arXiv subjects

Doohwi Cha

Publications and source records attributed to Doohwi Cha.

5 recordsLinked to original sources

arXiv2026

Basis-Only Funding Is Not Dividend Fair: Settlement Design in Crypto Equity Perpetuals

Crypto venues increasingly list perpetual futures on equities and other real-world assets (RWAs), which trade continuously yet reference dividend-paying stocks: a long equity perpetual marked to the ex-dividend cash price bears the ex-dividend drop without receiving the dividend. We ask whether the premium-index funding architecture these venues run -- funding set from the contemporaneous basis $e_t=P_t-S_t$ rather than a carry target -- can replicate shareholder cash flows for traders entering and exiting at arbitrary times. It cannot. Funding serves two roles that coincide for non-dividend crypto assets but split apart for equities: basis control and settlement. We give the fair-funding identity, cast timing fairness as an optimal-stopping condition, and characterize when the basis is a sufficient statistic for the fair target. The decisive obstruction is measure-theoretic: a predictable dividend is an atom, and no absolutely continuous funding path can replicate an atom over holding intervals even in the weak limit, so fairness must match the atom with an atom -- an event credit. Exchange-native data confirm this: at each covered ex-date one venue posts a discrete funding atom equal to $-D/(\mathrm{Mark}-D)$ while a standard premium-index venue posts none, transferring the dividend across venues -- from native funding alone, with no external spot.

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arXiv2026

NEST: Stale-Robust Tokenized-Stock Measurement for a Crypto-Treasury LETF Stack

Tokenized equities trade while listed markets are closed, so their marks could improve off-hours measurement along layered exposures that link Bitcoin, crypto-treasury stocks, and leveraged ETFs. A token return and the next opening gap, however, share the price move from the previous close to the token mark, so part of their apparent fit is mechanical. We develop NEST, a stale-robust protocol that separates this shared-history fit from conditional measurement value. A shared-history identity and a variance-clock bound show how much fit timing alone can generate. The partial determination index (PDI), the squared partial correlation between token and gap given public controls, measures what remains, and a finite-sample frontier expresses the partial-F decision in PDI units. Product, provenance, timestamp, and execution audits decide whether an informative mark is admissible. For MSTRx, a tracker certificate on MicroStrategy (MSTR), a token-only $R^2$ of 0.916 shrinks to a modest increment once Bitcoin, mark age, and a pre-09:00 MSTR premarket proxy are controlled: the token explains 15.7% of the remaining gap variation (1% frontier 0.031), and 14.0% to 17.0% under stricter clock variants, including one in which every token mark precedes 09:00. A trade-level reconstruction on Gate gives 25.2%; NVDAX and AAPLX clear their frontiers, whereas TSLAX does not. An admitted mark updates, rather than replaces, BTC-unit exposure diagnostics for the BTC-MSTR-LETF chain.

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arXiv2026

Pricing the Unprovable: Ambiguity, Turnstile Runs, and the Verifiability Discount in Crypto Protocols

Privacy-preserving protocols can repair a vulnerability without establishing whether it was exploited beforehand, even when no theft is reported and aggregate supply is protected. We call the potential value reduction from this gap the verifiability discount. A turnstile model shows how early withdrawal can shift a possible shortfall to remaining holders and why credible evidence can become more valuable as exposure grows. We introduce VDISC, a reproducible framework that records reported loss, exposed value, public evidence, returns, and pool flows separately. It combines Orchard's staged disclosures with reconstructed on-chain flows, earlier Zcash cases, and a 40-event security panel. Orchard follows the predicted direction: market responses were muted after repair and supply assurance, while the largest negative return and aggregate shielded-pool net outflow aligned with the acknowledgment that past abuse could not be ruled out. These patterns are directional, not causal. Across events, market-cap-normalized reported loss and unresolved exposure overlap among the 38 events with a public loss figure (Pearson 0.86, Spearman 0.56), partly because exposure is often coded from the loss itself, so returns alone cannot distinguish reported loss from unresolved history. The findings motivate three candidate design priorities: produce privacy-compatible evidence about past states, limit the state exposed by a single flaw, and disclose residual uncertainty explicitly.

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arXiv2026

Neural Estimation of Irreversibility in Real and Simulated Limit Order Book Paths

A path indistinguishable from its own reverse carries no arrow of time, so time irreversibility is a necessary condition for a directed mechanism to be readable from trajectories alone. In finance it has been measured only on scalar series such as returns and volatility. We define the irreversibility rate of a coarse-grained limit order book path as the forward-to-reverse log-density ratio per event, and estimate it from three weeks of Nasdaq market-by-order data with an order-invariant MLP and a temporal convolutional network that receive identical blocks. For NVDA, the order-invariant and order-sensitive estimates are 0.036 and 0.054 nats per event, respectively. Their difference, the ordering increment, is 0.018. A surrogate preserving the coarse one-step transition table recovers 30 percent less irreversibility than the observed paths. The increment is positive for all twelve symbols on every held-out daytime date, and for NVDA in each session window. It changes more than tenfold with the coarse-graining scale. Neither a linear score nor any single feature group reproduces the full fitted rate. A queue-reactive simulator calibrated on the same days matches the market's ordered rate, 0.052 against 0.054, yet its ordering increment is 0.0006 against 0.018, building temporal asymmetry out of block composition instead of block order. We propose the ordering and scale profile of path irreversibility as a benchmark for order book simulators. Code and audit materials are available at https://github.com/hjyeo30/lob-irreversibility.

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arXiv2026

When Cross-Venue Agreement Is Not Price Discovery: Disclosure Frontiers for 24/7 Equity-Perpetual Oracles

Crypto-listed equity perpetuals trade while the primary cash market is closed, yet still need a mark for margin, funding, and liquidation. We model the closed-window mark as the fixed point of an oracle operator with two blocks: external anchoring and self/peer derivative reference. From marks and proxies alone the two are observationally equivalent: every reduced form admits infinitely many topology decompositions, and a path-law argument extends this to the full mark dynamics, so lead-lag and information-share estimators have power equal to size. Disclosure breaks the tie -- disclosed diagonal adjustment identifies the normalized topology, and disclosed support with forbidden anchors gives a row-level test that identifies, falsifies, or leaves a positive-dimensional class under a rank condition and finite-sample tolerance. Empirically, a disclosed OKX row survives pre-open falsification while a pure-external baseline shows the test's limited power, and an eight-week deep-closed panel with cash-reopen validation bounds the live-external content of closure variance. Cross-venue agreement is not price discovery unless disclosure or the cash reopen breaks the equivalence class.

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