Institutional Crypto Markets: Liquidity and Mechanism Design
This practitioner-led course teaches graduate students how institutional trading firms structure, price, and deliver liquidity solutions for digital asset protocols and trading venues. Delivered in an intensive five-week format, it builds the quantitative toolkit progressively (deal evaluation, the mechanics of perpetual futures and the oracles that mark them, options-based token-loan valuation, and liquidity commitment pricing) before integrating it in a venue-mechanics and real-world-asset (RWA) market-making module that culminates in a capstone design project.
Students will learn to evaluate deal economics using trading-desk metrics and capital structure analysis; understand perpetual futures from the contract up, including margin, index/mark/last price construction, funding as the convergence mechanism, and oracle design and manipulation economics; value token-based compensation as embedded options, including forward-start tranches, and understand how market makers hedge the resulting book on perpetual venues; calibrate liquidity commitments to empirical market data and compute the capital at risk they imply; analyze mechanism-design risk across protocol and venue architectures (redemption windows, bridge failures, oracle manipulation, validator concentration); and design market-making programs for tokenized equities, treasuries, and commodities. Case studies progress from structured computation to open-ended analysis and integrated proposal design.
The central insight of the course is that institutional market making is increasingly a structured products business: trading firms deploy quantitative infrastructure not just to capture spread, but to fulfill contracted service obligations where the revenue is deterministic. The quantitative challenge is pricing these commitments correctly: knowing your cost of capital, modeling the embedded optionality in token compensation, understanding the perpetual-futures infrastructure used to hedge and mark these markets, and structuring service terms that are simultaneously attractive to counterparties and deliverable by a trading desk. The course teaches students to think with a quantitative and trader mindset. Deal structuring involves ambiguity, competing incentives, and imperfect information, and the goal is a reasoning framework that produces defensible, well-justified proposals rather than formulaic outputs.
In-Person Program
Quarter: Autumn
Instructor: Chris Newhouse
Concentration: Rates and Credit
Online Program
Quarter: Summer 2026
Instructor: Chris Newhouse
Syllabus