Shihao Yu

40 posts

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Shihao Yu

Shihao Yu

@ShihaoY

Assistant Professor of Finance@Singapore Management U. Research in trading ∩ technology.

Singapore Katılım Ağustos 2013
143 Takip Edilen135 Takipçiler
Shihao Yu retweetledi
danning
danning@sui414·
Super excited to release the study with @0xallyzach on the microstructure of Short-term Crypto Markets, where we cover an overview on the growth momentum & economics on both @Kalshi and @Polymarket, plus a deep dive into Polymarket’s user segments and 🕵🏻‍♂️ potential market manipulation: This is a "MEV" strategy that no one has called out lout til now (which allegedly long-existed in option trading) — Some traders appear to have figured out how to influence the closing price of Polymarket’s 5-minute BTC Up/Down markets while betting and profiting. 👇🧵
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Shihao Yu
Shihao Yu@ShihaoY·
Excited to share a new paper with David Dai and @RuizheJia on prediction markets! Ruizhe wrote a great summary — see below👇
Ruizhe Jia@RuizheJia

Binance is arguably the world's largest crypto exchange. Feb 2026: Polymarket lists a small 5-minute Bitcoin contract. Since then, Binance order flow spikes in the final seconds before settlement; prices revert soon after. New paper with David Dai and Shihao Yu ( @ShihaoY ): Settlement Manipulation in Prediction Markets (papers.ssrn.com/sol3/papers.cf…)🧵 The finding, up front: Traders push Bitcoin's price in the final seconds to decide the contract. That push makes the price less informative, yet Bitcoin's market more liquid. Market makers are largely insulated; ordinary traders lose $7.6M in two months.

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Shihao Yu retweetledi
Ethereum Singapore
Ethereum Singapore@ethereum_sg·
🧵Introducing the Ethereum Research Forum during @ethereum_sg, curated by @ethereumfndn Academic Secretariat. Let's welcome our stellar lineup of speakers from industry & academia
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Shihao Yu
Shihao Yu@ShihaoY·
@ankitchiplunkar @nickprince Interesting tweet, Ankit! What about on-chain price discovery through mempool, either by builders' bid updates in the private mempools (as you show in the graph) or by public orders added/updated in the public mempool? Then we are not constrained by the settlement speed.
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Ankit Chiplunkar
Ankit Chiplunkar@ankitchiplunkar·
@nickprince Price discovery does happen on-chain for tail-end tokens that have low liquidity off-chain. For others, price discovery happens off-chain. Speed of settlement is the main factor. With faster settlement more information is communicated about market participants’ beliefs.
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Ankit Chiplunkar
Ankit Chiplunkar@ankitchiplunkar·
How are prices updated on-chain? Most of the volume on-chain happens on AMMs where prices are updated every block by trades. In parallel prices are updated every microsecond on off-chain venues.
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Shihao Yu retweetledi
Björn Hagströmer 🇺🇦 🇸🇪
Björn Hagströmer 🇺🇦 🇸🇪@bjornhagstromer·
I have written a literature review about market fragmentation, with special focus on European equity markets. Below an example of how fragmented the markets have become. All comments welcome!
Björn Hagströmer 🇺🇦 🇸🇪 tweet media
Plato Partnership@PlatoMarkets

🚨New #MI3 academic #research - "Market Fragmentation in Europe"🎓 @bjornhagstromer looks at: ✅ European #equity fragmentation in 2022 ✅ The impact on #marketquality & #liquidity ✅ Analysis and evidence of impact on lit and dark markets Read now: platopartnership.com/mi3-academic-r…

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Shihao Yu
Shihao Yu@ShihaoY·
@matt_levine @Trent_mcbride I guess it is not surprising to see a balanced retail flow at Citadel: it is exactly what a market-maker should do. But it does not imply retail flows at Robinhood is balanced as a significant share of it is also routed to execution services and can be quite one-sided.
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Matt Levine
Matt Levine@matt_levine·
@Trent_mcbride yeah that's fair. one could imagine that one broker was long and one short or something, but it's weird.
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Shihao Yu retweetledi
Jessie
Jessie@jesseeeeuh·
@Dawid_Walentek @NPORadio1 Wauw. Ja je bent blank hè, dan mag het. Ik zou dit naar @geenstijl sturen of op een andere manier proberen aan de grote klok te hangen.
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Keşfet

@0xallyzach @Kalshi @Polymarket @RuizheJia @ethereum_sg @ethereumfndn @SammyObeid @ankitchiplunkar