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Future Work

This page records extensions that should remain outside the current paper unless they become necessary for interpretation. The present paper is a point-in-time out-of-sample forecast evaluation of OSE Nikkei 225 Futures opening-gap VaR and Expected Shortfall. It already covers benchmark models, ML tail models, left-tail and right-tail risk surfaces, coverage diagnostics, loss-based comparison, Murphy diagrams, ES severity, and stress-window diagnostics.

Future work should therefore do one of two things: either sharpen the economic interpretation of the current evidence, or define a clearly separate paper.

Extension Summary

Extension Research question When to pursue
Intraday U.S.-close Nikkei reference mark Does U.S. close information predict the opening-auction residual after conditioning on a Nikkei futures price observed at the U.S. cash close? After licensed OSE, CME, SGX, or equivalent intraday Nikkei futures marks are available with reliable timestamps.
Richer option-implied tail-risk predictors Do option-implied measures beyond VIX close add incremental information for opening-gap tail risk? After the core U.S. close information sets are settled and richer option data can be timestamped.
Night-session microstructure and absorption How much U.S. information is incorporated during the OSE night session, and what remains for the day-session open? After night-session OHLC or intraday OSE data are available with session-level timestamps.
Submission reproducibility package Can every table and figure be reproduced from documented commands and source manifests? Before manuscript circulation.

1. Intraday U.S.-Close Nikkei Reference Mark

Question

Does U.S. close information predict residual OSE day-session opening risk after conditioning on a Nikkei futures price observed at the U.S. cash close?

Data Requirements

  • OSE intraday Nikkei 225 Futures prices, or a licensed equivalent.
  • CME or SGX Nikkei futures marks if they provide a reliable U.S.-close reference.
  • Source-specific timestamps and data-availability records.

Guardrails

  • Do not synthesize a U.S.-close Nikkei mark from daily data.
  • Do not use a mark observed after the forecast origin.
  • Keep the U.S.-close-mark target unavailable until a licensed intraday source exists.
  • Keep full settlement-to-open risk separate from U.S.-close-mark-to-open residual risk.

2. Richer Option-Implied Tail-Risk Predictors

Question

Do option-implied measures beyond the VIX close add information about OSE opening-gap tail risk beyond ETFs, rates, FX, and the existing volatility-index controls?

Candidate Predictors

  • VVIX.
  • SKEW or related option-implied tail measures.
  • VIX futures term structure.
  • SPX option-implied tail or variance-risk-premium measures, subject to data access.

Guardrails

  • Record the observation timestamp and the practical availability time for each predictor.
  • Treat delayed historical series as historical predictors, not operational inputs.
  • Test incremental value through pre-specified information-set additions or diagnostic variants.
  • Do not rely on feature-importance narratives without out-of-sample loss and coverage evidence.

3. Night-Session Microstructure and Absorption

Question

How much of the U.S. close signal is incorporated during the OSE night session, and what part remains for the next day-session open?

Candidate Measures

  • Night-session return.
  • Night-session range.
  • Last-hour night-session movement.
  • Night-session volume and liquidity measures.
  • Opening-auction residual gap after conditioning on the night-session close.

Guardrails

  • Do not interpret full settlement-to-open predictability as opening-auction residual predictability.
  • Keep settlement-to-open, close-to-open, night-close-to-open, and U.S.-close-mark-to-open targets in separate tables.
  • Report holiday, roll-window, SQ-window, and early-close sensitivity.

4. Submission Reproducibility Package

Before manuscript circulation, prepare a reproducibility package with:

  • data-source manifest and access notes;
  • source as-of dates and hashes where permitted;
  • schema reports for raw, interim, and processed tables;
  • target audit report;
  • point-in-time feature checklist;
  • model configuration files;
  • table and figure reproduction commands;
  • smoke fixtures for reviewers without vendor data.

Submission criterion: every manuscript table and figure should map to one documented command and one output path.