MERCURY Research Report

Benchmark Highlights

  • Most fragile scenario: flash_crash with fragility 54.7493 and crash count 45.0000.
  • Most stable scenario: minimum_resting_time with fragility 0.6685.
  • Tightest spread: minimum_resting_time at average spread 0.7186.
  • Highest fill rate: spoofing_pressure at 0.8000.
  • Largest cross-asset dislocation: cross_asset_rebalance_spillover with mean absolute pair dislocation 0.8201.
  • Strongest rebalancer outcome: cross_asset_rebalance_spillover with rebalancer net PnL 9549.0000.

Fragility Table

scenario fragility_score_mean flash_crash_count_mean average_spread_mean realized_volatility_mean
flash_crash 54.7493 45.0000 1.0285 0.1478
spoofing_cancel_limit 32.7424 24.0000 1.4503 0.3946
spoofing_pressure 25.3327 17.0000 1.3331 0.4046
panic_liquidation_cascade 23.4669 14.0000 1.0871 0.2558
flash_crash_circuit_breaker 21.0714 9.0000 1.0073 0.1199

Cross-Asset Scenarios

scenario mean_absolute_pair_dislocation_mean pair_spread_std_mean return_correlation_mean cojump_frequency_mean tail_alignment_mean crossed_market_frequency_mean mean_crossed_market_width_mean venue_arb_net_pnl_mean rebalancer_net_pnl_mean
cross_asset_pairs 0.7940 2.1343 -0.0045 0.0000 0.0000 0.4938 35.5710 0.0000 0.0000
cross_asset_rebalance_spillover 0.8201 1.7233 -0.0223 0.0000 0.0000 0.8345 35.6849 0.0000 9549.0000
fragmented_venues_arb 0.5503 0.9809 -0.0067 0.0000 0.0000 0.0966 0.9134 -10.5000 0.0000

Benchmark Figures

benchmark_landscape

fragility_leaderboard

benchmark_fee_economics

Sweep Highlights

  • Sweep name: flash_crash_resilience_grid.
  • Objective metric: fragility_score_mean.
  • Best case: case_00__maker_count_1__breaker_threshold_0p03 at 40.3512.
  • Worst case: case_05__maker_count_2__breaker_threshold_0p07 at 74.7103.
case_id fragility_score_mean param_maker_count param_breaker_threshold
case_00__maker_count_1__breaker_threshold_0p03 40.3512 1 0.0300
case_06__maker_count_3__breaker_threshold_0p03 44.8355 3 0.0300
case_07__maker_count_3__breaker_threshold_0p05 44.8355 3 0.0500
case_03__maker_count_2__breaker_threshold_0p03 49.8584 2 0.0300
case_01__maker_count_1__breaker_threshold_0p05 54.7493 1 0.0500

Sweep Figures

sweep_objective

sweep_tradeoff

sweep_leaderboard

Reproducibility

  • Run python -m mercury.cli.app benchmark --output-dir ... to regenerate benchmark artifacts.
  • Run python -m mercury.cli.app plot-benchmark --summary ... --output-dir ... to regenerate benchmark figures.
  • Run python -m mercury.cli.app report-benchmark --summary ... --output ... to regenerate this report.
  • Run python -m mercury.cli.app sweep --spec ... --output-dir ... and plot-sweep to regenerate sweep artifacts.