Framing Net Carry for Cross-Venue Perpetual Funding Positions: A Settled-History, Depth-Walked, and Liquidation-Aware Method

Cross-venue perpetual funding positions are often summarized by annualizing the current funding-rate spread, a practice that conflates transient quotes with holding-period cash and omits execution and margin risks. This paper develops an accounting framework based on settled funding history, asynchronous settlement grids, depth-walked entry and exit costs, and tier-adjusted liquidation distances. Net income is reported at reference and conservative ends, with unavailable inputs left explicitly unavailable. A nominal cost-coverage horizon is distinguished from recovery under time-varying funding. A limited replay motivates the historical basis but does not validate the estimator; out-of-sample performance is not reported.

Authors

Publication Details

Journal
Zenodo (CERN European Organization for Nuclear Research)
Published
2026-11-03
DOI
https://doi.org/10.5281/zenodo.23897013
Citations
8
Primary Topic
Financial Markets and Investment Strategies
Type
preprint
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preprint

Framing Net Carry for Cross-Venue Perpetual Funding Positions: A Settled-History, Depth-Walked, and Liquidation-Aware Method

Hang Liu
8 citations
Zenodo (CERN European Organization for Nuclear Research)
Financial Markets and Investment Strategies
preprint

Framing Net Carry for Cross-Venue Perpetual Funding Positions: A Settled-History, Depth-Walked, and Liquidation-Aware Method

Hang Liu
preprint en
8 citations

Abstract

Cross-venue perpetual funding positions are often summarized by annualizing the current funding-rate spread, a practice that conflates transient quotes with holding-period cash and omits execution and margin risks. This paper develops an accounting framework based on settled funding history, asynchronous settlement grids, depth-walked entry and exit costs, and tier-adjusted liquidation distances. Net income is reported at reference and conservative ends, with unavailable inputs left explicitly unavailable. A nominal cost-coverage horizon is distinguished from recovery under time-varying funding. A limited replay motivates the historical basis but does not validate the estimator; out-of-sample performance is not reported.

Zenodo (CERN European Organization for Nuclear Research)
Financial Markets and Investment Strategies
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