QFEX Research

Fair Value to Bid and Offer

When fair-value estimates turn into market-making strategies.

Sep 30 • Annanay Kapila

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Fair Value != Prediction

How market makers turn relationships between markets into a price worth quoting.

Sep 23 • Annanay Kapila

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A Primer to (Exchange) Tokens

Why exchanges launch tokens, and the economics of rewarding the users who show up early.

Sep 18 • Annanay Kapila

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June 2026

From Linear Alphas to Conditional Alpha: Decision Trees, Random Forests, and the Models Behind Modern HFT

After modeling order-book alphas for long enough, one eventually notices that they are rarely unconditional.

Jun 15 • Annanay Kapila

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Your First HFT Alpha: From Flow Prediction to Order-Book Imbalance

The simplest market-making alphas start with flow. The hard part is defining the flow, the horizon, and the signal.

Jun 5 • Annanay Kapila

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Regularization and Bagging: First Techniques in HFT Modelling

Stabilizing linear alphas in low signal-to-noise microstructure data

Jun 3 • Annanay Kapila

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December 2025

A Deep Dive into CLOB Microstructure

Beyond Price-Time Priority

Dec 2, 2025 • Annanay Kapila

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October 2025

Perp Problems When The Underlying is Closed

Some discussion around the paper Non-Arbitrage Conditions for Perpetual Forwards by Jez (@izebel_eth)

Oct 30, 2025 • Annanay Kapila

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The Arbitrageurs’ Market Maker

Beware the narratives - AMMs are a delight for arbitrageurs, and a sinister way to extract money from unwilling supporters.

Oct 28, 2025 • Annanay Kapila

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September 2025

Perps for the People

Institutions have been trading perps long before crypto existed - through swaps.

Sep 9, 2025 • Annanay Kapila

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How to Move $trillions

All quiet on the trading floor...

Sep 8, 2025 • Annanay Kapila

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Tokenized Equities (Here We Go Again)

Seemingly every week, yet another protocol announces they are putting equities on-chain.

Sep 1, 2025 • Annanay Kapila

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