Ivolution Research Journal · Working paper
Head-to-head — naive-OI (A) vs flow-implied (B) net GEX as vol-state classifier
On the SAME sessions and the SAME validated GEX-01 endpoints (9:35 net-GEX tail -> realized RTH range, same-day; and the net-day range robustness arm), the flow-implied estimate (B) classifies the realized-range vol-state AT LEAST AS WELL AS the naive-OI estimate (A), with the pre-registered directional prior that B is BETTER. Measured by a PAIRED per-session difference in classification skill (delta_skill = skill_B - skill_A), block-bootstrapped by session. Two-sided and falsifiable both ways: the null is delta_skill = 0 (B no better than A); delta_skill < 0 means B is worse.
Cite as: GEX-34: Head-to-head — naive-OI (A) vs flow-implied (B) net GEX as vol-state classifier. Ivolution Research Journal.
Publication status
The study is published as a working paper while a required data source remains unavailable. No result exists yet.
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Symbols
Not explicitly scoped
Regimes
Aggregate · Positive gamma · pin · Positive gamma · drift · Negative gamma · trend · Negative gamma · chop · Event day
Horizons
close · next_session