{"id":"https://openalex.org/W7225200496","doi":"https://doi.org/10.5281/zenodo.23918114","title":"Forecasting Next-Settlement Funding from the Premium Integral: Mechanism-Based Ornstein\u2013Uhlenbeck Evidence across Three Venues","display_name":"Forecasting Next-Settlement Funding from the Premium Integral: Mechanism-Based Ornstein\u2013Uhlenbeck Evidence across Three Venues","publication_year":2026,"publication_date":"2026-11-03","ids":{"openalex":"https://openalex.org/W7225200496","doi":"https://doi.org/10.5281/zenodo.23918114"},"language":"en","primary_location":{"id":"doi:10.5281/zenodo.23918114","doi":"https://doi.org/10.5281/zenodo.23918114","is_oa":true,"landing_page_url":"https://doi.org/10.5281/zenodo.23918114","pdf_url":null,"source":{"id":"https://openalex.org/S4306400562","display_name":"Zenodo (CERN European Organization for Nuclear Research)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I67311998","host_organization_name":"European Organization for Nuclear Research","host_organization_lineage":["https://openalex.org/I67311998"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Preprint"},"volume":null,"type":"preprint","indexed_in":["datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.5281/zenodo.23918114","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5160383694","display_name":"Hang Liu","orcid":"https://orcid.org/0009-0008-1059-3926","observed_orcids":["https://orcid.org/0009-0008-1059-3926"]},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Liu, Hang","raw_affiliation_strings":["humarb Research"],"raw_orcid":"https://orcid.org/0009-0008-1059-3926","affiliations":[{"raw_affiliation_string":"humarb Research","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":["https://openalex.org/A5160383694"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.61080002784729,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.61080002784729,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.15000000596046448,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.08129999786615372,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/ornstein-uhlenbeck-process","display_name":"Ornstein-Uhlenbeck process","score":0.9269999861717224},{"id":"https://openalex.org/keywords/discrete-moments","display_name":"discrete moments","score":0.5680000185966492},{"id":"https://openalex.org/keywords/out-of-sample-forecasting","display_name":"out-of-sample forecasting","score":0.7350000143051147},{"id":"https://openalex.org/keywords/cryptocurrency-futures","display_name":"cryptocurrency futures","score":0.47999998927116394},{"id":"https://openalex.org/keywords/kernel-weighting","display_name":"kernel weighting","score":0.46700000762939453},{"id":"https://openalex.org/keywords/forecast-coverage","display_name":"forecast coverage","score":0.4320000112056732},{"id":"https://openalex.org/keywords/uncertainty-calibration","display_name":"uncertainty calibration","score":0.515999972820282}],"concepts":[{"id":"https://openalex.org/C74746147","wikidata":"https://www.wikidata.org/wiki/Q5324652","display_name":"EWMA chart","level":4,"score":0.7768999934196472},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6118000149726868},{"id":"https://openalex.org/C185798385","wikidata":"https://www.wikidata.org/wiki/Q1161707","display_name":"Benchmark (surveying)","level":2,"score":0.5460000038146973},{"id":"https://openalex.org/C28719098","wikidata":"https://www.wikidata.org/wiki/Q44946","display_name":"Point (geometry)","level":2,"score":0.5182999968528748},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.45579999685287476},{"id":"https://openalex.org/C198531522","wikidata":"https://www.wikidata.org/wiki/Q485146","display_name":"Sample (material)","level":2,"score":0.4381999969482422},{"id":"https://openalex.org/C182365436","wikidata":"https://www.wikidata.org/wiki/Q50701","display_name":"Variable (mathematics)","level":2,"score":0.4318999946117401},{"id":"https://openalex.org/C139945424","wikidata":"https://www.wikidata.org/wiki/Q1940696","display_name":"Mean squared error","level":2,"score":0.4036000072956085},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.39820000529289246},{"id":"https://openalex.org/C163716315","wikidata":"https://www.wikidata.org/wiki/Q901177","display_name":"Gaussian","level":2,"score":0.37389999628067017},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.33980000019073486},{"id":"https://openalex.org/C160145156","wikidata":"https://www.wikidata.org/wiki/Q778586","display_name":"Executable","level":2,"score":0.3328999876976013},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.32919999957084656},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.32679998874664307},{"id":"https://openalex.org/C181243257","wikidata":"https://www.wikidata.org/wiki/Q1693522","display_name":"Sample mean and sample covariance","level":3,"score":0.3124000132083893},{"id":"https://openalex.org/C204241405","wikidata":"https://www.wikidata.org/wiki/Q461499","display_name":"Transformation (genetics)","level":3,"score":0.3034999966621399},{"id":"https://openalex.org/C112313634","wikidata":"https://www.wikidata.org/wiki/Q7886648","display_name":"Complement (music)","level":5,"score":0.2937999963760376},{"id":"https://openalex.org/C129848803","wikidata":"https://www.wikidata.org/wiki/Q2564360","display_name":"Sample size determination","level":2,"score":0.2930999994277954},{"id":"https://openalex.org/C151541453","wikidata":"https://www.wikidata.org/wiki/Q523022","display_name":"Risk premium","level":2,"score":0.2906999886035919},{"id":"https://openalex.org/C129537906","wikidata":"https://www.wikidata.org/wiki/Q7603913","display_name":"State variable","level":2,"score":0.2757999897003174},{"id":"https://openalex.org/C138262166","wikidata":"https://www.wikidata.org/wiki/Q570938","display_name":"Net income","level":2,"score":0.2741999924182892},{"id":"https://openalex.org/C41426520","wikidata":"https://www.wikidata.org/wiki/Q1192065","display_name":"Point estimation","level":2,"score":0.2694000005722046},{"id":"https://openalex.org/C48103436","wikidata":"https://www.wikidata.org/wiki/Q599031","display_name":"State (computer science)","level":2,"score":0.25029999017715454}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.5281/zenodo.23918114","doi":"https://doi.org/10.5281/zenodo.23918114","is_oa":true,"landing_page_url":"https://doi.org/10.5281/zenodo.23918114","pdf_url":null,"source":{"id":"https://openalex.org/S4306400562","display_name":"Zenodo (CERN European Organization for Nuclear Research)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I67311998","host_organization_name":"European Organization for Nuclear Research","host_organization_lineage":["https://openalex.org/I67311998"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Preprint"},{"id":"doi:10.5281/zenodo.23918115","doi":"https://doi.org/10.5281/zenodo.23918115","is_oa":true,"landing_page_url":"https://doi.org/10.5281/zenodo.23918115","pdf_url":null,"source":{"id":"https://openalex.org/S4306400562","display_name":"Zenodo (CERN European Organization for Nuclear Research)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I67311998","host_organization_name":"European Organization for Nuclear Research","host_organization_lineage":["https://openalex.org/I67311998"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Preprint"}],"best_oa_location":{"id":"doi:10.5281/zenodo.23918114","doi":"https://doi.org/10.5281/zenodo.23918114","is_oa":true,"landing_page_url":"https://doi.org/10.5281/zenodo.23918114","pdf_url":null,"source":{"id":"https://openalex.org/S4306400562","display_name":"Zenodo (CERN European Organization for Nuclear Research)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I67311998","host_organization_name":"European Organization for Nuclear Research","host_organization_lineage":["https://openalex.org/I67311998"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Preprint"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":2,"referenced_works":["https://openalex.org/W7225045060","https://openalex.org/W7225102052"],"related_works":["https://openalex.org/W7222835345","https://openalex.org/W7170057114","https://openalex.org/W7202389649","https://openalex.org/W7171702311","https://openalex.org/W7172126119","https://openalex.org/W7134915671","https://openalex.org/W7171499789","https://openalex.org/W7214045563","https://openalex.org/W7204967757","https://openalex.org/W4411567535"],"abstract_inverted_index":{"Perpetual-futures":[0],"funding":[1],"is":[2,14,126],"a":[3,7],"deterministic":[4],"transformation":[5],"of":[6],"kernel-weighted":[8],"premium":[9,36],"integral,":[10],"yet":[11],"the":[12,18,72],"integral":[13],"rarely":[15],"used":[16],"as":[17],"state":[19],"variable":[20],"in":[21],"next-settlement":[22],"forecasts.":[23],"We":[24],"derive":[25],"exact":[26],"discrete":[27],"moments":[28],"and":[29,46,51,94,110,114,129],"clamped-normal":[30],"predictive":[31],"distributions":[32],"under":[33],"an":[34],"Ornstein\u2013Uhlenbeck":[35],"model,":[37],"then":[38],"evaluate":[39],"genuinely":[40],"out-of-sample":[41],"forecasts":[42],"for":[43,71],"BTC,":[44],"ETH,":[45],"SOL":[47],"on":[48,91,108],"Binance,":[49],"Gate,":[50],"Hyperliquid.":[52],"The":[53,132],"38-day":[54],"public-data":[55],"sample":[56],"contains":[57],"2,781":[58],"targets":[59],"over":[60,87,98],"31":[61],"evaluation":[62],"days.":[63],"OU":[64],"reduces":[65],"pooled":[66],"RMSE":[67],"from":[68],"0.2368":[69],"bp":[70],"last-settlement":[73],"benchmark":[74],"to":[75],"0.1968":[76],"bp,":[77],"but":[78],"remains":[79],"slightly":[80],"behind":[81],"EWMA":[82,97],"at":[83],"0.1947":[84],"bp.":[85],"Improvements":[86],"Last":[88],"are":[89],"strongest":[90],"Hyperliquid;":[92],"Binance":[93,109],"Gate":[95],"favor":[96],"OU.":[99],"Minute-level":[100],"reconstruction":[101],"supports":[102,134],"linear":[103],"rather":[104],"than":[105],"equal":[106],"kernels":[107],"Gate.":[111],"Twenty":[112],"configurations":[113],"Holm/Reality-Check":[115],"procedures":[116],"address":[117],"selection.":[118],"Gaussian":[119],"intervals":[120],"fail":[121],"by":[122],"venue:":[123],"95%":[124],"coverage":[125],"39.1%,":[127],"43.5%,":[128],"97.7%,":[130],"respectively.":[131],"evidence":[133],"mechanism-aware":[135],"point":[136],"forecasting,":[137],"not":[138],"uniformly":[139],"superior":[140],"accuracy,":[141],"calibrated":[142],"uncertainty,":[143],"or":[144],"executable":[145],"net":[146],"returns.":[147]},"counts_by_year":[],"updated_date":"2026-11-05T12:25:35.769452","created_date":"2026-11-04T00:00:00"}
