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Cumulant

Papers

Working papers & reports.

Drafts are released openly so the methods can be inspected before conclusions are drawn. None are peer reviewed; journal status is stated plainly, and results are shown with their caveats.

Submitted to the Journal of Risk and Financial Management · 2026

Separating Backtest Profitability from Entry-Timing Skill

Profitable trading rules can earn returns from market exposure without any timing skill; this test isolates entry-placement ability by holding the trade structure and price path fixed and re-randomizing only when trades are placed on the calendar.

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Bar chart comparing rejection rates of four tests across five synthetic worlds

Submitted · revising for a statistics journal · 2026

Structure-Preserving Randomization Inference for Placement Effects on Exogenous Paths

A randomization test that separates the placement timing of a decision sequence from its structural properties (durations, gaps, magnitudes) and the exogenous path it runs on, giving finite-sample-valid inference without parametric assumptions.

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Power curve rising from nominal size to unit power as injected signal increases

Working paper · 2026

The Window Wedge: SpaceX, Mega-IPOs, and the Difference Between a Hot Listing and a Market Top

A study of whether mega-IPOs like SpaceX signal market peaks, or instead signal pricing risk in the individual securities, using a panel of large listings from 2006 to 2026.

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Log-scale timeline of large IPO proceeds; SpaceX is a huge bubble at top right, far above all prior deals.

Working paper · method article · 2026

Structure-Preserving Randomization for Testing Placement Effects on Exogenous Paths

A reusable, implementation-ready method for testing whether the realized placement of a decision sequence is unusually favorable on a fixed exogenous path, with finite-sample-valid p-values.

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Research note · 2026

Diminishing Marginal Risk Reduction in Diversification

How quickly the risk-reduction benefit of adding another holding flattens out as a portfolio grows.

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Research in progress · 2026

Humanitarian Portfolio Allocation Under Uncertainty

Whether portfolio reasoning can help humanitarian organizations allocate limited resources under uncertainty, and where it breaks down.

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Experimental · 2026

AI-Assisted Research Validation

Testing whether AI agents can reliably check citation validity, code reliability, and sensitivity inside a reproducible research workflow.

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