Papers on SSRNPapers on SSRN

Our working papers on SSRN, the open library of research papers. Each one fixes its universe and method before the walk begins, sees only what was knowable on each date, and puts every attempt on the record. A card opens the paper on SSRN. All of them sit on the author's SSRN page.

8 papers

October 2026 Ornstein-Uhlenbeck Mean Reversion Process Applied on S&P 500 Point-in-Time Constituents over 20 Years: Short Half-Life Against Trending Assets One long-only Ornstein-Uhlenbeck z-score rule, with fixed settings, traded on the five S&P 500 stocks with the shortest half-life of mean reversion and on five trending stocks, re-selected every six months from 2006 to 2025 and compared with SPY as run and at equal volatility.

October 2026 The Calm Before More Calm? Daily Bollinger and TTM Squeezes, Volatility Clustering and the Leverage Effect in S&P 500 Stocks, 2006 to 2025 A sequentially registered event study of 36 squeeze definitions on point-in-time S&P 500 members, measured against every member-day, against days equally calm, and against any day with the same direction of the price.

October 2026 Drawdown Protection in Slow Bear Markets and Fast Crashes: Volatility Targeting and the 200-Day Moving Average, 2000 to 2025 A registered walk-forward comparison on SPY and thirteen exchange-traded funds, measuring each large drawdown by its depth, its time to recovery and the growth given up for the protection.

October 2026 Greedy When Others Are Fearful: Testing Buffett's Rule With a Rebuilt Fear & Greed Index, 2009 to 2026 We rebuilt CNN's Fear & Greed Index back to 2007 and tested Buffett's best-known advice on it from 2009 to 2026.

September 2026 A Stochastic Model Against a Geometric Rule: The Kalman Filter and the 200-Day Moving Average A registered walk-forward comparison at a matched horizon: SPY from 2000 to 2025 and thirteen more exchange-traded funds.

September 2026 Thirty Years of the Tech Industry, from Dot-Com to ChatGPT: Its Strong Stories and Their Relation to Capital Expenditure Every few years the technology industry tells itself a story strong enough to move hundreds of billions of dollars. We read thirty years of the companies' own annual reports to see what each story did to their spending, their revenue and their prices.

September 2026 Post-Earnings Drift in the Point-In-Time S&P 500 Eleven sector portfolios at five holding periods under two entry rules, nine earnings cohorts at four holding periods with nine hedged cells: 301 registered walk-forwards on the S&P 500 as it stood on each date, 2006 to 2025.

September 2026 Rebuilding the Fama-French Factor Construction Inside the Point-in-Time S&P 500 Four Fama-French signals rebuilt inside the point-in-time S&P 500 and read beside the French library: whether a signal beats a plain earnings screen is the signal's property, the same in every version; how much the portfolio makes is the construction's.