17 papers
Robustness or Crowding: Experimental Design for Trading Strategy Capacity
Alejandro Rodriguez Dominguez, Miquel Noguer i Alonso
How much capital a trading strategy can absorb before its edge disappears is a causal question about how much is deployed, but it is answered with observational proxies that rest o…
The Mathematics of Volatility Surfaces
Miquel Noguer i Alonso
This paper develops a unified mathematical theory of implied, local, and learned volatility surfaces. Total variance is an infinite-dimensional state constra…
Path Portfolio Optimization: Defect, Lift, and the Price of Path Complexity
Miquel Noguer i Alonso
This paper builds Path Portfolio Optimization: portfolio theory on a path-first framework in which the signature is the universal coordinate of the price path, and asks whether it…
Financial Epiplexity: A Theory of Learnable Market Structure under Bounded Computation
Miquel Noguer i Alonso
Financial markets are hard to predict, not because price moves are purely random, but because structure is strategic, capacity-constrained, and computationally difficult. Classical…
Tail Risk Management with Puts and Trend Following: A CVaR Framework for Crashes and Drawdowns
Miquel Noguer I Alonso, Ali Al Fallouji
Tail-risk management is not only an instrument-selection problem. It is an allocation problem across loss mechanisms: abrupt crash states, volatility repricing, and persistent draw…
A General Theory of Paths: Signatures, Jump Lifts, and Expected Signatures of Self-Exciting Processes
Miquel Noguer i Alonso
This paper develops a path-first theory using the signature as a universal coordinate for deterministic paths, rough paths, jump streams, and path-valued random variables. Geometri…