NEST: Stale-Robust Tokenized-Stock Measurement for a Crypto-Treasury LETF Stack

Abstract

Tokenized equities trade while listed markets are closed, so their marks could improve off-hours measurement along layered exposures that link Bitcoin, crypto-treasury stocks, and leveraged ETFs. A token return and the next opening gap, however, share the price move from the previous close to the token mark, so part of their apparent fit is mechanical. We develop NEST, a stale-robust protocol that separates this shared-history fit from conditional measurement value. A shared-history identity and a variance-clock bound show how much fit timing alone can generate. The partial determination index (PDI), the squared partial correlation between token and gap given public controls, measures what remains, and a finite-sample frontier expresses the partial-F decision in PDI units. Product, provenance, timestamp, and execution audits decide whether an informative mark is admissible. For MSTRx, a tracker certificate on MicroStrategy (MSTR), a token-only $R^2$ of 0.916 shrinks to a modest increment once Bitcoin, mark age, and a pre-09:00 MSTR premarket proxy are controlled: the token explains 15.7% of the remaining gap variation (1% frontier 0.031), and 14.0% to 17.0% under stricter clock variants, including one in which every token mark precedes 09:00. A trade-level reconstruction on Gate gives 25.2%; NVDAX and AAPLX clear their frontiers, whereas TSLAX does not. An admitted mark updates, rather than replaces, BTC-unit exposure diagnostics for the BTC-MSTR-LETF chain.

arXiv comment20 pages, 3 figures, 7 tables. Extended version of a paper accepted for publication in the proceedings of MARBLE 2026 (Lecture Notes in Operations Research, Springer Nature)