The Axiomatic Trader: Latent Regularity, Information Budgets, and the Canonical Form of a Quantitative Investment System

Abstract:Systematic trading rests on one article of faith: that regularities found in the past persist. We state it as a time-invariant mechanism driven by an unobserved latent state, and show that it leaves a researcher five constants to declare --- the recurrence bound $Lambda$ at a block length $b$, the invariance defect $epsilon_0$ of the representation it is declared of, the coherence times $ell_i$ of the state's coordinates, the signal ceiling $rho$ and the fraction $kappa$ of it contingent on the regime --- after which the architecture of a correct quantitative investment system is nearly forced.

Machine Learning (cs.LG); Portfolio Management (q-fin.PM)

arXiv:2608.23416 [cs.LG]

(or arXiv:2608.23416v1 [cs.LG] for this version)

https://doi.org/10.48550/arXiv.2608.23416 Focus to learn more arXiv-issued DOI via DataCite (pending registration)

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