Certified Alpha Capacity: Statistical Arbitrage When Learning Takes Time
Abstract
Statistical validation takes time, and alpha can decay before the evidence justifies deployment. We quantify the surviving opportunity through Certified Alpha Capacity: the maximum expected value remaining under prescribed false-deployment and power constraints. In a canonical Gaussian experiment, we derive an exact certification frontier and the sharp law 𝒦α,β/log(1/ε) for residual information capacity just above it. Near the frontier, a single interim decision can preserve orders of magnitude more capacity than fixed-time testing. Mapping information into cash reveals why equally certifiable signals can retain different economic values. In the specified competitive equilibrium, lifetime information approaches the certification frontier exponentially as research costs vanish.
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BibTeX
@misc{bonacorsi2026certified,
title = {{Certified Alpha Capacity: Statistical Arbitrage When Learning Takes Time}},
author = {Nicolò Bonacorsi},
howpublished = {arXiv},
year = {2026},
month = oct,
doi = {10.48550/arxiv.2610.01115},
eprint = {2610.01115},
archivePrefix = {arXiv},
url = {https://arxiv.org/abs/2610.01115},
}
RIS
TY - UNPB
TI - Certified Alpha Capacity: Statistical Arbitrage When Learning Takes Time
AU - Nicolò Bonacorsi
PY - 2026
DA - 2026/10/04
PB - arXiv
DO - 10.48550/arxiv.2610.01115
UR - https://arxiv.org/abs/2610.01115
AB - Statistical validation takes time, and alpha can decay before the evidence justifies deployment. We quantify the surviving opportunity through Certified Alpha Capacity: the maximum expected value remaining under prescribed false-deployment and power constraints. In a canonical Gaussian experiment, we derive an exact certification frontier and the sharp law 𝒦_α,β/log(1/ε) for residual information capacity just above it. Near the frontier, a single interim decision can preserve orders of magnitude more capacity than fixed-time testing. Mapping information into cash reveals why equally certifiable signals can retain different economic values. In the specified competitive equilibrium, lifetime information approaches the certification frontier exponentially as research costs vanish.
ER -