spb/anomaly-atlas Public License
Systematic discovery & rigorous validation of statistical anomalies in open HF market data (hfmarketdata.io) — pre-registered, artifact-null-driven, fully reproducible. Live atlas: www.anomaly-atlas.io
Python 61.4%
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1{2 "anomaly_id": "F002-spx-spy-staleness-artifact",3 "title": "The SPX->SPY minute-scale 'lead' is index content staleness, not price discovery",4 "summary": "SPY leads the SPX index print by one minute (+0.132 cross-correlation in train 2014-2015, +0.080 on the 2016-2021 validation split) at ~0.95 contemporaneous correlation, and the lead SURVIVES both-fresh print synchronization because the staleness lives inside the index computation (Fisher 1966, measured live). It also survives Hansen SPA - demonstrating that statistical correction cannot detect mechanism. Any 'ETF leads the index' claim on bar data is presumptively this artifact.",5 "negative_result": true,6 "key_numbers": {7 "train_lead_plus1min": 0.132,8 "validation_lead_plus1min": 0.08,9 "contemporaneous_corr": 0.965,10 "artifact_share_from_print_gaps": 0.011 },12 "evidence": [13 "results/expB_artifact_baselines/",14 "results/expD_leadlag_scan/",15 "results/expH_oos_stability/"16 ],17 "reproduce": "python experiments/micro/expD_leadlag_scan/benchmark.py; expH xcorr section",18 "author": "Simon-Pierre Boucher",19 "contact": "contact@spboucher.ai",20 "data_source": "hfmarketdata.io",21 "confidence_level": 222}23