Routing Frictions and Executable Liquidity in Fragmented Markets

Battle Count: 54

Highly relevant for quantitative traders operating in DeFi/DEX environments. The paper provides a rigorous framework for understanding when fragmented AMM liquidity is economically executable vs. merely visible, directly informing order-routing strategies, venue selection, and execution cost modeling. The extensive vs. intensive margin decomposition is actionable for router design. The Ethereum/Base cost-regime comparison is directly relevant for cross-chain execution strategy. However, the paper is primarily an empirical/econometric study rather than a trading strategy paper, and the findings are specific to Uniswap v3 sibling pools.

Extremely high implementation complexity. Requires: (1) full blockchain event-log parsing and transaction-ordered state reconstruction across 71 pools and 184M+ events; (2) exact execution simulation across initialized ticks with tick-crossing detection; (3) receipt-validated route replay and transfer reconciliation; (4) transaction- and date-specific gas cost schedule estimation; (5) dependence-adjusted bootstrap with family and circular calendar-block resampling (5,000 draws per chain); (6) propensity-overlap weighting for counterfactual comparison; (7) exact K/Q/D Shapley transport accounting with reoptimization. The computational infrastructure for reconstructing 33,551 marker-pool states and simulating exact multi-pool execution is substantial.

Raw blockchain data is publicly accessible via Etherscan/Basescan and public node providers. The processed transaction tape and reconstructed pool-state histories are available from the corresponding author upon reasonable request. The paper specifies frozen parameters, deterministic hash sampling, and exact execution simulation, but does not provide a public code repository. Dependence-adjusted inference designs and route-classification audits are in Online Resource 1. Reproduction requires significant blockchain data engineering (184M+ ordered events, 33K+ marker-pool state reconstructions).