Paper: arXiv 2610.21491

Authors: Doohwi Cha, Minsuk Sung, Minjae Lee, Hyeonjun Yeo, Hanhee Kim, Seunghan Son, Donghwa Seo, Juyeong Lee

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.

Complexity vs Empirical Score

  • Math Complexity: 7.5/10
  • Empirical Rigor: 8.0/10
  • Quadrant: Holy Grail — high math complexity, high empirical rigor

Why this score: This paper presents a highly novel and rigorous approach to measuring information in tokenized assets. The mathematical framework for stale-robustness and partial determination is sophisticated, and the empirical application to real-world tokenized stocks demonstrates strong rigor. The overall contribution is significant for understanding asynchronous markets.

Research Flowchart

  flowchart TD
    A[Research Goal: Assess Tokenized-Stock Measurement Value for Crypto-Treasury LETF Stack] --> B(Problem: Off-hours token marks vs. next opening gap share price moves)
    B --> C{Methodology: NEST Stale-Robust Protocol}
    C --> D[Key Steps: Shared-history identity & variance-clock bound; Partial Determination Index (PDI); Audits]
    D --> E[Data/Inputs: Tokenized equity returns (MSTRx, NVDAX, AAPLX, TSLAX), next opening gap, Bitcoin (BTC) price, mark age, pre-09:00 premarket proxy]
    E --> F[Computational Processes: Calculate shared-history fit; Calculate PDI (squared partial correlation); Finite-sample frontier analysis; Trade-level reconstruction (Gate)]
    F --> G[Key Outcomes: Token-only R^2 (0.916 for MSTRx) shrinks significantly after controls. MSTRx PDI: 15.7% (1% frontier 0.031). NVDAX, AAPLX clear frontiers; TSLAX does not. Admitted mark updates BTC-unit exposure diagnostics.]