{"id":"https://openalex.org/W7212138476","doi":"https://doi.org/10.48550/arxiv.2609.09588","title":"Signal Correlation, IC, and PnL Dependence","display_name":"Signal Correlation, IC, and PnL Dependence","publication_year":2026,"publication_date":"2026-09-09","ids":{"openalex":"https://openalex.org/W7212138476","doi":"https://doi.org/10.48550/arxiv.2609.09588"},"language":"en","primary_location":{"id":"pmh:oai:arXiv.org:2609.09588","doi":null,"is_oa":true,"landing_page_url":"https://arxiv.org/abs/2609.09588","pdf_url":"https://arxiv.org/pdf/2609.09588","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},"volume":null,"type":"preprint","is_traditional":true,"indexed_in":["arxiv","datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/2609.09588","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5075129299","display_name":"Marc Nunes","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Nunes, Marc","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":["https://openalex.org/A5075129299"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":true,"cited_by_count":3,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.8525000214576721,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.8525000214576721,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.08879999816417694,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.014000000432133675,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/signal-correlation","display_name":"signal correlation","score":0.8420000076293945},{"id":"https://openalex.org/keywords/information-coefficient","display_name":"information coefficient","score":0.6970000267028809},{"id":"https://openalex.org/keywords/partial-correlation","display_name":"partial correlation","score":0.6679999828338623},{"id":"https://openalex.org/keywords/non-identifiability","display_name":"non-identifiability","score":0.8930000066757202},{"id":"https://openalex.org/keywords/signal-normalization","display_name":"signal normalization","score":0.3089999854564667},{"id":"https://openalex.org/keywords/return-dispersion","display_name":"return dispersion","score":0.625},{"id":"https://openalex.org/keywords/time-dependence","display_name":"time dependence","score":0.4869999885559082}],"concepts":[{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.7566999793052673},{"id":"https://openalex.org/C117220453","wikidata":"https://www.wikidata.org/wiki/Q5172842","display_name":"Correlation","level":2,"score":0.6150000095367432},{"id":"https://openalex.org/C136886441","wikidata":"https://www.wikidata.org/wiki/Q926129","display_name":"Normalization (sociology)","level":2,"score":0.5465999841690063},{"id":"https://openalex.org/C154954056","wikidata":"https://www.wikidata.org/wiki/Q1604164","display_name":"Transverse plane","level":2,"score":0.4765999913215637},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.43700000643730164},{"id":"https://openalex.org/C176217482","wikidata":"https://www.wikidata.org/wiki/Q860554","display_name":"Metric (unit)","level":2,"score":0.4352000057697296},{"id":"https://openalex.org/C64708745","wikidata":"https://www.wikidata.org/wiki/Q2998010","display_name":"Partial correlation","level":3,"score":0.4169999957084656},{"id":"https://openalex.org/C120174047","wikidata":"https://www.wikidata.org/wiki/Q847073","display_name":"Euclidean distance","level":2,"score":0.40700000524520874},{"id":"https://openalex.org/C155512373","wikidata":"https://www.wikidata.org/wiki/Q287450","display_name":"Residual","level":2,"score":0.3824999928474426},{"id":"https://openalex.org/C2780092901","wikidata":"https://www.wikidata.org/wiki/Q3433612","display_name":"Correlation coefficient","level":2,"score":0.38179999589920044},{"id":"https://openalex.org/C184050105","wikidata":"https://www.wikidata.org/wiki/Q273163","display_name":"Isotropy","level":2,"score":0.37549999356269836},{"id":"https://openalex.org/C129782007","wikidata":"https://www.wikidata.org/wiki/Q162886","display_name":"Euclidean geometry","level":2,"score":0.366100013256073},{"id":"https://openalex.org/C180205008","wikidata":"https://www.wikidata.org/wiki/Q159190","display_name":"Amplitude","level":2,"score":0.3659999966621399},{"id":"https://openalex.org/C5297727","wikidata":"https://www.wikidata.org/wiki/Q786970","display_name":"Autocorrelation","level":2,"score":0.3508000075817108},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.35040000081062317},{"id":"https://openalex.org/C2779843651","wikidata":"https://www.wikidata.org/wiki/Q7390335","display_name":"SIGNAL (programming language)","level":2,"score":0.3278000056743622},{"id":"https://openalex.org/C2781181686","wikidata":"https://www.wikidata.org/wiki/Q4226068","display_name":"Coherence (philosophical gambling strategy)","level":2,"score":0.3269999921321869},{"id":"https://openalex.org/C185142706","wikidata":"https://www.wikidata.org/wiki/Q1134404","display_name":"Covariance matrix","level":2,"score":0.3190000057220459},{"id":"https://openalex.org/C121694360","wikidata":"https://www.wikidata.org/wiki/Q5282862","display_name":"Distance correlation","level":3,"score":0.31790000200271606},{"id":"https://openalex.org/C175291020","wikidata":"https://www.wikidata.org/wiki/Q1156822","display_name":"Offset (computer science)","level":2,"score":0.3174000084400177},{"id":"https://openalex.org/C55078378","wikidata":"https://www.wikidata.org/wiki/Q1136628","display_name":"Pearson product-moment correlation coefficient","level":2,"score":0.31349998712539673},{"id":"https://openalex.org/C85725439","wikidata":"https://www.wikidata.org/wiki/Q466686","display_name":"Anisotropy","level":2,"score":0.3077000081539154},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.3077000081539154},{"id":"https://openalex.org/C163018871","wikidata":"https://www.wikidata.org/wiki/Q1302587","display_name":"Cross-correlation","level":2,"score":0.3073999881744385},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.30660000443458557},{"id":"https://openalex.org/C143724316","wikidata":"https://www.wikidata.org/wiki/Q312468","display_name":"Series (stratigraphy)","level":2,"score":0.30079999566078186},{"id":"https://openalex.org/C185429906","wikidata":"https://www.wikidata.org/wiki/Q1130160","display_name":"Estimator","level":2,"score":0.2994000017642975},{"id":"https://openalex.org/C35651441","wikidata":"https://www.wikidata.org/wiki/Q625303","display_name":"Independence (probability theory)","level":2,"score":0.2992999851703644},{"id":"https://openalex.org/C57691317","wikidata":"https://www.wikidata.org/wiki/Q1289248","display_name":"Scalar (mathematics)","level":2,"score":0.2928999960422516},{"id":"https://openalex.org/C121864883","wikidata":"https://www.wikidata.org/wiki/Q677916","display_name":"Statistical physics","level":1,"score":0.2865999937057495},{"id":"https://openalex.org/C2776436953","wikidata":"https://www.wikidata.org/wiki/Q5163215","display_name":"Consistency (knowledge bases)","level":2,"score":0.2863999903202057},{"id":"https://openalex.org/C57493831","wikidata":"https://www.wikidata.org/wiki/Q3134666","display_name":"Projection (relational algebra)","level":2,"score":0.2809999883174896},{"id":"https://openalex.org/C177918212","wikidata":"https://www.wikidata.org/wiki/Q803623","display_name":"Perturbation (astronomy)","level":2,"score":0.2799000144004822},{"id":"https://openalex.org/C2776214188","wikidata":"https://www.wikidata.org/wiki/Q408386","display_name":"Inference","level":2,"score":0.27649998664855957},{"id":"https://openalex.org/C104267543","wikidata":"https://www.wikidata.org/wiki/Q208163","display_name":"Signal processing","level":3,"score":0.27410000562667847},{"id":"https://openalex.org/C124584101","wikidata":"https://www.wikidata.org/wiki/Q1053266","display_name":"Multiplier (economics)","level":2,"score":0.2727000117301941},{"id":"https://openalex.org/C97937538","wikidata":"https://www.wikidata.org/wiki/Q199691","display_name":"Laplace transform","level":2,"score":0.272599995136261},{"id":"https://openalex.org/C109510780","wikidata":"https://www.wikidata.org/wiki/Q17149502","display_name":"Total correlation","level":3,"score":0.27250000834465027},{"id":"https://openalex.org/C17020691","wikidata":"https://www.wikidata.org/wiki/Q139677","display_name":"Operator (biology)","level":5,"score":0.26669999957084656},{"id":"https://openalex.org/C72169020","wikidata":"https://www.wikidata.org/wiki/Q194404","display_name":"Monotonic function","level":2,"score":0.26669999957084656}],"mesh":[],"locations_count":2,"locations":[{"id":"pmh:oai:arXiv.org:2609.09588","doi":null,"is_oa":true,"landing_page_url":"https://arxiv.org/abs/2609.09588","pdf_url":"https://arxiv.org/pdf/2609.09588","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},{"id":"doi:10.48550/arxiv.2609.09588","doi":"https://doi.org/10.48550/arxiv.2609.09588","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.2609.09588","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Preprint"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:2609.09588","doi":null,"is_oa":true,"landing_page_url":"https://arxiv.org/abs/2609.09588","pdf_url":"https://arxiv.org/pdf/2609.09588","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W7212138476.pdf","grobid_xml":"https://content.openalex.org/works/W7212138476.grobid-xml"},"referenced_works_count":17,"referenced_works":["https://openalex.org/W1578330309","https://openalex.org/W1863029622","https://openalex.org/W2047694274","https://openalex.org/W2076396344","https://openalex.org/W2080361650","https://openalex.org/W2090466085","https://openalex.org/W2095219646","https://openalex.org/W2117178635","https://openalex.org/W2135606128","https://openalex.org/W2951484324","https://openalex.org/W3123939061","https://openalex.org/W3125739070","https://openalex.org/W4211170237","https://openalex.org/W4246202668","https://openalex.org/W4253377838","https://openalex.org/W4253640127","https://openalex.org/W4313233456"],"related_works":["https://openalex.org/W7212567520","https://openalex.org/W2908208827","https://openalex.org/W50156612","https://openalex.org/W2010015241","https://openalex.org/W6889273591","https://openalex.org/W2972294307","https://openalex.org/W219134933","https://openalex.org/W2329385144","https://openalex.org/W7213530851","https://openalex.org/W2542518351"],"abstract_inverted_index":{"Signal":[0,122],"correlation":[1,4,102,123,136,157,239],"and":[2,24,47,83,86,138,172,198,207,220,249],"PnL":[3,76,135],"are":[5,117],"correlations":[6],"over":[7],"different":[8],"index":[9],"sets":[10],"-":[11,23],"across":[12,18],"assets":[13],"at":[14,54,246],"each":[15,55],"date":[16,56],"versus":[17],"dates":[19],"for":[20,33,104,215],"scalar":[21],"payoffs":[22],"practitioners":[25],"often":[26],"treat":[27],"the":[28,34,62,89,96,107,118,140,161,165,182,188,191,203,211,223,229,256],"first":[29],"as":[30,99],"a":[31,57,148,242],"proxy":[32,45],"second.":[35],"We":[36,51],"give":[37],"an":[38,112,126,176],"exact":[39,177,234],"decomposition":[40],"that":[41,44,53,74,210],"shows":[42],"what":[43,48],"sees":[46],"it":[49],"discards.":[50],"recall":[52],"normalized":[58,90,180],"signal's":[59],"projection":[60],"onto":[61],"realized":[63,69,105],"demeaned":[64],"return":[65,78],"direction":[66],"is":[67,77,111,147,202,226],"its":[68],"cross-sectional":[70],"Pearson":[71,134],"IC,":[72],"so":[73],"fixed-signal":[75],"dispersion":[79],"times":[80],"IC":[81,128,141],"(Qian":[82],"Hua,":[84],"2004),":[85],"we":[87,208],"identify":[88],"similarity":[91],"of":[92,168,237],"two":[93,212],"signals":[94],"in":[95],"orthogonal":[97,113],"complement":[98],"their":[100],"partial":[101,238],"controlling":[103],"returns;":[106],"residual":[108],"rotational":[109],"freedom":[110],"gauge":[114],"whose":[115],"invariants":[116],"transverse":[119,131,154,183],"Gram":[120,184],"matrix.":[121],"therefore":[124],"equals":[125],"uncentered":[127],"cross-moment":[129],"plus":[130],"similarity,":[132],"while":[133],"centers":[137],"dispersion-weights":[139],"series":[142],"alone.":[143],"Our":[144],"main":[145],"result":[146],"non-identifiability":[149],"theorem:":[150],"absent":[151],"constraints":[152],"on":[153,228],"geometry,":[155],"neither":[156],"bounds":[158],"or":[159],"orders":[160],"other,":[162],"which":[163],"sharpens":[164],"simulation":[166],"finding":[167],"Sorensen,":[169],"Qian,":[170],"Schoen,":[171],"Hua":[173],"(2004)":[174],"into":[175],"statement.":[178],"For":[179],"ensembles":[181],"matrix":[185],"re-enters":[186],"through":[187],"normalization":[189],"denominator;":[190],"ex":[192],"post":[193],"optimal":[194],"combination":[195],"under":[196,240,252],"Euclidean":[197],"general":[199],"covariance-risk":[200],"metrics":[201],"classical":[204,233],"multiple-correlation":[205],"bound,":[206],"show":[209],"rules":[213],"agree":[214],"every":[216],"longitudinal":[217],"exposure":[218],"if":[219,222],"only":[221],"risk":[224],"metric":[225],"isotropic":[227],"signal":[230],"span.":[231],"The":[232],"null":[235],"law":[236],"isotropy,":[241],"synthetic":[243],"mechanism":[244],"illustration":[245],"weak-IC":[247],"scales,":[248],"inference":[250],"guidance":[251],"temporal":[253],"dependence":[254],"complete":[255],"treatment.":[257]},"counts_by_year":[{"year":2026,"cited_by_count":3}],"updated_date":"2026-11-07T11:25:07.637180","created_date":"2026-09-11T00:00:00"}