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.

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.