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# docs/novelty_matrix.md — what exists, what RAID adds, what is not new (Phase 0, 2026-11-02)

Legend — E engineering novelty (new implementation strategy, measured), M methodological novelty (new estimator or inference result), = equivalent to existing software (RAID must match it), × not offered. Claims marked E are only valid once the corresponding experiment (E1–E7) produces the number; nothing in this table is a result.

Capability R highfrequency 1.0.3 R rugarch 1.5.6 Python arch 8.0 statsmodels 0.15 Polars / DuckDB RAID (planned) Novelty class
RV, BPV, semivariance, quarticity, rCov from bars yes (rCov, rBPCov, rSVar, rQuar) × × × by hand (SQL/expr) CPU FP64 + Metal FP32 batched over thousands of series E (batched GPU, fused rolling) ; = definitions
Calendar-aware aggregation, early closes, DST, 16:00 print partial (aggregateTS, user calendars) × × × manual explicit MarketCalendar from XNYS rules, FinData sessions as truth E (correctness tooling), not M
HAR-RV / log-HAR / HAR-X / HARQ HARmodel (HAR-RV, HARQ, HAR-J/CJ) × OLS by hand OLS + HAC × batched rolling HAR with HAC/HC inference, GPU sufficient statistics E (batched, GPU), = definitions (Corsi 2009; Bollerslev–Patton–Quaedvlieg 2016)
OLS/WLS/ridge, HC0–3, HAC (Newey–West), cluster-robust × × OLS + HAC in arch.unitroot/covariance yes × QR/SVD CPU reference; GPU batched X'X/X'y accumulation = inference; E batched accumulation
GARCH(1,1), GJR, EGARCH, Gaussian / Student-t × yes (ugarchfit) yes (arch_model) × × CPU reference optimizer; GPU batched likelihood evaluation across series / parameter proposals E (batched likelihood on Metal), = models
Realized GARCH, HEAVY, DCC, GARCH-MIDAS HEAVY (HEAVYmodel) realized GARCH, rmgarch DCC HEAVY ×, DCC × × × Tier B after Tier A = (if done)
Diebold–Yilmaz connectedness, generalized FEVD × × × VAR + FEVD (orthogonalized; generalized by hand) × Tier B batched rolling VAR + GFEVD E (rolling batched), = method (WP 6 precedent)
Stationary / circular block bootstrap × × yes (arch.bootstrap) × × GPU replica generation + batched statistic evaluation E
Pre-averaging, realized kernels, multi-scale RV yes (rKernelCov, rAVGCov, rTSCov) × × × × Tier C, only if validated against highfrequency; 1-min bars limit their relevance = at best
Arrow/Parquet → estimator zero-copy × (xts) × × (pandas) × native columnar Arrow C++ views over FinData exports feeding CPU/GPU without copies where layout allows E (measured copies / RSS, E6)
Python bindings with GIL release, Arrow/NumPy interop — — — — — nanobind engineering, standard practice
Device discovery, CPU fallback, precision policy, provenance in every estimate — — — — — yes E (reproducibility tooling)

# What the paper can legitimately claim (if the experiments support it)

  1. A measured break-even analysis Metal vs multicore CPU for realized measures, rolling regressions, batched GARCH likelihoods and bootstrap replicas on Apple Silicon, including shader compilation, synchronization and transfer, with explicit CPU-wins regions (RQ1).
  2. Evidence that batching across series preserves estimator accuracy and inference (coverage, convergence rates identical to the FP64 reference within tolerance) while raising throughput (RQ2).
  3. Evidence on copies, peak RSS and end-to-end latency of an Arrow/Parquet-to-estimator pipeline vs pandas/Polars/DuckDB baselines (RQ3).
  4. A validated, open C++20 library whose Tier A estimators reproduce highfrequency / rugarch / arch / statsmodels to documented tolerances (reference tables in the appendix).

# What the paper must not claim

  • New econometric estimators or new asymptotic results (none planned; M = none).
  • Microstructure-noise robustness from 1-minute OHLCV bars (no trades/quotes; realized kernels/pre-averaging on 1-min bars are a sampling-frequency exercise, not noise correction at tick level).
  • Order-flow or order-book content (not inferable from bars).
  • Energy savings unless powermetrics (root) or an external meter is actually used; powermetrics requires sudo and is optional in E7 (documented as "measured" only when run).
  • GPU "speedups" without the equivalent CPU multicore implementation and the same convergence tolerance.

# Prior work positioning (verified DOIs in docs/literature/crossref_resolved.json)

Realized measures: Andersen, Bollerslev, Diebold & Labys (2003, Econometrica); Barndorff-Nielsen & Shephard (2004, 2006, JFEC); Barndorff-Nielsen, Kinnebrock & Shephard (2010, OUP volume); Andersen, Bollerslev & Diebold (2007, REStat); Huang & Tauchen (2005, JFEC); Liu, Patton & Sheppard (2015, J. Econometrics). Noise-robust: Zhang, Mykland & Aït-Sahalia (2005, JASA); Barndorff-Nielsen, Hansen, Lunde & Shephard (2008, Econometrica); Jacod et al. (2009, SPA). HAR: Corsi (2009, JFEC); Bollerslev, Patton & Quaedvlieg (2016, J. Econometrics); Patton & Sheppard (2015, REStat). GARCH: Engle (1982); Bollerslev (1986); Nelson (1991); Glosten, Jagannathan & Runkle (1993); Bollerslev & Wooldridge (1992, Econometric Reviews); Fiorentini, Calzolari & Panattoni (1996, JAE, analytic derivatives); Hansen & Lunde (2005, JAE); Hansen, Huang & Shek (2012, JAE, Realized GARCH); Noureldin, Shephard & Sheppard (2012, JAE, HEAVY); Engle (2002, JBES, DCC); Engle, Ghysels & Sohn (2013, REStat, GARCH-MIDAS). Inference: White (1980); Newey & West (1987); Cameron, Gelbach & Miller (2011, JBES); Politis & Romano (1994, JASA); Diebold & Mariano (1995/2002, JBES); Hansen, Lunde & Nason (2003 OBES; 2011 Econometrica MCS — the 2011 DOI is still to be resolved); Patton (2011, J. Econometrics). Connectedness: Diebold & Yilmaz (2012, IJF; 2014, J. Econometrics); Pesaran & Shin (1998, Econ. Letters). Software: Boudt, Kleen & Sjørup (2022, JSS); Ghalanos (rugarch, CRAN). Computing: Aldrich, Fernández-Villaverde, Gallant & Rubio-Ramírez (2011, JEDC, GPU in economics); Kahan (1965, CACM); Blackford et al. (2002, ACM TOMS, BLAS). Systems references still to add with verified sources: Apache Arrow/Parquet documentation, Apple Metal documentation, nanobind, Eigen.

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