DeFi University

3 modules · 12 lessons · about 4 hours

Spreads, Signals, and Friction

Log-price spreads, frozen z-scores, next-bar fills, and perp costs — fees, slippage, and hourly funding.

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Module 1: Spread and Hedge

  1. 1The Log-Price Spread Formula9 minExercise
  2. 2Estimating Beta: OLS vs Rolling vs Kalman9 minExercise
  3. 3Beta Drift and the 15% Abort7 minExercise
  4. 4Z-Scores from Frozen Mu and Sigma8 minExercise
  5. ?Module 1 quiz

Module 2: Signals and Perp Costs

  1. 5Mean-Reversion Entries Without Same-Bar Fills8 minExercise
  2. 6Perp Friction vs Equity Borrow9 minExercise
  3. 7Fees and Slippage on a CLOB9 minExercise
  4. 8Hourly Funding as First-Class PnL9 minExercise
  5. ?Module 2 quiz

Module 3: Filters and Regime

  1. 9The Break-Even Entry Filter9 minExercise
  2. 10Sizing Caps: 2–5% Per Pair9 minExercise
  3. 11When the Relationship Changes9 minExercise
  4. 12Net PnL Identity: Gross Minus Costs8 minExercise
  5. ?Module 3 quiz