Group M FINM 33150 Final Trading Project

Cross-venue carry and cascade alpha in crypto perpetuals.

FINM 33150 — Quantitative Trading Strategies — Winter 2026

John Beecher (12302422), Antonio Magalhaes Torreao e Braz (12496713), Jean-Luc Choiseul (12506535), Jean Mauratille (12328252)

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Strategy

Two-component strategy targeting structural inefficiencies in crypto perpetual futures:

1. Funding Rate Carry (70%) — Delta-neutral cross-venue carry harvesting persistent funding rate spreads across 7 venues (Hyperliquid, Lighter, OKX, Kraken, Binance, Bybit, dYdX).

2. Liquidation Cascade Positioning (30%) — Merton jump-diffusion model monitoring cross-layer liquidation risk across Hyperliquid perps and HyperLend for convex tail-risk payoffs. Historical lending positions reconstructed via on-chain event replay.

Data Sources

Source	Data	Auth	Notes
0xArchive	Funding, candles, OI, liquidations, prices (Hyperliquid + Lighter)	API key	Historical from Apr 2023
OKX	Funding, candles, OI, liquidations	None	Free, works from US
Kraken Futures	Funding (hourly→8h), candles, OI	None	Free, works from US
Binance	Funding, candles, OI	None	VPN required
Bybit	Funding, candles, OI	None	VPN required
dYdX	Funding (hourly→8h), candles, OI	None	No auth needed
Hyperliquid	Live meta, orderbook, predicted fundings	None	Direct API fallback
HyperLend	Lending positions via on-chain event replay	None	HyperEVM RPC
DeFi Llama	TVL history	None	Free

Tokens: BTC, ETH, SOL, HYPE, DOGE

Setup

uv sync

Development

make sync      # install dependencies
make test      # run tests
make lab       # launch jupyter lab
make lint      # ruff check
make clean     # remove caches and build artifacts

Project Structure

src/funding_the_fall/   # core library
scripts/                # standalone scripts
notebooks/              # jupyter notebooks
tests/                  # pytest suite
data/                   # parquet datasets (committed)

License

The Unlicense