2026/05/31 by Maksym Nechepurenko · 1 citation
Economics, Econometrics and Finance · #q-fin.GN #q-fin.PR #q-fin.TR
19 pages, 3 figures, 5 tables. Major revision (series release r2.1.0): replaced the flat variant list with a four-axis taxonomy; corrected inheritance from the revised Paper 1; formalized six results and evidence grades. No new empirical estimates. Code: https://github.com/ForesightFlow/event-linked-perps
arxiv created 2026/07/29 · arxiv updated 2026/07/30
The label event-linked perpetual often conflates mathematically different contracts. We replace a flat product list with a four-axis taxonomy: underlying geometry, temporal structure, settlement structure, and venue-oracle composition. The taxonomy covers a single binary probability, conditional ratios, event spreads, baskets, path functionals, liquidity indices, rolling sequences, and flow-only swaps. We derive a corrected inheritance map from the single-event case and prove six narrow results. Terminal shortfall depends on exact settlement support and collateral, not on a generic bounded-event label. Conditional ratios become locally ill-conditioned as the conditioning value approaches zero. Once one spread leg is final, the residual position is an affine single-leg exposure. Basket risk depends on feasible joint outcomes and weights, not leg count. Binary entropy settles deterministically to zero, whereas realized variation requires an explicit sampling and terminal-jump convention. Fixed-path replay does not identify deployment behavior when a liquidity contract changes its own reference process. No new empirical estimates are reported. We assign evidence grades and minimum data requirements to each design. The central conclusion is that no universal event-perpetual engine exists: each contract must separately define support, clocks, settlement, source hierarchy, and the controls implied by those choices.