What we have tested, and what came out. Each entry states the question, the method, the result, and what the result does not support.
We publish few of these. An entry goes up when it can survive a technical reader disagreeing with it, which is why every one of them carries its own limits section.
Over 24,772 daily sessions since 1927, the Market Stress Index reads 22.5 points higher during decline phases, on the segment it was never calibrated on.
The standard failure is not poor implementation but the founding assumption. Models built on Gaussian returns treat the events they exist to handle as effectively impossible.
Explore the technology emerging from our work, or start a conversation about where it could be useful.