发表机构
Columbia University（哥伦比亚大学）
机构由 AI 辅助整理，请以论文原文为准。AI 中文总结
本文提出在KL信息尺度上度量统计证据与剩余机会，以确定交易信号在经济衰减前能否积累足够证据，并揭示套利缩短可认证机会寿命的均衡。
AI 中文摘要
本文研究交易信号在其经济价值衰减之前，是否能积累足够的统计证据以支持可靠部署。我们通过在一个共同的Kullback-Leibler信息尺度上度量统计证据和剩余机会来解决该问题，在典型高斯模型中获得了精确的可行性阈值，并推导了超越该阈值的通用信息下界。我们证明有限的信息预算会产生生存前沿、搜索惩罚以及一个市场均衡，在该均衡中套利活动缩短了可认证机会的寿命；一项回顾性资金费率研究说明了持续性的作用。
英文摘要
Statistical validation takes time, and alpha can decay before the evidence justifies deployment. We quantify the surviving opportunity through Certified Alpha Capacity: the maximum expected value remaining under prescribed false-deployment and power constraints. In a canonical Gaussian experiment, we derive an exact certification frontier and the sharp law $\mathcal K_{α,β}/\log(1/\varepsilon)$ for residual information capacity just above it. Near the frontier, a single interim decision can preserve orders of magnitude more capacity than fixed-time testing. Mapping information into cash reveals why equally certifiable signals can retain different economic values. In the specified competitive equilibrium, lifetime information approaches the certification frontier exponentially as research costs vanish.
Comments39 pages, 4 figures. Software and reproducibility materials: https://doi.org/10.5281/zenodo.23070742
