3 papers
q-fin.PM2026
Cities of Signals: Compression, Separation, and the Geometry of Novelty
Marc da Costa Nunes
A cross-sectional signal is a forecast vector over assets at each date; demeaned and normalized, it is a point on a sphere. Its city is the direction of its time-averaged vecto…
q-fin.PM2026
Separated Signal Libraries: Packing, Saturation, and Joint Spectral Limits
Marc da Costa Nunes
We study libraries of cross-sectional signals: at each date, a forecast vector over assets intended to predict the next period's cross-sectional return. Demeaned and unit-norma…
q-fin.PM2026
Large Signal Libraries: Equal-Weight Limits and the Divergent Spectra of Signals and PnL
Marc da Costa Nunes
An ensemble of roughly 3,000 signals over 20 assets was reported to have approximately 90% correlation with the leading component of the asset-space return structure. Does having a…