollinger MA
$0.0840
Bollinger lower
$0.0821

§8 · Time-series structure

Regime & autocorrelation diagnostics
TIME-SERIES STRUCTUREREGIME: MEAN-REVERTING · ρ(1) -0.55 + ADF rejected
ρ(1) AUTOCORR-0.555negative · reversal
ρ(2) AUTOCORR+0.437lag-2 dependence detected
H · HURST EXPONENT0.802strongly persistent
OLS TREND · t-STAT-18.965significant @ α=0.05
HURST EXPONENT [0, 1]strongly persistent · H = 0.802
H = 0.802STRONGLY PERSISTENT
0
anti-persistent0.45
mean-reverting0.5
random walk0.55
persistent1
strongly trending
AUTOCORRELATION FUNCTION · ρ(k) for k=1..54 SIGNIFICANT LAGS · multi-lag dependence
k=1 ★-0.555k=2+0.437k=3-0.486k=4+0.332k=5-0.4280+1−1+0.41−0.41+ momentum (ρ > +0.41)− reversal (ρ < −0.41)noise (within band)±2/√n threshold
OLS TREND · t-STAT · [-5, +5]SIGNIFICANT @ 1% (|t|=18.96)
−5 reject−1.960 retain H₀+1.96+5 reject
REGIME CLASSIFICATIONMEAN-REVERTING · ρ(1) -0.55 + ADF rejectedfrom Hurst + ρ(1) joint diagnosis
PREDICTABILITY · score 1.00very high · strong structure|ρ(1)| + 2·|H − 0.5| heuristic
TREND SIGNIFICANCESIGNIFICANT @ 1% (|t|=18.96)α=0.05 critical |t|=1.96 · α=0.01 |t|=2.58
ρ(k) = lag-k sample autocorrelation · H = R/S Hurst exponent · t = OLS-trend t-statistic. Significance bands at ±2/√n approximate the 95% white-noise envelope. α=0.05 critical |t|=1.96; α=0.01 |t|=2.58.

§9 · Microstructure

24h volume (USD)
$1.17M
Open interest (USD)
$3.57M
Vol / OI (turnover)
0.33x
1h funding
0.001250%
Funding (annualised)
+10.95%/yr

§10 · Position sizing

Continuous Kelly (μ/σ²)
-10.000× leverage · optimal log-utility leverage
Half-Kelly
-5.000× · industry-standard conservative
Quarter-Kelly
-2.500×

§11 · Hourly return heatmap

24-hour signed Δln-r grid · green = up · red = down
HOURLY RETURN HEATMAP · n=24 bars · best 0.62% · worst -0.93% · typical |Δ| 0.34%BEARISH SESSION -4.20%BEST+0.62%21hWORST-0.93%00hTYPICAL |Δ|0.34%mean absoluteCUMULATIVE-4.20%Σ signed ΔSTREAK↘ 1down-runASIA · 00-08 UTCμ -0.25% · Σ -1.97%EUROPE · 08-16 UTCμ -0.12% · Σ -0.94%US · 16-24 UTCμ -0.16% · Σ -1.30%CUMULATIVE Δ PATH · final -4.20%+0.00%-4.20%-0.06% · 15h-0.06% · 15h-0.06%15h-0.81% · 16h-0.81% · 16h-0.81%16h0.22% · 17h0.22% · 17h0.22%17h-0.36% · 18h-0.36% · 18h-0.36%18h0.08% · 19h0.08% · 19h0.08%19h-0.12% · 20h-0.12% · 20h-0.12%20h0.62% · 21h0.62% · 21h0.62%21h★ BEST-0.67% · 22h-0.67% · 22h-0.67%22h-0.26% · 23h-0.26% · 23h-0.26%23h-0.93% · 00h-0.93% · 00h-0.93%00h▼ WORST0.01% · 01h0.01% · 01h0.01%01h-0.28% · 02h-0.28% · 02h-0.28%02h0.14% · 03h0.14% · 03h0.14%03h-0.77% · 04h-0.77% · 04h-0.77%04h0.20% · 05h0.20% · 05h0.20%05h-0.23% · 06h-0.23% · 06h-0.23%06h-0.11% · 07h-0.11% · 07h-0.11%07h-0.13% · 08h-0.13% · 08h-0.13%08h0.04% · 09h0.04% · 09h0.04%09h-0.32% · 10h-0.32% · 10h-0.32%10h0.36% · 11h0.36% · 11h0.36%11h-0.79% · 12h-0.79% · 12h-0.79%12h0.28% · 13h0.28% · 13h0.28%13h-0.30% · 14h-0.30% · 14h-0.30%14hTIME PATTERNEurope-led (+-0.94%)RUNSup max 1 · down max 3BREADTH38% up · 63% down
9 up bars · 15 down · best 0.62% · worst -0.93% · typical |Δ| 0.338%

§12 · Equity curve & underwater drawdown

Cumulative compounded return + running peak-to-trough
EQUITY & DRAWDOWN ANALYSIS · n=25 barsLOSS WITH MODERATE DD (-4.14%)FINAL-4.14%MAX DD-4.14%RECOVERYONGOING · 24 barsMAX RUN-UP+0.00%UNDERWATER24/25 (96%)STREAK↘ 1EQUITY CURVE · end 0.9586 · peak 1.0000 · range [0.9586, 1.0000]1.00000.9586break-even = 1★ PEAK 1.0000UNDERWATER DRAWDOWN · max -4.14% · moderate0%-4.14%▼ TROUGH -4.14%TOP DRAWDOWN PERIODS · 1 total#1 -4.14%bar 2-25 · 24 bars · ONGOINGDD SEVERITYmoderate (max -4.14%)RECOVERYongoing · 24 barsTIME UNDER WATER96% of session · 24/25 bars
final equity 0.9586 (-4.14%) · max DD -4.14% · time-under-water 24/25 bars

§13 · Rolling-window statistics (w = 6 bars)

Rolling annualised Sharpe ratio · green positive · red negative
n=19 · +0 / −19 (0% positive) · μ=-39.17 · σ=17.96UNPROFITABLE STRATEGYLAST -26.82 (+0.69σ vs μ)76.8138.400.00-38.40-76.81μ = -39.17-44.18-44.18-11.72-11.72-7.69-7.69-24.98-24.98-36.09-36.09-38.55-38.55-43.56-43.56-76.39-76.39-76.81-76.81-52.77-52.77-40.17-40.17-46.35-46.35-40.05-40.05-46.89-46.89-45.68-45.68-25.53-25.53-38.96-38.96-21.13-21.13-26.82-26.82v > 0 · positivev < 0 · negativeμ mean lineμ ± σ bandlatest bar (outlined)
latest -26.824 · range [-76.81, -7.69] · μ -39.174 · positive Sharpe = excess-return-per-risk earned by buying-and-holding through this window
Rolling annualised volatility (%)
n=19 · μ=38.2923 · σ=8.9787 · range [17.6365, 51.4683] · R²=0.267▲ RISING +17.27%σ EXTREME 23.45%LAST 40.628051.468343.010334.552426.094417.6365μ = 38.2923max 51.4683min 17.6365dataMA(3)OLS R²=0.27μ lineμ ± σ bandmaxmin
latest 40.63% · range [17.64%, 51.47%] · μ 38.29% · σ̂ scaled to annualised (×√8760)
Rolling lag-1 autocorrelation ρ(1)
n=19 · +0 / −19 (0% positive) · μ=-0.515 · σ=0.200MEAN-REVERSIONLAST -0.843 (-1.64σ vs μ)0.8430.4210.000-0.421-0.843μ = -0.515-0.637-0.637-0.316-0.316-0.586-0.586-0.390-0.390-0.143-0.143-0.278-0.278-0.370-0.370-0.288-0.288-0.462-0.462-0.551-0.551-0.757-0.757-0.763-0.763-0.711-0.711-0.435-0.435-0.405-0.405-0.459-0.459-0.594-0.594-0.793-0.793-0.843-0.843v > 0 · positivev < 0 · negativeμ mean lineμ ± σ bandlatest bar (outlined)
latest -0.843 · |ρ| > 0.3 ⇒ regime with persistence (ρ > 0) or reversal (ρ < 0) · |ρ| ≤ 0.1 = consistent with random walk

§14 · Hypothesis tests (α = 0.05)

Formal inference at 5% significance
3 of 6 REJECT · mixed evidence3 reject·3 pass·α = 0.05
𝒩

Jarque-Bera

FAIL TO REJECTns

H₀: Δln-r ~ Normal(μ, σ²)

STATISTIC
0.4408
p-VALUE (log scale)
0.8022
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainednormality not rejected
ρ

Ljung-Box(h=5)

REJECT H₀***

H₀: No serial autocorrelation up to lag 5

STATISTIC
30.2512
p-VALUE (log scale)
< 0.0001
α
10⁻⁴10⁻³10⁻²10⁻¹1
p < α · rejection zoneserial dependence detected
Ψ

Dickey-Fuller (τ_μ)

FAIL TO REJECTns

H₀: p has a unit root (non-stationary)

STATISTIC
-0.9857
p-VALUE (log scale)
0.7571
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainedrandom-walk behaviour (crit ≈ -2.86)
±

Wald-Wolfowitz runs

REJECT H₀**

H₀: Sign sequence of Δ is random

STATISTIC
3.0146
p-VALUE (log scale)
0.0026
α
10⁻⁴10⁻³10⁻²10⁻¹1
p < α · rejection zonenon-random sign pattern (19 runs)
χ

KPSS (μ stationarity)

REJECT H₀**

H₀: p IS level-stationary

STATISTIC
0.9150
p-VALUE (log scale)
0.0038
α
10⁻⁴10⁻³10⁻²10⁻¹1
p < α · rejection zonenon-stationary (crit 0.463)
χ

Variance ratio q=3

FAIL TO REJECTns

H₀: Δln-r is a random walk · VR = 1

STATISTIC
-1.4321
p-VALUE (log scale)
0.1521
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainedVR 0.564 ≈ 1 (RW behaviour)
Each row states an explicit null H₀, the test statistic, an approximated p-value, and the decision. REJECT means evidence against H₀. KPSS complements ADF (rejecting both ⇒ ambiguous; rejecting one ⇒ clean verdict).

§15 · Spectral analysis (DFT periodogram)

Power spectrum of Δln-r · ‖X̂(k)‖²/n
n=12 bins · noise floor μ=2.48e-5 · top T=2.00h (73.8%) · top-3 cover 83.0%STRONG CYCLE @ T≈2.0cumulative energy ↗ (1 bin above 2× noise)2.2e-41.6e-41.1e-45.5e-50.0e+0μ noise floor2× noise (significance)period 24.0 · power 1.75e-6 · 0.6% energyperiod 24.0 · power 1.75e-6 · 0.6% energyperiod 12.0 · power 8.98e-6 · 3.0% energyperiod 12.0 · power 8.98e-6 · 3.0% energyperiod 8.0 · power 9.79e-6 · 3.3% energyperiod 8.0 · power 9.79e-6 · 3.3% energyperiod 6.0 · power 1.06e-5 · 3.6% energyperiod 6.0 · power 1.06e-5 · 3.6% energyperiod 4.8 · power 3.84e-6 · 1.3% energyperiod 4.8 · power 3.84e-6 · 1.3% energyperiod 4.0 · power 1.42e-5 · 4.8% energyperiod 4.0 · power 1.42e-5 · 4.8% energyperiod 3.4 · power 2.88e-6 · 1.0% energyperiod 3.4 · power 2.88e-6 · 1.0% energyperiod 3.0 · power 1.29e-5 · 4.3% energyperiod 3.0 · power 1.29e-5 · 4.3% energyperiod 2.7 · power 5.14e-6 · 1.7% energyperiod 2.7 · power 5.14e-6 · 1.7% energyperiod 2.4 · power 5.47e-6 · 1.8% energyperiod 2.4 · power 5.47e-6 · 1.8% energyperiod 2.2 · power 2.22e-6 · 0.7% energyperiod 2.2 · power 2.22e-6 · 0.7% energyperiod 2.0 · power 2.20e-4 · 73.8% energyperiod 2.0 · power 2.20e-4 · 73.8% energy50% by T=2.0h#1 dominantT=2.00h#2T=4.00h#3T=3.00hT=2hT=3hT=4hT=6hT=8hT=12hT=16hT=24h← shorter cycle (high freq · Nyquist=½) · period T (bars per cycle) · longer cycle (low freq · 1/n) →#1 dominant#2 peak#3 peak> 2× noisenoiseμ floor2μ sig.cum energy
dominant period ≈ 2.00h (freq 0.500) · concentrates 73.8% of total energy · Σ|X̂|²/n = 2.975e-4

▸ Depth section using sovereign-store price series (5000 bars · effective 5257847 bars/year) — annualisation reflects native polling cadence, not upstream timeframes.

§16 · NOSTRADAMUS continuous quant — perp leverage & bootstrap MC

Continuous-price extension of the prediction-market quant module. Kelly growth on observed returns (Merton μ/σ² parametric vs argmax empirical), Monte-Carlo equity fan bootstrapped from the historical return distribution at quarter-Kelly leverage, and an annualized return decomposition. Sweep parameters in the simulator.

§17 · Continuous Kelly

Continuous-Kelly growth · g(f) = E[ln(1 + f·r)]
NO LONG EDGE · μ -0.000% per barparametric μ/σ² short edge (μ<0) · μ -0.000% · σ 0.02%
μ per barmean
-0.000%
σ per barvol
0.02%
Empirical f★argmax g(f)
0.00×
from observed distribution
Parametric f★μ/σ²
-125.37×
Merton continuous-time
Half-Kelly½ f★
0.00×
~⅔ of full growth, half the variance
Quarter-Kelly¼ f★
0.00×
industry default — survives model error
-0.00%0.02%0.05%0.07%0.10%0.0×1.6×3.2×4.8×6.4×8.0×leverage fraction fexpected log-growth per bar
g(f) empiricalf★ argmaxparametric f★
Maximum expected log-growth from leveraging the historical return distribution. Empirical f★ argmaxes the sample expectation; parametric f★ = μ/σ² is Merton's continuous-time optimum.

§18 · MC equity fan

Bootstrapped equity fan at 0.10× leverage
Median CAGR/bar -0.000% · annualized Sharpe -39.07400 paths × 720 bars · leverage 0.10× · bootstrap from 4999 observed returns
Sharpe / barμ/σ
-0.017
annualized -39.07
μ per barafter L
-0.000%
σ per barafter L
0.00%
VaR 95%5%
0.00%
per-bar worst-case
CVaR 95%ES
0.00%
mean tail loss
Max DD (median)MDD
-0.0%
0.95×0.97×0.99×1.01×1.03×1.05×0120240360480600720startbar #equity multiple
median25/75 band5/95 band
Median path with 25/75 and 5/95 percentile bands across 400 simulated careers. Bars resample with replacement from the observed return distribution — preserves fat tails the parametric model misses.

§19 · Annualized breakdown

Annualized return components
APR -1000% · APY -100% · Sharpe -44.47σ ann 35% · Sortino -28.84 · n 4999 · ⚠ capped (n=4999 too small to support 8760-bar projection)
-5336%-4260%-3184%-2109%-1033%43%-1000.0%APR (simple)-100.0%APY (compound)35.5%Ann. vol σ-4446.5%Sharpe (ann)-2883.9%Sortino (ann)
Simple APR vs compounded APY · annualized volatility · risk-adjusted Sharpe and Sortino. All scaled by √(periods/yr).

§20 · GARCH(1,1) volatility band

GARCH(1,1) · conditional vol envelope (±2σ)
GARCH persistence α+β = 0.980· σ̂ₜ = 1.000% · long-run σ = 2.236%
0.0790.0810.0830.0840.0860.088t-4999t-4166t-3333t-2500t-1666t-833t-0

Persistence near 1 ⇒ vol clusters strongly (slow mean reversion). Long-run σ is the unconditional target the conditional vol orbits. The ±2σ band reflects time-varying scale, unlike a flat-vol band.

Time-varying volatility band fitted to the price series. Persistence α+β > 0.98 means vol shocks decay slowly — recent moves stay relevant.

§∞ · Provenance & attestation

Upstream
api.hyperliquid.xyz
Snapshot fetched
2026-06-14 14:28:54 UTC
Snapshot age
2.2s
History points
25 hourly closes
Page rendered
2026-06-14 14:28:56 UTC
Storage policy
no persistence — fetched on every request
SHA-256 attestation
a87c194b2ee9f2b21533b522a321da08138d1bfb9aaab3e6353a13bd902a1323 · deterministic hash of the source snapshot — proves this page was rendered from this exact data
Open data licence
CC0 / public domain · free to mirror, syndicate, analyse

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Also see: /arb opportunities · RSS feed

Market depth

▸ live order book · Hyperliquid perp
Depth within 1bp
$0
bid $0 · ask $0
Depth within 5bp
$6.84K
bid $2.71K · ask $4.13K
Depth within 10bp
$62.64K
bid $33.29K · ask $29.35K
Depth within 50bp
$308.80K
bid $172.15K · ask $136.65K
Mid price
0.082740
(best bid + best ask) / 2
Spread
2.4bp
(bestAsk − bestBid) / mid
Imbalance (whole book)
+0.117
bid-heavy
Imbalance (top-5)
-0.297
ask-heavy top-of-book

Slippage scenarios

▸ live book walk · Hyperliquid perp

Simulating a market order at three notionals against the live book. Slippage = avg execution price vs. mid, in basis points. Worst fill = price of the deepest level touched. Live JSON: /api/asset/hl-ARB/slippage?size=10000&side=buy

SideNotionalAvg fillSlippageWorst fillLevelsStatus
BUY$1.00K0.0827592.28bp0.0827602FILLED
BUY$10.00K0.0827825.05bp0.0828006FILLED
BUY$100.00K0.08286815.44bp0.08293017FILLED
SELL$1.00K0.0827123.36bp0.0827103FILLED
SELL$10.00K0.0826856.61bp0.0826707FILLED
SELL$100.00K0.08263113.13bp0.08259014FILLED

Funding carry

▸ LONGS PAY · shorts receive
Hourly funding
+1.250e-5
0.00125% / hr
Annualised APR
10.958%
hourly · 24 · 365.25
Long: days to 1% carry
33.3d
longs pay
Short: days to 1% carry
33.3d
shorts receive
SideDirectionAnnualised carryDays → 1%Days → 10%
LONGPAY-10.958%33.3d333.3d
SHORTRECEIVE10.958%33.3d333.3d

/api/asset/hl-ARB/carry · same metrics, JSON

Volume profile

▸ real volume · Hyperliquid candlesstep $ 1 · 25 records
Price binBarsVolumeDistribution
$0.000000–$1.0000★25$13.92M

★ POC = Point of Control (highest-volume bin). Live JSON: /api/asset/hl-ARB/volprofile?priceStep=1

Order flow

▸ ASK-LEAN · -0.213 · Hyperliquid candles
Bars (buy / sell)
9 / 15
1 unclassified
Buy weight
$5.35M
real volume
Sell weight
$8.26M
real volume
Net delta
$2.91M
sellers net
Imbalance
-21.34%
(buy − sell) / (buy + sell)
Toxicity (VPIN)
21.3%
two-sided / balanced
Impact (|Δp|/vol)
—
needs real volume

Sparkline = cumulative delta over the 25-record window./api/asset/hl-ARB/flow?rollingWindow=30

Cascade clusters

▸ DOWN · 4 found · deepest 2.11% · Hyperliquid candles

Price-only proxy for forced-unwind clusters. No exchange liquidation feed is wired — read each row as a candidate event, not a confirmed liquidation.

#WindowDurationPeak → TroughDrawdownBars
#12026-06-13 22:00:00Z4.0h0.085930→0.0841202.106%5
#22026-06-13 16:00:00Z2.0h0.086300→0.0854301.008%3
#32026-06-14 04:00:00Z2.0h0.084360→0.0835700.936%3

/api/asset/hl-ARB/cascades?windowMs=10800000&minDrawdownPct=0.005 · full list + parameters in JSON

Risk metrics

▸ sovereign store · 5,000 barsperiods/year ≈ 5.26M
Realized vol (annualised)
35.47%
σ per bar = 0.000155
Mean return (annualised)
-1577.10%
μ per bar = -0.000003
Sharpe (rf=0)
-44.47
annualised; risk-free assumed zero
Max drawdown
1.71%
peak 0.08 → trough 0.08 over 4483 bars

/api/asset/hl-ARB/risk · same metrics, JSON