HYPERLIQUID · PERPETUAL FUTURES

ARB

ARB-USD perpetual · 24/7 trading on Hyperliquid

▸ Advanced metrics · M2M bundle

hyperliquid · perp-arb · fresh · feed 6s old
24h sparkline · 60 pts▼ -3.47%
realized vol (ann.)
33.87%
max drawdown
0.79%
sharpe
7.45
ulcer index
0.37%
RMS drawdown
pain index
0.31%
mean drawdown
mod. VaR 95%
0.02%
Cornish-Fisher
martin ratio
687.79
ret / ulcer
CDaR 95%
0.71%
cond. drawdown
gain/pain
1.01
Σgain / Σ|loss|
sterling
354.39
ret / CDaR
omega (θ=0)
1.01
upside/downside
roll spread
0.0 bps
implied (price-only)
bars used
2000
store
spread
—
24h Δ
-3.47%
flow lean
—
carry
longs_pay
10.95%
signalSHORTconfidence 39%suggested side: SELL
  • 24h change -3.47%
  • funding: longs pay — perp shorts get paid to wait
  • mark cheap vs HL oracle by 6.0bps — long bias
Same bundle via M2M API: /api/m2m/hl-arb/bundle · venue execution: hyperliquid →
LIVEPOLL0SRCFRESH5.8s⏱--:--:-- 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
-3.47%
24h vol · live
$1.2M
ARB · live 24h price
n=25 · μ=0.0847 · σ=0.0011 · range [0.0831, 0.0863] · R²=0.923▼ FALLING -3.09%σ NORMAL 1.31%LAST 0.08340.08630.08550.08470.08390.0831μ = 0.0847max 0.0863min 0.0831dataMA(5)OLS R²=0.92μ 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=13,886,160 · μ=555446.4 · σ=331898.7 · CV=0.60STEADY FLOWcumulative energy ↗ · 50% by h=130339,745679,4911,019,2361,358,981μ = 5554461,358,981.450%h1h5h9h13h17h21h25#1 peak#2-3> μactivequietμ linecum energy
peak 1358981 contracts
Live numerics · pulse on poll
LIVE NUMERICS9 metrics·POLL 0
⏱snapshot age
5.8s
$mark $
$0.0834
$mid $
$0.0834
◉prev-day close
$0.0864
Δ24h Δ %
-3.472%
$24h vol $
$1.16M
◐open interest $
$3.62M
%funding (1h)
0.001250%
%funding (yr)
+10.95%/yr

§1 · 24h time-series

Close price · hourly
n=25 · μ=0.0847 · σ=0.0011 · range [0.0831, 0.0863] · R²=0.923▼ FALLING -3.09%σ NORMAL 1.31%LAST 0.08340.08630.08550.08470.08390.0831μ = 0.0847max 0.0863min 0.0831dataMA(5)OLS R²=0.92μ lineμ ± σ bandmaxmin
mark $0.0834 · 24h -3.47% · range $[0.0831, 0.0863]
OHLC candles · hourly
n=25 · up 9 · down 16 (36% up) · range [0.0830, 0.0869] · σ=0.0011 · CV=0.01 · bodyµ=35%STRONG BEARISH -3.40%CLOSE 0.0834 vs OPEN 0.0863 (-3.40%)&#9660; CLOSE 0.08340.08690.08590.08490.08390.0830μ close = 0.0847O0.086 H0.087 L0.086 C0.086 (-0.32%)O0.086 H0.087 L0.086 C0.086 (-0.32%)O0.086 H0.087 L0.086 C0.086 (-0.02%)O0.086 H0.087 L0.086 C0.086 (-0.02%)O0.086 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 H0.083 L0.083 C0.083 (+0.00%)O0.083 H0.083 L0.083 C0.083 (+0.00%)#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=13,886,160 · μ=555446.4 · σ=331898.7 · CV=0.60STEADY FLOWcumulative energy &nearr; · 50% by h=130339,745679,4911,019,2361,358,981μ = 555446545,496.3 · 40.1% peak545,496.3 · 40.1% peak658,627.9 · 48.5% peak658,627.9 · 48.5% peak304,232 · 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% peak107,572 · 7.9% peak107,572 · 7.9% peak50%#1#5#9#13#17#21#25#1 peak#2-3> μactivequietμ linecum energy
Σ vol 13886160 · peak 1358981 · CV 0.60

§2 · Returns distribution (log-returns)

Histogram of rₜ = ln(pₜ/pₜ₋₁)
n=24 · 12 bins · μ=-0.0012 · σ=0.0036 · skew=-0.54 (left-skewed) · kurt=-0.10 (mesokurtic)54310 2-86.76bpbin -86.76bp · n=2 · 40.0% peakbin -86.76bp · n=2 · 40.0% peak 1-73.84bpbin -73.84bp · n=1 · 20.0% peakbin -73.84bp · n=1 · 20.0% peak 1-60.91bpbin -60.91bp · n=1 · 20.0% peakbin -60.91bp · n=1 · 20.0% peak-47.99bp 2-35.06bpbin -35.06bp · n=2 · 40.0% peakbin -35.06bp · n=2 · 40.0% peak 3-22.14bpbin -22.14bp · n=3 · 60.0% peakbin -22.14bp · n=3 · 60.0% peak 4-9.21bpbin -9.21bp · n=4 · 80.0% peakbin -9.21bp · n=4 · 80.0% peak 53.71bpbin 3.71bp · n=5 · 100.0% peakbin 3.71bp · n=5 · 100.0% peak 416.63bpbin 16.63bp · n=4 · 80.0% peakbin 16.63bp · n=4 · 80.0% peak29.56bp 142.48bpbin 42.48bp · n=1 · 20.0% peakbin 42.48bp · n=1 · 20.0% peak 155.41bpbin 55.41bp · n=1 · 20.0% peakbin 55.41bp · n=1 · 20.0% peakμΔ < 0 · loss barsΔ ≈ 0 · flatΔ > 0 · gain barsN(μ,σ²) referenceμ line · ±σ band shaded
n=24 · positive 10 · negative 14
Q-Q plot · standardised rₜ vs N(0,1)
n=24 · skew=-0.47 · kurt=-0.14 · near 20 / mid 4 / far 0 · OLS slope=1.00 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
$0.0834
Mid price
$0.0834
24h change
-3.47%
Mark–mid spread
1.20 bps
Prev-day close
$0.0864

§4 · Sample moments (prices)

Descriptive statistics · 5-number summary · shape diagnostics
SAMPLE MOMENTS · N=25PLATYKURTIC · THIN TAILS (G₂=-1.69)
μ MEAN0.0847$95% CI: [0.0842$, 0.0851$]
σ STD DEV0.0011$σ² = 0.012×10⁻⁴ · CV = 1.31%
med MEDIAN0.0844$Q₁ 0.0836$ · Q₃ 0.0856$
FIVE-NUMBER SUMMARY · BOX PLOTrange 0.0032$ · IQR 0.0020$ (1.349σ→0.0015$)
min 0.0831$Q₁ 0.0836$med 0.0844$Q₃ 0.0856$max 0.0863$μ
SKEWNESS · G₁0.054approximately symmetric
−3−10+1+3
EXCESS KURTOSIS · G₂-1.689platykurtic · thin tails
−30+2+4+6
μ ↔ medianμ > med · right-tailed|μ−med| / σ = 0.29
σ × 1.349 ↔ IQRdiverges from normalratio = 0.75
range ↔ σconcentrated (range < 4σ)range / σ = 2.87
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=-32.21
μᵣ MEAN / h-0.130803%drift is negative per h · |μ|/σ = 0.344
σᵣ STD / h0.380101%σ²ᵣ = 0.144×10⁻⁴ · CV = 2.91×
σ ANNUALISED35.58%/yrscaled by √8760 (hourly→yearly) · 0.380%/h base
RISK-ADJUSTED PERFORMANCEhigher = better edge per unit risk
SHARPE (annualised)-32.21negative edge
-2-10+1+2+3+4
SORTINO (annualised)-26.19downside 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 · G₁-0.50approximately symmetric
-3-10+1+3
EXCESS KURTOSIS · G₂0.12mesokurtic · normal-like tails
-30+2+4+6
SORTINO vs SHARPEdownside vol < total vol · favourableSoR / SR = 0.81
CALMAR · DD CONTROLdrawdown > returns · adverseCR = -100.00
EXPECTED EDGE-1145.83%/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)0.809%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 DRAWDOWN3.67%20h from peak to trough
TAIL-RISK LADDER (h losses)larger negative = worse · markers show severity
0 · no lossVaR₉₅−0.809%VaR₉₉−0.905%ES₉₅−0.874%worst tail ←→ zero loss
MAX DRAWDOWN PROFILEmoderate drawdown · 20h duration
PEAK8.63$
−3.67% drawdown over 20h
8.31$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: +3.81% (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)
29.4 · oversold
Bollinger %B
0.256 · within band
Bollinger upper
$0.0862
Bollinger MA
$0.0843
Bollinger lower
$0.0824

§8 · Time-series structure

Regime & autocorrelation diagnostics
TIME-SERIES STRUCTUREREGIME: MEAN-REVERTING · ρ(1) -0.37 + ADF rejected
ρ(1) AUTOCORR-0.370within white-noise band
ρ(2) AUTOCORR+0.301lag-2 not significant
H · HURST EXPONENT1.054strongly persistent
OLS TREND · t-STAT-16.596significant @ α=0.05
HURST EXPONENT [0, 1]strongly persistent · H = 1.054
H = 1.054STRONGLY PERSISTENT
0
anti-persistent0.45
mean-reverting0.5
random walk0.55
persistent1
strongly trending
AUTOCORRELATION FUNCTION · ρ(k) for k=1..52 SIGNIFICANT LAGS · k=3,5
k=1-0.370k=2+0.301k=3 ★-0.461k=4+0.354k=5-0.4510+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|=16.60)
−5 reject−1.960 retain H₀+1.96+5 reject
REGIME CLASSIFICATIONMEAN-REVERTING · ρ(1) -0.37 + 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|=16.60)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)
$1.16M
Open interest (USD)
$3.62M
Vol / OI (turnover)
0.32x
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| 0.29%MILD BEARISH -3.14%BEST+0.62%21hWORST-0.93%00hTYPICAL |Δ|0.29%mean absoluteCUMULATIVE-3.14%Σ signed ΔSTREAK↘ 1down-runASIA · 00-08 UTCμ -0.25% · Σ -1.97%EUROPE · 08-16 UTCμ +0.02% · Σ +0.13%US · 16-24 UTCμ -0.16% · Σ -1.30%CUMULATIVE Δ PATH · final -3.14%+0.27%-3.48%0.07% · 13h0.07% · 13h0.07%13h0.20% · 14h0.20% · 14h0.20%14h-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-0.02% · 12h-0.02% · 12h-0.02%12hTIME PATTERNEurope-led (+0.13%)RUNSup max 2 · down max 3BREADTH42% up · 58% down
10 up bars · 14 down · best 0.62% · worst -0.93% · typical |Δ| 0.293%

§12 · Equity curve & underwater drawdown

Cumulative compounded return + running peak-to-trough
EQUITY & DRAWDOWN ANALYSIS · n=25 barsLOSS WITH MODERATE DD (-3.11%)FINAL-3.11%MAX DD-3.69%RECOVERYONGOING · 22 barsMAX RUN-UP+0.27%UNDERWATER22/25 (88%)STREAK↘ 1EQUITY CURVE · end 0.9689 · peak 1.0027 · range [0.9657, 1.0027]1.00270.9657break-even = 1★ PEAK 1.0027UNDERWATER DRAWDOWN · max -3.69% · moderate0%-3.69%▼ TROUGH -3.69%TOP DRAWDOWN PERIODS · 1 total#1 -3.69%bar 4-25 · 22 bars · ONGOINGDD SEVERITYmoderate (max -3.69%)RECOVERYongoing · 22 barsTIME UNDER WATER88% of session · 22/25 bars
final equity 0.9689 (-3.11%) · max DD -3.69% · time-under-water 22/25 bars

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

Rolling annualised Sharpe ratio · green positive · red negative
n=19 · +0 / −19 (0% positive) · μ=-38.33 · σ=18.57UNPROFITABLE STRATEGYLAST -13.12 (+1.36σ vs μ)76.8138.400.00-38.40-76.81μ = -38.33-29.13-29.13-28.57-28.57-44.18-44.18-11.72-11.72-7.69-7.69-24.98-24.98-36.09-36.09-38.55-38.55-43.56-43.56-76.39-76.39-76.81-76.81-52.77-52.77-40.17-40.17-46.35-46.35-40.05-40.05-46.89-46.89-45.68-45.68-25.53-25.53-13.12-13.12v > 0 · positivev < 0 · negativeμ mean lineμ ± σ bandlatest bar (outlined)
latest -13.118 · range [-76.81, -7.69] · μ -38.327 · positive Sharpe = excess-return-per-risk earned by buying-and-holding through this window
Rolling annualised volatility (%)
n=19 · μ=37.2261 · σ=9.7347 · range [17.6365, 51.4683] · R²=0.407▼ FALLING -42.98%σ EXTREME 26.15%LAST 21.328951.468343.010334.552426.094417.6365μ = 37.2261max 51.4683min 17.6365dataMA(3)OLS R²=0.41μ lineμ ± σ bandmaxmin
latest 21.33% · range [17.64%, 51.47%] · μ 37.23% · σ̂ scaled to annualised (×√8760)
Rolling lag-1 autocorrelation ρ(1)
n=19 · +0 / −19 (0% positive) · μ=-0.468 · σ=0.169MEAN-REVERSIONLAST -0.503 (-0.20σ vs μ)0.7630.3820.000-0.382-0.763μ = -0.468-0.355-0.355-0.490-0.490-0.637-0.637-0.316-0.316-0.586-0.586-0.390-0.390-0.143-0.143-0.278-0.278-0.370-0.370-0.288-0.288-0.462-0.462-0.551-0.551-0.757-0.757-0.763-0.763-0.711-0.711-0.435-0.435-0.405-0.405-0.459-0.459-0.503-0.503v > 0 · positivev < 0 · negativeμ mean lineμ ± σ bandlatest bar (outlined)
latest -0.503 · |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
1.0104
p-VALUE (log scale)
0.6034
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
23.1839
p-VALUE (log scale)
0.0004
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
-0.7969
p-VALUE (log scale)
0.8170
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
2.2928
p-VALUE (log scale)
0.0219
α
10⁻⁴10⁻³10⁻²10⁻¹1
p < α · rejection zonenon-random sign pattern (18 runs)
χ

KPSS (μ stationarity)

REJECT H₀**

H₀: p IS level-stationary

STATISTIC
0.8855
p-VALUE (log scale)
0.0044
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
-1.0206
p-VALUE (log scale)
0.3074
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainedVR 0.689 ≈ 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=1.97e-5 · top T=2.00h (59.1%) · top-3 cover 77.0%STRONG CYCLE @ T≈2.0cumulative energy ↗ (1 bin above 2× noise)1.4e-41.0e-47.0e-53.5e-50.0e+0μ noise floor2× noise (significance)period 24.0 · power 1.16e-5 · 4.9% energyperiod 24.0 · power 1.16e-5 · 4.9% energyperiod 12.0 · power 2.37e-6 · 1.0% energyperiod 12.0 · power 2.37e-6 · 1.0% energyperiod 8.0 · power 1.87e-5 · 7.9% energyperiod 8.0 · power 1.87e-5 · 7.9% energyperiod 6.0 · power 1.10e-5 · 4.7% energyperiod 6.0 · power 1.10e-5 · 4.7% energyperiod 4.8 · power 4.90e-6 · 2.1% energyperiod 4.8 · power 4.90e-6 · 2.1% energyperiod 4.0 · power 9.47e-6 · 4.0% energyperiod 4.0 · power 9.47e-6 · 4.0% energyperiod 3.4 · power 2.78e-6 · 1.2% energyperiod 3.4 · power 2.78e-6 · 1.2% energyperiod 3.0 · power 2.36e-5 · 10.0% energyperiod 3.0 · power 2.36e-5 · 10.0% energyperiod 2.7 · power 1.41e-6 · 0.6% energyperiod 2.7 · power 1.41e-6 · 0.6% energyperiod 2.4 · power 1.69e-7 · 0.1% energyperiod 2.4 · power 1.69e-7 · 0.1% energyperiod 2.2 · power 1.06e-5 · 4.5% energyperiod 2.2 · power 1.06e-5 · 4.5% energyperiod 2.0 · power 1.39e-4 · 59.1% energyperiod 2.0 · power 1.39e-4 · 59.1% energy50% by T=2.0h#1 dominantT=2.00h#2T=3.00h#3T=8.00hT=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 59.1% of total energy · Σ|X̂|²/n = 2.358e-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 0.01%
μ per barmean
-0.000%
σ per barvol
0.01%
Empirical f★argmax g(f)
0.00×
from observed distribution
Parametric f★μ/σ²
-86.02×
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 -18.44400 paths × 720 bars · leverage 0.10× · bootstrap from 4999 observed returns
Sharpe / barμ/σ
-0.008
annualized -18.44
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 -954% · APY -100% · Sharpe -28.65σ ann 33% · Sortino -18.04 · n 4999
-3438%-2742%-2047%-1351%-656%40%-954.0%APR (simple)-100.0%APY (compound)33.3%Ann. vol σ-2864.7%Sharpe (ann)-1803.8%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%
0.0800.0810.0830.0840.0860.088t-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 12:17:40 UTC
Snapshot age
5.8s
History points
25 hourly closes
Page rendered
2026-06-14 12:17:46 UTC
Storage policy
no persistence — fetched on every request
SHA-256 attestation
0d2b4bc5b21fdd0990e696a36e5ff004e6edc8dc54282f280af97367083e7e29 · 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

§∞-2 · Related markets · explore more

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Also see: /arb opportunities · RSS feed

Market depth

▸ live order book · Hyperliquid perp
Depth within 1bp
$1.98K
bid $1.68K · ask $299
Depth within 5bp
$15.79K
bid $14.36K · ask $1.43K
Depth within 10bp
$42.67K
bid $36.07K · ask $6.60K
Depth within 50bp
$239.80K
bid $133.03K · ask $106.77K
Mid price
0.083405
(best bid + best ask) / 2
Spread
1.2bp
(bestAsk − bestBid) / mid
Imbalance (whole book)
+0.111
bid-heavy
Imbalance (top-5)
+0.596
bid-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$1.00K0.0834242.28bp0.0834302FILLED
BUY$10.00K0.0834697.66bp0.0834908FILLED
BUY$100.00K0.08355017.44bp0.08360019FILLED
SELL$1.00K0.0834000.60bp0.0834001FILLED
SELL$10.00K0.0833921.60bp0.0833902FILLED
SELL$100.00K0.08329513.16bp0.08321018FILLED

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$13.89M

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

Order flow

▸ ASK-LEAN · -0.128 · Hyperliquid candles
Bars (buy / sell)
10 / 14
1 unclassified
Buy weight
$5.82M
real volume
Sell weight
$7.52M
real volume
Net delta
$1.70M
sellers net
Imbalance
-12.77%
(buy − sell) / (buy + sell)
Toxicity (VPIN)
12.8%
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 · 3 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)
33.30%
σ per bar = 0.000145
Mean return (annualised)
-954.00%
μ per bar = -0.000002
Sharpe (rf=0)
-28.65
annualised; risk-free assumed zero
Max drawdown
1.61%
peak 0.08 → trough 0.08 over 3215 bars

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