IMM Paper 20: The Market as Receiver Environment — Chart Measurement, Two Registered Negative Results, and the Boundary Class

IMM Paper 12 modeled financial markets as receiver environments with the two-coordinate chart E=(H,P) and assumed the regime-switching environment class. This paper replaces that assumption with measurement. Using the derived environment chart A =(S, ,Q, , , C ) of E-OR v0.1 and the pre-registered E-series discipline (frozen thresholds, validity gates that block reporting, declared deviations), two tests classify the market substrate at 1--60\,minute scales on seven instruments. Result 1 (protocol E-EA-OR-1): the price-level process rejects the piecewise-constant-mean regime model --- a level-innovation detector alarms at a scale-invariant rate ( 0.16 /bar at 1m, 15m, and 1h) with quasi-regular gaps, the signature of drift/random-walk structure, not discrete regimes. Result 2 (protocol E-EA-OR-2): the volatility process passes its detection gates --- sparse, jump-like variance events exist ( _ vol 0.007 -- 0.010 /bar; log-variance jump spread _ vol 0.7 -- 1.3 ) --- but a powered three-arm test shows that detection-gated estimator resets reduce variance-forecast quality relative to a fixed-span EWMA (median QLIKE improvement -2.95\% , n=28 cells, Wilcoxon p=1.0 ; minimum detectable effect 1.3\% ), with the deficit concentrated precisely where the strong matching law predicts benefit. A third registered test (E-EA-J6-1) probes the ecology reading --- edge as a gradient against other receivers' maladaptation --- finding that two of three mismatch-proxy families fail (one with its frozen direction falsified), while the vol-term-structure family passes at the Bonferroni boundary, replicating a documented crash-insurance premium; the framework's surplus predictions mostly fail, with one exploratory exception (a super-additive positioning vol-panic interaction). A fourth group of registered tests (E-TREND-1, E-COMP-1/2/4b; 2026-07-19/20) probes the certification boundary: a ten-spec few-shot trend test on a factory-disjoint corpus returns partial (flagship underpowered against the post-publication literature prior); a signal-agreement gate is shown to carry genuine timing information against an exposure-matched random-gate null ( p<0.005 ) while still reducing net Sharpe against not gating at all; and a fresh-corpus test of hazard-window structure returns pass-trivial --- the windows are real ( 3.2 elevated squared returns, p<0.005 ) but a one-line volatility-level rule captures them entirely, matching or beating CUSUM change-point detection in 7 of 8 instruments with zero lead time. The volatility-level stand-down rule is the programme's first adopted risk component. Together the results place the market substrate in a boundary class: sparse detectable events superimposed on persistent, cascade-like dynamics, where the fixed-rate law family applies and the detection-gated strong laws do not. Both protocols, all deviations, and a full claim ledger are included. This paper claims no market edge; variance forecastability is not return predictability; nothing here bears on the Riemann Hypothesis or any downstream IMM layer.

Authors

Publication Details

Journal
Zenodo (CERN European Organization for Nuclear Research)
Published
2026-07-30
DOI
https://doi.org/10.5281/zenodo.21702296
Primary Topic
Financial Risk and Volatility Modeling
Type
preprint
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preprint

IMM Paper 20: The Market as Receiver Environment — Chart Measurement, Two Registered Negative Results, and the Boundary Class

Travis Bergen
Zenodo (CERN European Organization for Nuclear Research)
Financial Risk and Volatility Modeling
preprint

IMM Paper 20: The Market as Receiver Environment — Chart Measurement, Two Registered Negative Results, and the Boundary Class

Travis Bergen
preprint en

Abstract

IMM Paper 12 modeled financial markets as receiver environments with the two-coordinate chart E=(H,P) and assumed the regime-switching environment class. This paper replaces that assumption with measurement. Using the derived environment chart A =(S, ,Q, , , C ) of E-OR v0.1 and the pre-registered E-series discipline (frozen thresholds, validity gates that block reporting, declared deviations), two tests classify the market substrate at 1--60\,minute scales on seven instruments. Result 1 (protocol E-EA-OR-1): the price-level process rejects the piecewise-constant-mean regime model --- a level-innovation detector alarms at a scale-invariant rate ( 0.16 /bar at 1m, 15m, and 1h) with quasi-regular gaps, the signature of drift/random-walk structure, not discrete regimes. Result 2 (protocol E-EA-OR-2): the volatility process passes its detection gates --- sparse, jump-like variance events exist ( _ vol 0.007 -- 0.010 /bar; log-variance jump spread _ vol 0.7 -- 1.3 ) --- but a powered three-arm test shows that detection-gated estimator resets reduce variance-forecast quality relative to a fixed-span EWMA (median QLIKE improvement -2.95\% , n=28 cells, Wilcoxon p=1.0 ; minimum detectable effect 1.3\% ), with the deficit concentrated precisely where the strong matching law predicts benefit. A third registered test (E-EA-J6-1) probes the ecology reading --- edge as a gradient against other receivers' maladaptation --- finding that two of three mismatch-proxy families fail (one with its frozen direction falsified), while the vol-term-structure family passes at the Bonferroni boundary, replicating a documented crash-insurance premium; the framework's surplus predictions mostly fail, with one exploratory exception (a super-additive positioning vol-panic interaction). A fourth group of registered tests (E-TREND-1, E-COMP-1/2/4b; 2026-07-19/20) probes the certification boundary: a ten-spec few-shot trend test on a factory-disjoint corpus returns partial (flagship underpowered against the post-publication literature prior); a signal-agreement gate is shown to carry genuine timing information against an exposure-matched random-gate null ( p<0.005 ) while still reducing net Sharpe against not gating at all; and a fresh-corpus test of hazard-window structure returns pass-trivial --- the windows are real ( 3.2 elevated squared returns, p<0.005 ) but a one-line volatility-level rule captures them entirely, matching or beating CUSUM change-point detection in 7 of 8 instruments with zero lead time. The volatility-level stand-down rule is the programme's first adopted risk component. Together the results place the market substrate in a boundary class: sparse detectable events superimposed on persistent, cascade-like dynamics, where the fixed-rate law family applies and the detection-gated strong laws do not. Both protocols, all deviations, and a full claim ledger are included. This paper claims no market edge; variance forecastability is not return predictability; nothing here bears on the Riemann Hypothesis or any downstream IMM layer.

Zenodo (CERN European Organization for Nuclear Research)
Financial Risk and Volatility Modeling
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