1
Stochastic Calculus for MEV Modeling
Master the mathematical foundations of continuous-time modeling for MEV opportunities using Ito calculus and stochastic differential equations.
📚 Duration: 150 minutes
Key Topics:
- Wiener processes and Brownian motion
- Ito calculus and stochastic integrals
- Geometric Brownian motion for asset prices
- Optimal stopping theory
- Jump-diffusion models for MEV events
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2
Game Theory & Strategic Interactions
Analyze competitive dynamics between MEV searchers and understand validator auction mechanisms using advanced game theory.
📚 Duration: 180 minutes
Key Topics:
- Nash equilibrium in MEV competition
- Auction theory for validator selection
- Cooperative vs. non-cooperative games
- Mechanism design for MEV mitigation
- Multi-agent reinforcement learning
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3
Advanced Time Series Analysis
Implement sophisticated forecasting models using ARIMA, GARCH, and machine learning techniques for MEV opportunity prediction.
📚 Duration: 160 minutes
Key Topics:
- ARIMA and SARIMA models
- GARCH for volatility modeling
- State space models and Kalman filtering
- Machine learning for time series
- Regime-switching models
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4
Statistical Arbitrage Frameworks
Build robust statistical arbitrage strategies using cointegration, mean reversion, and pairs trading methodologies.
📚 Duration: 170 minutes
Key Topics:
- Cointegration and error correction models
- Ornstein-Uhlenbeck processes
- Pairs trading strategies
- Principal component analysis
- Distance-based clustering
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5
Portfolio Optimization Theory
Optimize multi-strategy MEV portfolios using mean-variance optimization, risk parity, and advanced allocation techniques.
📚 Duration: 140 minutes
Key Topics:
- Modern portfolio theory
- Black-Litterman model
- Risk parity approaches
- Maximum diversification
- Dynamic portfolio rebalancing
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6
Risk Attribution & Performance Analysis
Measure and attribute MEV strategy performance using factor models, VaR calculations, and advanced risk metrics.
📚 Duration: 190 minutes
Key Topics:
- Factor models and risk attribution
- Value-at-Risk (VaR) methodologies
- Expected shortfall and tail risk
- Performance attribution frameworks
- Stress testing and scenario analysis
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