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Expand expiry-close model comparisons with verified provenance - #22

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mattfaltyn merged 2 commits into
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codex/expiry-model-expansion
Sep 28, 2026
Merged

mattfaltyn merged 2 commits into
mainfrom
codex/expiry-model-expansion

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@mattfaltyn

@mattfaltyn mattfaltyn commented Sep 28, 2026 •

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Summary

  • Add four bounded, deterministic expiry-close distributions: daily OHLC range/HAR proxy, skewed-t EWMA, EGARCH skewed-t, and two-regime switching variance. Fix the GJR boundary-roundoff rejection while retaining parameter checks.
  • Add hash-verified frozen input vintages, an offline rights-gated NGBoost training artifact, conservative SEC earnings schedule capture, and persisted expected/missed intraday capture windows.
  • Show every model in chain and watchlist comparison, keep the selected physical model for compact odds/sort/risk, and show matched evidence with within-horizon-band multiple-comparison intervals.

Qualified-input limits

The existing Yahoo cache has no verified model-training rights. NGBoost remains unavailable for live estimates until a separately qualified cohort is supplied and the exact trained-artifact hash can be recorded with each issuance. Earnings-jump remains unavailable without verified actual release times and enough event outcomes. IV-informed physical and SSVI market estimates remain unavailable without rights-cleared timestamped option history and defensible dividend/American-exercise inputs. No new Yahoo backfill or option-quote archive is introduced.

Verification

  • scripts/verify-fast: 435 backend tests and 154 frontend tests passed after the CI timing fix.
  • scripts/verify: Ruff, 435 backend tests, npm audit (0 vulnerabilities), 154 frontend tests, frontend lint, generated API check, production build, and 30 Chromium browser tests passed.
  • PR verify CI passed on 25e2923; its initial 300-row frontend test timeout was reproduced locally under load and addressed by a test-only timeout change, retaining the fixture and assertions.
  • Independent data, security, and final adversarial reviews completed; no blocking findings.

@mattfaltyn
mattfaltyn merged commit 25e2923 into main Sep 28, 2026
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