Mechanism
Forced flow
Traders who must buy or sell whatever the price: liquidations, fund rebalancing, stop orders, margin calls. The belief is that their orders push prices in a predictable way.
Showing 1–8 of 8 experiments
| ID | Experiment | Market | Mechanism | Horizon | Result | Verdict |
|---|---|---|---|---|---|---|
| E888 | Buying the S&P 500 after a VIX spike rests on three crisis days equity-index, sp500, vix, panic-reversal, liquidity-provision, overnight | Equities & volatility | Forced flow | 1d | +9.4 bp, carried by 3 days | KILL |
| E886 | A patient maker resting 2% off the index loses once fills are verified market-making, liquidity-provision, adverse-selection, fill-model, thin-markets, perpetuals | Crypto & DeFi | Forced flow | 15m-1h | -14.2 bp dollar-weighted per fill | KILL |
| E872 | Round-number price levels cannot be told apart from placebo levels round-numbers, stop-orders, liquidation-clusters, perpetual-futures, placebo-levels, hourly-bars | Crypto & DeFi | Forced flow | 1h-4h | -252.5 bp; round = placebo | KILL |
| E871 | Lending-rate spikes do not pay a short after costs lending-rates, constrained-shorts, spot-margin, perpetual-futures, alt-coins, event-study | Crypto & DeFi | Forced flow | 4h-24h | +3.4 bp net, interval -33.7 to +37.0 | KILL |
| E828 | Leveraged volatility fund rebalancing leaves no next-day reversal vix-futures, etf-rebalancing, leveraged-etp, inverse-etp, natural-experiment, forced-flow | Equities & volatility | Forced flow | 1d | Top 3 days = 371% of profit | KILL |
| E380 | Leveraged-fund rebalancing leaves no detectable trace before the close leveraged-etf, closing-auction, rebalancing-flow, stock-perps, bitcoin, ethereum, intraday-momentum | Equities & volatility | Forced flow | 30m | +1.9 bp gross; control +2.9 bp | KILL |
| E230 | Fading or bidding liquidation cascades earns nothing after costs liquidation-cascade, forced-flow, microstructure, adverse-selection, perpetual-futures, alt-tokens, open-interest | Crypto & DeFi | Forced flow | 15m-4h | +7 to +20 bp gross, -7 to +6 bp net | KILL |
| E224 | On-chain forced selling adds nothing beyond the price drop liquidations, lending-protocol, exploits, depegs, forced-flow, perpetual-futures, matched-controls, event-study | Crypto & DeFi | Forced flow | 1h-24h | -54.3 bp vs matched drops, 4 h | KILL |