The Reconfiguration Premium: Co-movement Structure as an Unspanned Dimension of the Variance Risk Premium

By Lucas Carvalho

Published 2026-08-21

Everscope rating

1944.4

Relevance to quantitative trading

8 / 10

Implementation complexity

8 / 10

Reproducibility

4 / 5

About this paper

Methodology: Subdominant Eigenspace Rotation Index (REC) with Pricing Regression. Problem types: Regression, Risk Management, Portfolio Optimization, Time Series Forecasting, Dimensionality Reduction.

arXiv:2608.20020 · Code · Paper rankings

Open the interactive Everscope explorer for full analysis, charts, and paper battles.