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Closes #ISSUE-008 - Overreaction Scanner Overhaul: GJR-GARCH rebound gauge, catalyst drawers, and Category C small-caps

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Antigravity Agent
2026-06-12 20:46:31 +02:00
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QUANT_ROADMAP.md
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@@ -12,7 +12,7 @@ This document serves as the permanent, centralized system architecture design an
* *Features*: Real-time volatility estimators, portfolio optimization mechanics, and Swamy-Arora random effects panel regression solvers.
* *Status*: **Fully Operational (Production Lock)**.
* **Phase 2.0: Live GJR-GARCH Scanners**
* *Features*: Real-time rolling volatility forecasting engine that detects asymmetric leverage effects in equity volatility.
* *Features*: Real-time rolling volatility forecasting engine that detects asymmetric leverage effects in equity volatility. Upgraded with an interactive catalyst diagnostic drawer (systemic selloff, supply chain, management changes, legal fines, earnings misses), live FMP Small-Cap screener integration, and dynamic Rebound Probability calculations.
* *Status*: **Fully Operational (Production Lock)**.
* **Phase 3.0: Real FRED Macro Ingestion**
* *Features*: Real-time server-side API integration with Federal Reserve Economic Data (FRED). Ingests Personal Savings Rates, Credit Card Delinquencies, Housing Starts, and Case-Shiller indices.
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### IV. GJR-GARCH Rebound Probability Score (Scanner Module)
Formulates a dynamic, real-time rebound probability based on the GJR-GARCH volatility outlier score adjusted by news-based qualitative shock stress damping.
#### Mathematical Formulation:
$$P_{\text{rebound}} = 0.6 \times S_{\text{overreact}} + 0.4 \times (100 - C_{\text{stress}})$$
Where:
* \(S_{\text{overreact}}\) is the Overreaction Outlier Score, derived from the ratio of the absolute price decline relative to the estimated conditional volatility:
$$S_{\text{overreact}} = \text{clip}\left(\frac{\Delta P}{\sigma_{\text{GJR-GARCH}}} \times 30 + 30, 10, 95\right)$$
* \(C_{\text{stress}}\) is the catalyst-specific stress coefficient determined by the identified drop catalyst:
* *Systemic Selloff*: \(15\%\) (liquid liquidity shock, fast rebound)
* *Supply Chain Disruption*: \(40\%\) (transitory capacity constraint)
* *Executive Shift*: \(55\%\) (strategic and operational uncertainty)
* *Regulatory Issue / Fine*: \(65\%\) (direct balance sheet / cash flow impact)
* *Earnings Miss*: \(75\%\) (structural growth deceleration, slow rebound)
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## 5. Multi-Regime Transition Classifier
The core cognitive brain of the sandbox dynamically adjusts allocation weights across our portfolio modules based on estimated macroeconomic and market states.