So where is the martingale in our own research?
After two explainers on martingales in financial AI, a fair question: where is it in our work?
As a certificate. A supermartingale envelope bounds a crypto price over a whole holding window. That lets us size the collateral a spot–perpetual hedge needs before opening it - including the awkward moment when funding has been paid but the collateral transfer hasn't arrived yet.
As a loss. One condition, inverse wealth must be a supermartingale, plugs into Linear, MLP, GRU and Transformer policies and keeps wealth away from a capital floor
Enforced exactly under a known law, the condition becomes a guarantee; used only as a training penalty, it improves risk but does not guarantee it. We show where it helps - and, just as carefully, where it doesn't.
📄 Preprint coming soon on arXiv, with reproducible notebooks, independent audits and the negative results included. Stay tuned.
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