{
  "title": "When Is a Cross-Venue Funding-Rate Spread Worth Trading? Public-Data Evidence on Forecastability and Cost Coverage",
  "series": "humarb Research 04",
  "authors": [
    {
      "name": "Hang Liu",
      "orcid": "0009-0008-1059-3926",
      "affiliation": "humarb Research, London, United Kingdom"
    }
  ],
  "url": "https://humarb.ai/research/cross-venue-funding-spread/",
  "research_channel": "https://humarb.ai/research/",
  "abstract": "Cross-venue perpetual-futures funding spreads are often presented as arbitrage opportunities, yet a quoted differential is neither a forecast nor net trading income. We study when settled funding differences can cover four-fill execution costs. Public APIs supply 121,864 funding records for eight major contracts on Gate, Hyperliquid, and Pacifica, aligned into 521 eight-hour blocks from May to November 2026; current public books on those venues and Paradex provide a separate cost snapshot. The median absolute spread is 0.45 bp per eight hours and the 99th percentile is 2.99 bp. Out of sample, a capped forecast reduces MAE from 0.430 to 0.399 bp relative to last-value persistence, with significant Diebold–Mariano improvements. This statistical gain does not create economic feasibility: no candidate generates a 24-hour entry at a 34 bp hurdle, while sparse 72-hour entries at 20 bp lose money in the funding-cash proxy. Probability forecasts underperform a training-frequency baseline. The evidence supports a break-even discipline rather than a claim of persistent arbitrage.",
  "keywords": [
    "perpetual futures",
    "funding-rate spreads",
    "transaction costs",
    "forecast evaluation",
    "crypto market microstructure"
  ],
  "jel": [
    "G12",
    "G13",
    "G14",
    "C58"
  ],
  "language": "en",
  "resource_type": "Preprint",
  "publication_date": "2026-11-03",
  "version": "v1",
  "status": "Empirical preprint; not peer reviewed",
  "license": "CC-BY-4.0",
  "doi": "10.5281/zenodo.23917371",
  "concept_doi": "",
  "version_doi": "",
  "zenodo_record": "",
  "cites": [
    "10.5281/zenodo.23868361",
    "10.5281/zenodo.23897013"
  ],
  "evidence_class": "Fixed-notional funding-cash proxy; not complete trading P&L",
  "historical_sample": {
    "start_utc": "2026-05-11T16:00:00+00:00",
    "end_utc": "2026-11-03T08:00:00+00:00",
    "assets": [
      "BTC",
      "ETH",
      "SOL",
      "XRP",
      "DOGE",
      "ADA",
      "LINK",
      "AVAX"
    ],
    "venues": [
      "Gate",
      "Hyperliquid",
      "Pacifica"
    ]
  },
  "investment_advice": false,
  "versionDoi": "10.5281/zenodo.23917372",
  "zenodoRecord": "https://zenodo.org/records/23917372"
}