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README.md

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+---
+license: cc-by-4.0
+language:
+- en
+tags:
+- defi
+- ethereum
+- lending
+- microstructure
+- mcdm
+- event-time
+pretty_name: ICICPE 2026 — Event-Time 6-Way DeFi Lending Panel
+size_categories:
+- 1M<n<10M
+---
+
+# ICICPE 2026 — Event-Time 6-Way DeFi Lending Panel
+
+Per-block (≈12 s grid) panel of USDC supply markets across the six largest
+Ethereum-L1 lending protocols (Aave V3, Compound V3, Spark, Morpho Blue,
+Euler V2, Fluid; ~67 % of ~$54 B TVL), Nov 2024 → Apr 2026.
+
+This dataset is the headline input table for:
+
+> **"Event-Time MCDM Allocation across DeFi Lending Protocols:
+> An HFT-Inspired Methodology with Walk-Forward Validation."**
+> Sergei Solovev, WorldQuant University, 2026 (ICICPE SCOPUS Vol-2).
+
+Paper repository (reproducible end-to-end pipeline, T1/T2/T3 training
+artefacts, walk-forward equity parquets, Institutional Dossier):
+<https://github.com/SergeySolovyev/icicpe-2026-event-time-mcdm-defi>
+
+Production live agent (per-block loop, Flashbots private mempool,
+Tier 5 observability):
+<https://github.com/SergeySolovyev/event-time-mcdm-agent>
+
+## File
+
+`per_block_panel.parquet` (≈72 MB) — one row per Ethereum block, columns:
+
+| Family | Columns | Notes |
+|---|---|---|
+| Index | `block_number`, `timestamp` | Ethereum L1 mainnet |
+| Per-protocol supply APR | `aave_apy`, `compound_apy`, `spark_apy`, `morpho_apy`, `euler_apy`, `fluid_apy` | annualized, decimal |
+| Per-protocol utilization | `aave_util`, `compound_util`, … | 0–1 |
+| Per-protocol TVL | `aave_tvl`, `compound_tvl`, … | USDC, no decimals |
+| F1 lead-rate | `dsr_rate`, `dsr_rate_lag_300`, `dsr_rate_lag_1800` | Maker DSR + lagged |
+| F3 fragmentation | `top_apy`, `top_protocol`, `spread_top_runner_up`, pairwise `spread_{i}_{j}` | computed columns |
+| F4 related | `eth_usd`, `gas_log10`, `usdc_peg_dev` | gas placeholder `25 gwei` const (see Limitations §VII (ii) in paper) |
+
+## Build
+
+The panel is produced by stitching per-event subgraph/RPC fetches onto a
+uniform per-block grid. Source code lives in the paper repo under
+`data/build_per_block_panel.py`. Reproduce with:
+
+```bash
+git clone https://github.com/SergeySolovyev/icicpe-2026-event-time-mcdm-defi
+cd icicpe-2026-event-time-mcdm-defi
+python -m scripts.finalize_6way_pipeline
+```
+
+## Citation
+
+```bibtex
+@misc{solovev2026eventtime,
+  author = {Sergei Solovev},
+  title  = {Event-Time MCDM Allocation across DeFi Lending Protocols},
+  year   = {2026},
+  note   = {ICICPE 2026 SCOPUS Vol-2 submission; per-block panel and
+            walk-forward equity parquets at HuggingFace Datasets
+            \texttt{sssolovjov/icicpe-2026-defi-panel}},
+}
+```
+
+## License
+
+Released under CC-BY-4.0 — free use with attribution.