Pith Number

pith:KKPZPJQZ

pith:2026:KKPZPJQZGXIK6ZBSNFZKNU4VZM

not attested not anchored not stored refs pending

Taming the Black Swan: A Momentum-Gated Hierarchical Optimisation Framework for Asymmetric Alpha Generation

Arya Chakraborty, Randhir Singh

A momentum-gated optimization framework generates asymmetric alpha by matching high-growth index returns with reduced downside volatility.

arxiv:2604.09060 v2 · 2026-04-10 · cs.CE · cs.IR

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\usepackage{pith}
\pithnumber{KKPZPJQZGXIK6ZBSNFZKNU4VZM}

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Record completeness

1 Bitcoin timestamp

2 Internet Archive

3 Author claim open · sign in to claim

4 Citations open

5 Replications open

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The bundle contains the canonical record plus signed events. A mirror can host it anywhere and recompute the same current state with the deterministic merge algorithm.

Claims

C1strongest claim

Empirical validation via a comprehensive 20-year walk-forward backtest (2006-2025) confirms that the framework produces substantial excess alpha relative to the standard S&P 500 benchmark. Notably, the strategy successfully matched the capital appreciation of the high-beta NASDAQ-100 index while achieving significantly reduced downside volatility and improved structural resilience.

C2weakest assumption

That the walk-forward backtest results, including outperformance during stress events like 2008, will generalize to future unseen market regimes without overfitting from the SLSQP optimization or post-hoc parameter choices.

C3one line summary

AEGIS framework combines momentum gating and diversification optimization to deliver asymmetric alpha, matching NASDAQ-100 upside with lower volatility than S&P 500 in 20-year backtests.

Receipt and verification

First computed	2026-05-20T00:04:31.091848Z
Builder	pith-number-builder-2026-05-17-v1
Signature	Pith Ed25519 (`pith-v1-2026-05`) · public key
Schema	pith-number/v1.0

Canonical hash

529f97a61935d0af64326972a6d395cb34f6cfa2dffa23200b244c6862a01a0b

Aliases

arxiv: 2604.09060 · arxiv_version: 2604.09060v2 · doi: 10.48550/arxiv.2604.09060 · pith_short_12: KKPZPJQZGXIK · pith_short_16: KKPZPJQZGXIK6ZBS · pith_short_8: KKPZPJQZ

Agent API

Resolver JSON Graph JSON Events JSON Schema Signing key

Verify this Pith Number yourself

curl -sH 'Accept: application/ld+json' https://pith.science/pith/KKPZPJQZGXIK6ZBSNFZKNU4VZM \
  | jq -c '.canonical_record' \
  | python3 -c "import sys,json,hashlib; b=json.dumps(json.loads(sys.stdin.read()), sort_keys=True, separators=(',',':'), ensure_ascii=False).encode(); print(hashlib.sha256(b).hexdigest())"
# expect: 529f97a61935d0af64326972a6d395cb34f6cfa2dffa23200b244c6862a01a0b

Canonical record JSON

{
  "metadata": {
    "abstract_canon_sha256": "9aa79c1ba780d83de0080b6179d6a66b0fa8770b0877b833b67f8b1871147b97",
    "cross_cats_sorted": [
      "cs.IR"
    ],
    "license": "http://creativecommons.org/licenses/by/4.0/",
    "primary_cat": "cs.CE",
    "submitted_at": "2026-04-10T07:39:27Z",
    "title_canon_sha256": "1f7a2aaf570cd07e68355322fc60b0f01ecd6f4ff958cd220a89feb5bc8e317b"
  },
  "schema_version": "1.0",
  "source": {
    "id": "2604.09060",
    "kind": "arxiv",
    "version": 2
  }
}