§ Publications

Research Archive

Technical commentaries, research notes, methodological annotations, and reading notes on public working papers. Materials are interpretive and informational; they are not investment advice.

2026-05-22

ARR-TC-2026-014

Technical Commentary

Rough Volatility, Forward Variance Geometry, and the Non-Markovian Shape of Short-Horizon Risk

We re-examine the geometry of the forward variance curve under rough volatility specifications with Hurst index H well below one half. The persistence of negative skew at short maturities is reconstructed as a consequence of the non-Markovian kernel structure rather than a leverage parameter, with practical consequences for the stability of vanna and the interpretability of short-dated risk-reversals around scheduled event windows.

· rough volatility· forward variance· stochastic volatility· calibrationRead Note →

2026-05-04

ARR-RN-2026-031

Research Note

Liquidity-Adjusted Signal Formation Under Transient Price Impact

This note examines the instability of signal persistence when transient impact kernels are misidentified as durable informational drift. Under a propagator-style decomposition, observed price continuation can be represented as a convolution of latent order-flow pressure, liquidity replenishment, and endogenous narrative reinforcement. The practical implication is not a directional rule, but a constraint on when apparent momentum should be interpreted as structurally supported rather than mechanically exhausted.

· optimal execution· liquidity· transient impact· signal decayRead Note →

2026-04-18

ARR-MA-2026-009

Methodological Annotation

Narrative Dislocation as a Conditional Information Friction

Narrative dislocation is formalised as the conditional divergence between aggregate headline interpretation and reconciled material content of an event. The dislocation is treated as a friction parameter on the path between information arrival and price formation, not as an opinion about price direction.

· event intelligence· market reaction· source interpretationRead Note →

2026-04-02

ARR-TC-2026-007

Technical Commentary

Hawkes-Driven Order Flow and the Fragility of Apparent Momentum

Self-exciting point process models of order arrivals reproduce a substantial fraction of empirically observed short-horizon autocorrelation in signed trades without invoking an informational hypothesis. We interpret this as a structural caution: the cross-section of apparent momentum at sub-hour horizons is partially endogenous to the matching engine and to participation thresholds, not to discovery of news.

· Hawkes processes· market microstructure· order flowRead Note →

2026-03-21

ARR-RD-2026-022

Reading Note

Martingale Optimal Transport and Ambiguity-Constrained Price Bounds

Reading note on robust price bounds derived through martingale optimal transport with marginal constraints from observed vanilla surfaces. We focus on the practical regularity of the dual variables and the role of convex duality in interpreting model-free bounds as worst-case statements rather than predictions.

· martingale transport· model uncertainty· convex dualityRead Note →

2026-03-05

ARR-RN-2026-018

Research Note

Volatility Surface Deformation Around Event Windows

We characterise systematic deformation of equity implied volatility surfaces in the seventy-two hours surrounding scheduled earnings releases. The dominant mode is term-structure inversion accompanied by stable skew, with second-order rotation of the wings consistent with directional risk transfer rather than uniform vol-of-vol expansion.

· options· volatility surface· earnings· event riskRead Note →

2026-02-19

ARR-MA-2026-004

Methodological Annotation

Affine Term Structure Perturbations and Cross-Asset Discounting Regimes

Annotation on the propagation of small perturbations in affine term-structure factors through cross-asset discounting. We isolate the conditions under which a level shift in the short rate maps approximately linearly into equity discount-rate revisions versus the conditions under which the mapping becomes regime-dependent and nonlinear.

· rates· affine models· regime shiftsRead Note →

2026-02-02

ARR-RN-2026-011

Research Note

Source Reconciliation Under Asymmetric Narrative Propagation

We analyse the asymmetric propagation of headline-level narratives across primary, secondary, and tertiary sources. Reconciliation is treated as the construction of a consistency graph over claims, with edge weights determined by publisher reliability, timestamp proximity, and structural independence of derivation.

· source confidence· narrative velocity· information diffusionRead Note →

2026-01-17

ARR-TC-2026-002

Technical Commentary

Nonlinear Factor Compression in Crowded Equity Repricing

Periods of crowded positioning produce nonlinear compression of the realised factor covariance, in which seemingly orthogonal factors co-move under degrossing pressure. We interpret this as a topological collapse of the effective factor manifold and discuss its consequences for risk decomposition during stress windows.

· factor models· crowding· equity repricingRead Note →

2026-01-04

ARR-RN-2026-001

Research Note

Invalidation Geometry in Short-Horizon Discretionary Signal Systems

A directional conclusion that lacks an invalidation surface is not a research output. We formalise the geometry of invalidation as a codimension-one boundary in the joint space of (price, time, evidence) and derive necessary conditions for its construction prior to signal publication.

· signal classification· invalidation· risk asymmetryRead Note →