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Showing 1 to 1 of 1 for “"clamp function"”.

  1. ARBITRAGE STRATEGIES IN PERPETUAL FUTURES AND STOCK INDEX FUTURES

    LI LINFENG2025

    … a funding swap mechanism. We show that the clamping function embedded in the mechanism—previously overlooked in the literature—creates inherent no-arbitrage bounds that persist even in the absence of transaction fees. Using two years of Binance data, we empirically confirm the validity of …

    nus Repository record