Conditional Portability of Geometric Stress Coordinates: A Frozen Eight-Market Test of Geometric Tail Routing

Abstract

The results identify a conditional cross-market portability pattern for an online Wasserstein stress coordinate. Eight equity indices are evaluated strictly out of sample from January 2007 through June 2026 under a design frozen before outcome access: three volatility filters, three tail probabilities, four memory rules, 22-trading-day updates, and a single authorized run. The primary estimand is the FZ0 loss differential between Soft-DRP routing and matched filtered historical simulation. Under the prespecified hierarchical model, the Europe-domain gate passes in five realized-volatility cells: all four European markets have favorable signs, pooled FZ0 differences remain negative after Holm correction, and Soft-DRP does not add a DQ rejection in those cells. This is a domain-level forecasting result. The same run places its scope at RV22: no EWMA(0.94) or frozen-GARCH Europe-domain cell passes the conditional gate, the non-Europe domain does not pass, and wider heterogeneity stress tests remove support for the same European conditional claim. Universal portability is not supported because every cross-market prediction interval has a positive upper endpoint. Absolute calibration remains weak, with DQ rejection in 258 of 288 Soft-DRP cells. DRP6 therefore gives geometric measurement a conditional, domain-specific tail-forecasting role and identifies the configuration in which that role appears.

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