Research

Reflexivity Kernel Spectroscopy

SSRN Abstract ID 6450561

Operator-first system-identification framework for measuring the market's multiscale flow-to-price transfer operator and its fragility spectrum.

Abstract. Introduces RKS as a constrained estimator of the reflexivity kernel, decomposing realized covariance into endogenous flow-driven risk and exogenous innovation residuals. The paper reports admissibility-certified calibration evidence, 76-83% out-of-sample R-squared, and 75-82% reflexivity share while surfacing failure artifacts instead of silent fallback.

Constraint Shadow-Price Tomography

SSRN Abstract ID 6457180

Deterministic market-metrology system for reconstructing latent intermediation constraints from cross-market law-of-one-price wedges.

Abstract. CSPT inverts persistent CIP, Treasury basis, and swap-spread wedges into a time-versioned Market Dual State that measures the implied shadow prices of binding balance-sheet, funding, and margin constraints. The March 2020 study recovers a peak balance-sheet coordinate of 152.91, quarter-end identification at p = 0.000777, and held-out swap-spread pricing error as low as 3.10 bp.

Epistemic Curvature

SSRN Abstract ID 6523041

Information-geometric market metrology system computing Fisher-Rao manifold curvature to reveal which directions of market belief are fragile before volatility breaks.

Abstract. EC measures the Riemannian curvature of the Fisher-Rao manifold of market-implied probability distributions, extracting an Epistemic Curvature Spectrum of fragile and robust belief directions. The April 2026 paper reports 62/62 unit tests, 5/5 falsification tests, option-implied manifold construction, and predictive evidence that curvature leads VIX and return-implied curvature across regimes.

Admissible World Deformation Field

SSRN Abstract ID 6524938

Cross-market admissibility engine measuring how far the live market-implied world sits from the nearest jointly consistent world under a structured financial constraint library.

Abstract. AWDF solves a constrained quadratic program to compute the minimum deformation from observed cross-asset states into the nearest admissible world, separating hard structural contradictions from softer plausibility pressure through KKT dual tension. The April 2026 paper reports a full falsification pass rate, reproducibility of 1.0, stability of 0.963 under perturbation, and live-public identification of the binding fracture stack behind structural inconsistency.

Irreversibility Field Anatomy

SSRN Abstract ID 6606258

Stochastic-thermodynamic market framework measuring probability currents, entropy production, and strategy capacity limits from return covariance alone.

Abstract. IFA models equity markets as non-equilibrium systems, constructing probability current fields, entropy production rates, and a Hatano-Sasa housekeeping/excess decomposition to classify crisis mechanics. The paper reports 104/104 pre-registered falsification tests, separates friction-dominated from information-dominated crises, and derives a Thermodynamic Uncertainty Relation ceiling for linear strategy Sharpe capacity.

Gyral Covariance Decomposition

SSRN Abstract ID 6597020

Non-equilibrium covariance decomposition that isolates circulatory cross-asset covariance from symmetric equilibrium covariance in large equity universes.

Abstract. GCD decomposes the drift matrix of a multivariate Ornstein-Uhlenbeck process into symmetric gradient drift and antisymmetric circulatory drift, yielding a closed-form circulatory covariance perturbation. Across five equity universes, the paper finds persistent 45-55% circulatory covariance shares, decisive permutation evidence, VIX stress-peak detection, and a significant Russell 1000 anti-premium on circulatory beta.

Executable World Resolution

SSRN Abstract ID 6639600

Capital-indexed thesis governance system measuring whether today's instrument menu can distinguish future worlds under real trading constraints.

Abstract. EWR defines a capital separation function, resolution tensor, and executable partition that measure the deployable cost of distinguishing future worlds under liquidity, margin, financing, and concentration constraints. The paper converts pre-forecast research into ACCEPT, REROUTE, KILL, and UNIDENTIFIED governance decisions, defeating classical span diagnostics in matched stress-regime studies.

Climate Alpha Working Paper

A practical blueprint converting physical climate risk into portfolio signals, constraints, and risk limits with governance-ready traceability.

Abstract. Frames physical climate risk as an upstream state variable for portfolio construction and strategy workflows, translating scenario evidence into decision-grade mitigation and allocation outputs.