Separated Signal Libraries: Packing, Saturation, and Joint Spectral Limits
Abstract
We study libraries of cross-sectional signals: at each date, a forecast vector over d assets intended to predict the next period's cross-sectional return. Demeaned and unit-normalized, a signal is a point on a sphere and its T-date history a point on a product of T spheres. A pairwise correlation cap on histories is a minimum angular separation on that product, so growing a library under such a cap is a packing problem. If a large library is not too pairwise correlated and is equally weighted, does the equally weighted sum (EWS) tend to a known principal-component quantity as it grows? We answer this under explicit assumptions on how the library is filled. Separation alone guarantees nothing: it fixes no limiting distribution; a saturated library covers the sphere yet can carry a biased count; and near-maximum packing on a fixed domain forces uniform volume, which on the unrestricted sphere gives zero mean and no distinguished principal component (PC1). Alignment depends on the admission rule and candidate distribution. Under the uniform product-volume benchmark, screening on positive average information coefficient (IC) yields a nonzero, target-aligned mean but an isotropic second moment, whereas a positive IC margin β makat every finite T, with athree-level spectrum whose leading eigenvalue tends to β2 while residual levels decay as 1/T; margins of order T−1/2 keep a positive admission rate but a vanishing eigengA finite residual-spectrum criteS-PC1 alignment.Gilbert-Varshamov codes show separation permits both outcomes: exponentially large positive-IC libraries exist whose EWS is PC1, and others whose EWS is orthogonal to PC1. log J=o(T) suffices for uniform estimation among J candidates from T iid dates. Derived results are proved and checked numerically; no market data are used.
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BibTeX
@misc{nunes2026separated,
title = {{Separated Signal Libraries: Packing, Saturation, and Joint Spectral Limits}},
author = {Marc da Costa Nunes},
howpublished = {arXiv},
year = {2026},
month = sep,
doi = {10.48550/arxiv.2609.17609},
eprint = {2609.17609},
archivePrefix = {arXiv},
url = {https://arxiv.org/abs/2609.17609},
}
RIS
TY - UNPB
TI - Separated Signal Libraries: Packing, Saturation, and Joint Spectral Limits
AU - Marc da Costa Nunes
PY - 2026
DA - 2026/09/14
PB - arXiv
DO - 10.48550/arxiv.2609.17609
UR - https://arxiv.org/abs/2609.17609
AB - We study libraries of cross-sectional signals: at each date, a forecast vector over d assets intended to predict the next period's cross-sectional return. Demeaned and unit-normalized, a signal is a point on a sphere and its T-date history a point on a product of T spheres. A pairwise correlation cap on histories is a minimum angular separation on that product, so growing a library under such a cap is a packing problem. If a large library is not too pairwise correlated and is equally weighted, does the equally weighted sum (EWS) tend to a known principal-component quantity as it grows? We answer this under explicit assumptions on how the library is filled. Separation alone guarantees nothing: it fixes no limiting distribution; a saturated library covers the sphere yet can carry a biased count; and near-maximum packing on a fixed domain forces uniform volume, which on the unrestricted sphere gives zero mean and no distinguished principal component (PC1). Alignment depends on the admission rule and candidate distribution. Under the uniform product-volume benchmark, screening on positive average information coefficient (IC) yields a nonzero, target-aligned mean but an isotropic second moment, whereas a positive IC margin β makat every finite T, with athree-level spectrum whose leading eigenvalue tends to β^2 while residual levels decay as 1/T; margins of order T^−1/2 keep a positive admission rate but a vanishing eigengA finite residual-spectrum criteS-PC1 alignment.Gilbert-Varshamov codes show separation permits both outcomes: exponentially large positive-IC libraries exist whose EWS is PC1, and others whose EWS is orthogonal to PC1. log J=o(T) suffices for uniform estimation among J candidates from T iid dates. Derived results are proved and checked numerically; no market data are used.
ER -