▌VERTIMAX<GO>
1INSIGHTS 2PLATFORM 3RESEARCH 4COMPLIANCE 5REQUEST ACCESS
FEED:LINK AUTH:OK MODE:READ-ONLY SESSION:ANON 2026-08-31 · 04:12:07 UTC
vertimax@desk:~$ ls -1 ./papers | sort -r // 9 items · full text available to authorized readers
▚Working Papers● 5 ITEMS
DateKindTitleTagsStatus
2026-08-21PaperExecution Timing and the Cost of ImmediacyUrgency is a cost, not a free variable — timing studies belong inside the backtest rather than beside it.
executionimpactschedule
working note · rev 2026-08-21
2026-08-13PaperThe Half-Life of Short-Horizon FactorsDecay dominates the signal as turnover rises; the half-life of a factor is estimated, not assumed.
signaldecayturnover
working note · rev 2026-08-13
2026-08-05PaperSurvivorship Bias in Cross-Sectional BacktestsA universe that excludes delistings silently flatters every long-only factor; membership must be point-in-time.
factoruniversesurvivorship
published · rev 2026-08-05
2026-07-28PaperPoint-in-Time Data and the Revision ProblemRestatements leak the future into the past; the as-of view is the only view that survives audit.
datarevisionas-of
published · rev 2026-07-28
2026-07-16PaperTransaction Costs as a First-Class SignalImplementation shortfall is a signal about capacity and competition, not friction to subtract later.
signalcostcapacity
working note · rev 2026-07-16
▚NotesSHORTER WORKING NOTES
DateKindTitleTags
2026-07-08NoteDrawdown Regimes and Explicit Risk BudgetsA risk budget should respond to the state estimate rather than to the drawdown it is reacting to.
riskregimedrawdown
2026-06-29NoteOn the Fragility of Overfit Sharpe RatiosIn-sample Sharpe is a selection statistic, not a forecast; multiplicity does the rest of the damage.
backtestoverfitsharpe
2026-06-18NoteFactor Crowding and Capacity DecayCrowding is slow-burn capacity decay; proxies for shared positioning precede the reversion.
factorcrowdingcapacity
2026-06-08NoteRegime-Conditional Volatility TargetingTargeting volatility without conditioning on the state estimate is leverage by another name.
riskvolatilityregime
DISCLOSURE. These materials are provided for informational purposes only. They do not constitute investment advice, an offer, or a solicitation. Any references to backtesting, hypothetical results, or strategy characteristics are subject to the limitations described in Compliance — including, without limitation, the effects of survivorship bias, lookahead, and the absence of actual trading. Full papers are made available to authorized readers following review.
vertimax@desk:~$ cat papers/README.txt▮