NEST: Stale-Robust Tokenized-Stock Measurement for a Crypto-Treasury LETF Stack

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

Rating

1772
Battle Count: 54

Relevance

8/10
Highly relevant for desks monitoring crypto-treasury stocks (like MicroStrategy) and leveraged ETFs. It provides a rigorous framework for determining when off-hours tokenized prices add genuine information versus mechanical fit, which is crucial for accurate overnight risk assessment and exposure diagnostics.

Implementation Complexity

7/10
Requires implementing specific statistical tests (PDI, finite-sample frontiers, HAC corrections) and handling asynchronous data alignment (variance clocks). The protocol is well-defined but requires careful data engineering to ensure timestamps do not 'see' the target open.

Reproducibility

2/5
Derived results and analysis code are available from authors on request, but vendor data (CoinGecko, Financial Modeling Prep, Gate) is proprietary and cannot be redistributed. The methodology is fully described, but exact replication requires purchasing specific historical data feeds.

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.

Links

arXiv:2610.21491 ยท Paper rankings

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