IAQF 2026 — Analysis Repository

This repository contains the data and code supporting our IAQF 2026 paper on stablecoin market structure. The paper is organized into four main sections; the folders below map directly to those sections.

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Paper Structure & Folder Map

Paper Section	Folder	Description
2. Cross-Currency Basis	cross_currency_basis/	Computes and analyzes the cross-currency basis
3. Stablecoin Dynamics	stablecoin_dynamics/	Core stablecoin basis analysis (also supplies data for Section 2)
4. Liquidity and Fragmentation	liquidity/	Exchange-level liquidity and market fragmentation

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Repository Structure

iaqf_analysis/
├── data/
│   ├── binance.us/raw/       # Binance.US 1-min spot OHLCV data
│   └── kraken/raw/           # Kraken 1-min spot OHLCV data
├── scripts/
│   └── download_binance_pairs.py
├── stablecoin_dynamics/
│   └── code/
│       ├── binance.us_code.ipynb
│       ├── kraken_code.ipynb
│       └── comparison_analysis_code.ipynb
├── cross_currency_basis/     # Section 2 code
└── liquidity/                # Section 4 code

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Data (data/)

Raw 1-minute spot OHLCV data for three BTC trading pairs across two exchanges, covering the Silicon Valley Bank / USDC depeg stress period.

Binance.US (data/binance.us/raw/)

File	Pair	Date Range (UTC)
btcusdt_1m_20230301_20230321.csv	BTC/USDT	2023-03-01 to 2023-03-21
btcusdc_1m_20230301_20230321.csv	BTC/USDC	2023-03-01 to 2023-03-21
btcusd_1m_20230301_20230321.csv	BTC/USD	2023-03-01 to 2023-03-21
metadata_range_1m_20230301_20230321.csv	—	Dataset metadata (pairs, interval, exchange)

Columns: open_time, open, high, low, close, volume

Kraken (data/kraken/raw/)

File	Pair	Date Range (UTC)
btcusdt_1m_20230301_20230321.csv	BTC/USDT	2023-01-01 to 2023-03-31
btcusdc_1m_20230301_20230321.csv	BTC/USDC	2023-01-01 to 2023-03-31
btcusd_1m_20230301_20230321.csv	BTC/USD	2023-01-01 to 2023-03-31

Kraken files have no header row. Columns (by position): timestamp, open, high, low, close, volume, count

Note: Raw data files should not be modified directly.

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Scripts (scripts/)

download_binance_pairs.py

Downloads 1-minute kline data from the Binance.US REST API for BTC/USDT, BTC/USDC, and BTC/USD. Handles rate limiting (HTTP 429) and server errors with exponential backoff. Saves one CSV per pair plus a metadata file to data/binance.us/raw/.

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Section 2 — Cross-Currency Basis (cross_currency_basis/)

Code for the Cross-Currency Basis section of the paper. Uses the same 1-minute spot price data from data/ (also used by Section 3) to construct and analyze the cross-currency basis between stablecoin and fiat BTC markets.

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Section 3 — Stablecoin Dynamics (stablecoin_dynamics/)

Code and figures for the Stablecoin Dynamics section. The data in data/ was collected for this section and is shared with Section 2.

stablecoin_dynamics/code/binance.us_code.ipynb

Processes and analyzes Binance.US data. Runs the full stablecoin basis pipeline for the Binance exchange:

• Data cleaning — timestamp parsing, deduplication, alignment of BTC/USDT, BTC/USDC, BTC/USD into a balanced panel
• 1.1 Stablecoin basis — computes USDT and USDC basis relative to USD benchmark
• 1.2 Cross-stablecoin spread — USDT-minus-USDC spread isolating relative confidence between the two stablecoins
• 1.3 Absolute deviation magnitude — MAD and tail percentiles (95th, 99th) in basis points
• 2.1 Rolling volatility — rolling standard deviation of basis at 1h, 6h, and 1d windows
• 2.2 Mean reversion speed — AR(1) half-life estimation; measures how quickly basis deviations correct
• 2.3 Stress persistence — fraction of time above 20 bps threshold and excursion duration statistics
• 3.1 Calm vs stress regimes — conditional basis statistics split by BTC realized volatility and max drawdown
• 3.2 Asymmetry — discount vs premium magnitude and frequency

stablecoin_dynamics/code/kraken_code.ipynb

Same pipeline as binance.us_code.ipynb applied to Kraken data. Covers the identical sequence of analyses (Sections 1.1–3.2) for the Kraken exchange, enabling direct comparison of results.

stablecoin_dynamics/code/comparison_analysis_code.ipynb

Cross-exchange comparison notebook. Imports outputs from both binance.us_code.ipynb and kraken_code.ipynb and runs:

• 4.1 Cross-exchange basis gap — Δ_s(t) = Basis_{s,Binance}(t) − Basis_{s,Kraken}(t) for USDT and USDC; summary statistics (mean, std, p95, p99, max in bps); time-series plot saved as fig_gap_timeseries.png
• 4.2 Lead–lag analysis — cross-correlation at lags −60 to +60 minutes to determine which exchange prices stablecoin risk first; plot saved as fig_leadlag_crosscorr.png
• 5.1 Stability ranking — ranks all four market/exchange combinations (USDT-Binance, USDC-Binance, USDT-Kraken, USDC-Kraken) by worst 1% absolute deviation
• 5.2 Recovery time — average, median, and 95th percentile of excursion durations above 5 bps per market

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Section 4 — Liquidity and Fragmentation (liquidity/)

Code for the Liquidity and Fragmentation section of the paper. Analyzes exchange-level liquidity conditions and market fragmentation across stablecoin trading pairs.

Note: The data used for this section is not included in this repository because the file sizes are too large to push to GitHub.