Huaiyu Jia, Jieshun You, Jingyu Liu, Yizhi Luo, Shuo Sun
Yield trading has emerged as a pivotal innovation in Decentralized Finance (DeFi) by decoupling principal from yield streams to enhance capital efficiency. Despite its significance, the field lacks fine-grained datasets for systematic empirical analysis. We address this gap by constructing the first large-scale benchmark dataset for Pendle, the pioneering on-chain interest rate derivatives protocol, spanning 24 months across 340 active markets with complete lifecycle observations. Our analysis reveals a structural market transition toward stablecoin-dominated "flight-to-quality" dynamics. To tackle the heavy-tailed nature of yield data, we propose Tail-MSE, an asymmetric loss function that prioritizes tail risk awareness through dynamic penalty weighting. Experiments across six state-of-the-art time series models demonstrate consistent improvements in volatility forecasting robustness, enabling the Tail-MSE Sniper strategy to achieve superior risk-adjusted returns in over half of all markets.
Prediction markets have emerged as an important mechanism for aggregating information and trading beliefs about future events. The transparency of on-chain transactions has enabled investors to identify historically profitable wallets, commonly referred to as smart money, and replicate their trading activities through copy trading. However, despite the growing popularity of smart-money tracking, systematic research on these wallets' trading behavior, profitability persistence, and the economic feasibility of following their trades remains limited. To address this gap, we conduct a comprehensive empirical study of Polymarket, the most popular decentralized prediction market, by reconstructing wallet-level trading activities from on-chain transactions, position changes, market histories, and settlement outcomes. We first examine the distribution and persistence of historical profitability using statistical analysis and logistic regression, and further characterize heterogeneous trading strategies through multidimensional behavioral profiling and unsupervised clustering. Building on these findings, we develop an evidence-grounded multi-agent research framework that integrates wallet behavior, market conditions, and real-world information to generate interpretable and verifiable explanations of individual trades. Finally, we implement a real-time copy-trading system and evaluate its practical feasibility through order-book-aware paper trading and live on-chain execution. Our findings reveal substantial behavioral heterogeneity among historically profitable wallets and highlight the challenges of translating observed trading performance into replicable economic returns.