Research focus
Market structure, time-series models, and portfolio relationships are studied together. Research moves from observations to testable signals, then to validation across market conditions.
Market structure
ORDER FLOW / LIQUIDITYPrice, volume, order-book depth, trade intensity, and liquidity shocks inform market-structure research.
Time-series models
WAVELETS / LSTM / ARIMAMulti-scale decomposition separates time horizons before statistical and sequence models examine the resulting components.
Portfolio relationships
FACTORS / COINTEGRATIONMomentum, relative value, sentiment, and cointegration research explore complementary inputs to a composite portfolio.
Multi-scale signal research
The published framework combines continuous wavelet transforms, an LSTM–ARIMA hybrid, and RSI thresholds to study noisy crypto order flow. Its BTC–BNB spread research uses cointegration filtering to examine anomalous signals.
Wavelet decomposition & RSI cointegration
Model architecture, signal fusion, and empirical research.
Read the published study abstract
To address the non-stationarity and high-noise characteristics of order flow in highly liquid cryptocurrency assets (BTC/USDT), this study proposes a multi-scale signal generation framework integrating Continuous Wavelet Transform (CWT), an LSTM–ARIMA hybrid model, and Relative Strength Index (RSI). By decomposing 2–7 days of historical order-flow data (price, volume, order-book depth) using CWT, mid-to-short-term components (1h–6h) are extracted to suppress high-frequency noise, while low-frequency components (>6h) are input into an ARIMA model to analyze mean reversion and seasonal fluctuations. High-frequency components (<1h) are processed by an LSTM network to capture nonlinear dynamics such as market sentiment shifts and liquidity pulses. The RSI indicator optimizes signal trigger thresholds, and cointegration error filtering (BTC–BNB spread portfolio) eliminates anomalous signals. Empirical analysis on 2023 BTC/USDT high-frequency data from Binance shows a Sharpe ratio of 3.72 (26.4% improvement over the standalone LSTM model), maximum drawdown of 1.9%, and a win rate of 58.7%, validating the model’s effectiveness in noise reduction, dynamic response, and risk control.
Model Architecture and Empirical Analysis Multi-scale decomposition uses the Morlet wavelet basis to isolate high-frequency noise (<1h), mid-term trends (1h–6h), and long-term cycles (>6h). Low-frequency components are modeled by ARIMA for linear statistical patterns, while high-frequency components are fed into an LSTM network to capture nonlinear dynamics such as liquidity pulses and whale-address anomalies.
Signal Fusion and Optimization A dynamic weighting mechanism integrates LSTM (nonlinear responses) and ARIMA (steady-state trends), augmented by a 14-period RSI to filter overbought/oversold signals and reduce false trading frequency. Cointegration filtering constructs a BTC–BNB spread portfolio, leveraging the Johansen test to establish long-term equilibrium relationships and dynamically discard signals deviating from the cointegration space.
Figures in the study abstract describe its stated 2023 research dataset. They are separate from the reported composite NAV on the strategy page.
Model fragility & tail risk
The Fat-Tail MSTR Effect examines pre-asymptotic inference, epistemic tails, and the consequences of model error. It is part of a broader research discussion about where statistical evidence remains incomplete.
Research materials
Research & strategy framework
Team background, portfolio construction, and access pathways.
Machine learning for structured data
Feature engineering, model selection, and interpretability.
View the composite NAV and performance methodology ↗
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