NEST: Stale-Robust Tokenized-Stock Measurement for a Crypto-Treasury LETF Stack
NEST measures whether after-hours tokenized-stock marks add information beyond mechanical price overlap.
NEST is a measurement protocol for tokenized equities that trade while listed markets are closed, aimed at off-hours marks along Bitcoin, crypto-treasury stocks, and leveraged ETFs. It separates mechanical shared-history fit from remaining predictive value using a partial determination index and audit checks. For MSTRx, a MicroStrategy tracker, token-only R-squared of 0.916 shrinks to 15.7% of remaining opening-gap variation after controls; a Gate reconstruction gives 25.2%. NVDAX and AAPLX clear their frontiers, while TSLAX does not.
- NEST separates mechanical shared-history fit from conditional measurement value.
- MSTRx token-only R-squared of 0.916 falls to 15.7% residual gap variation.
- NVDAX and AAPLX clear their frontiers; TSLAX does not.
- Admitted marks update, rather than replace, BTC-MSTR-LETF exposure diagnostics.
Full article218 words · extracted from arxiv.org · click to collapse
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.
Text extracted automatically; images, tables and formatting may be missing. Original: https://arxiv.org/abs/2610.21491