Series
A multi-part exploration of liquidity, structure, and the invisible choreography that moves modern markets.
Part 1
One value priced in two places disagrees with itself, and arbitrage drags the two prices back together as far as costs, capital and rules allow. That's why some gaps last microseconds and others decades. With a worked arbitrage, the limits that keep gaps open, which venue leads a move, and bitcoin's 2018 Korean premium as a case study.
Part 2
Why most traders lose and why a visible edge stops paying. A reference guide to the Pareto distribution of outcomes, edge decay under attention, the zero-sum arithmetic of trading, and a study of every persistent day trader in Brazil's main index future.
Part 3
Liquidity is the bloodstream of a market, and the order book is where it shows. A reference guide to the book and its order types, icebergs and spoofing, stop runs, liquidity pockets and fair value gaps, price discovery and reversion to the mean.
Part 4
Wyckoff gives markets a script and Elliott gives them a rhythm. A reference guide to both: the laws, phases and events of accumulation and distribution, the waves and their rules, where liquidity sits, and a case study in Ethereum from 2022 to 2025.
Part 5
Futures, perpetual swaps and exchange-traded funds all lean on the price they follow. A reference guide to the machinery: the futures curve and basis, funding, mark price and the liquidation engine, creation and redemption, and a case study of 12 and 13 March 2020.
Part 6
A market maker plays the game it appears to referee. A reference guide to what the spread pays for, how inventory skews quotes, why liquidity vanishes when it is wanted, OTC desks and hedging, and a case study of the 6 May 2010 flash crash.
Part 7
About half of US share volume now trades away from the exchanges, in dark pools, wholesalers and dealer platforms, and reaches the tape only as prints after the fact. Where trades happen, how they're reported, what your chart's volume leaves out, who sees what first, and two dark pools that didn't work as advertised.
