Shihao Yu

Assistant Professor of Finance@Singapore Management U. Research in trading ∩ technology.

[danning @sui414]

Super excited to release the study with @0xallyzach on the microstructure of Short-term Crypto Markets, where we cover an overview on the growth momentum & economics on both @Kalshi and @Polymarket, plus a deep dive into Polymarket’s user segments and 🕵🏻‍♂️ potential market manipulation:

This is a "MEV" strategy that no one has called out lout til now (which allegedly long-existed in option trading) —

Some traders appear to have figured out how to influence the closing price of Polymarket’s 5-minute BTC Up/Down markets while betting and profiting. 👇🧵

[Shihao Yu @ShihaoY]

Excited to share a new paper with David Dai and @RuizheJia on prediction markets! Ruizhe wrote a great summary — see below👇

[Ruizhe Jia @RuizheJia]

Binance is arguably the world's largest crypto exchange.

Feb 2026: Polymarket lists a small 5-minute Bitcoin contract. Since then, Binance order flow spikes in the final seconds before settlement; prices revert soon after.

New paper with David Dai and Shihao Yu ( @ShihaoY ): Settlement Manipulation in Prediction Markets (https://t.co/L4fFsnXLhW)🧵

The finding, up front:

Traders push Bitcoin's price in the final seconds to decide the contract. That push makes the price less informative, yet Bitcoin's market more liquid. Market makers are largely insulated; ordinary traders lose $7.6M in two months.

[Ethereum Singapore @ethereum_sg]

🧵Introducing the Ethereum Research Forum during @ethereum_sg, curated by @ethereumfndn Academic Secretariat.

Let's welcome our stellar lineup of speakers from industry & academia

[Shihao Yu @ShihaoY]

@albertjmenkveld @SammyObeid Haha, the production has much upgraded from Non-Standard Errors I!

[Shihao Yu @ShihaoY]

Great program!

[Christian Westheide @c_westheide]

We have a great program again at the 7th @SAFE_Frankfurt Market Microstructure Conference (Sep 25, Frankfurt). See the program and register at
https://t.co/ilaTbeI0oA

[Shihao Yu @ShihaoY]

@ankitchiplunkar @nickprince Interesting tweet, Ankit! What about on-chain price discovery through mempool, either by builders' bid updates in the private mempools (as you show in the graph) or by public orders added/updated in the public mempool? Then we are not constrained by the settlement speed.

[European Finance Association @EFA_org]

Join us for the semi-centennial edition of the EFA Annual Meeting on 16-19 August 2023 at the @VUamsterdam. Register now through this link. https://t.co/bISsZKF8hU

[Shihao Yu @ShihaoY]

@albertjmenkveld Congrats, Albert! 🥳

[Björn Hagströmer 🇺🇦 🇸🇪 @bjornhagstromer]

I have written a literature review about market fragmentation, with special focus on European equity markets. Below an example of how fragmented the markets have become. All comments welcome!

[Tinbergen Institute @ResearchTI]

Tinbergen Institute team has been selected for a contract award in the Alberto Giovannini Programme for #DataScience by the @ESRBofficial, together with the
@ecb.

@albertjmenkveld @ShihaoY

#tinbergeninstitute
https://t.co/tLRn9Kd39a

[Shihao Yu @ShihaoY]

@peteroneill Big congrats, Peter!🥳

[Shihao Yu @ShihaoY]

@mariuszoican Gefeliciteerd!

[Shihao Yu @ShihaoY]

@mechmarkets @matt_levine @Trent_mcbride Great point. My guess is that a much larger fraction of flow will now be routed to execution services as apparently no market makers like one-sided flow.

[Shihao Yu @ShihaoY]

Good read on the GME story.

[Matt Levine @matt_levine]

Hopefully I can put out this newsletter to add some sanity, and most of all, some kindness back in this market. https://t.co/u2FETGo7eX

[Shihao Yu @ShihaoY]

@matt_levine @Trent_mcbride I guess it is not surprising to see a balanced retail flow at Citadel: it is exactly what a market-maker should do. But it does not imply retail flows at Robinhood is balanced as a significant share of it is also routed to execution services and can be quite one-sided.

[Shihao Yu @ShihaoY]

@albertjmenkveld Gefeliciteerd!🥳

[Björn Hagströmer 🇺🇦 🇸🇪 @bjornhagstromer]

Summer School in Market Microstructure – join us in Stockholm (or online) on June 7-11. Registration now open at https://t.co/ZpEdiB96B3

[Xuan Wang @XuanWang_Oxford]

#Econjobmarket We are hiring here @Finance_VU ! I joined this warm and friendly department this September and very much encourage job market candidates to apply and join this stimulating group! #EconTwitter

[Jessie @jesseeeeuh]

@Dawid_Walentek @NPORadio1 Wauw.

Ja je bent blank hè, dan mag het.

Ik zou dit naar @geenstijl sturen of op een andere manier proberen aan de grote klok te hangen.

[Alexander Osipovich @aosipovich]

SCOOP: Citadel Securities set to expand NYSE DMM business by buying DMM unit of @IMCTrading https://t.co/1BFI1ZxEJ9