spb/wp47_uqo

Mon, Nov 9, 2026 1

1. WP: full pipeline (futures 1m → daily NS factors → quarterly OOS mimicking portfolios → intraday factors, events, periodicity, covariation, HAR), robustness (GSW, CMT≥1y/2y, cash ceiling, SR3, ETF structural cross-check, spanning, noise), figures, tables, manuscript v0.9 (33 p.), docs, design review + response; inclusion rule relaxed to ≥100 min on ≥85% of days (4→5→6 contracts)

   Simon-Pierre Boucher 5 h ago · 1 file +127
   1a9aa31