spb/anomaly-atlas Public License

1---2project: anomaly-atlas3document: expB_artifact_baselines/analysis4author: Simon-Pierre Boucher5contact: contact@spboucher.ai6data_source: hfmarketdata.io7created: 2026-08-128modified: 2026-08-129status: reviewed10---1112# Analysis — expB_artifact_baselines1314Run: `results/expB_artifact_baselines/20260812T055602Z/results.json`15(hardware manifest embedded; 47 network requests, 795 185 rows, protocol16pre-specified in hypothesis.md; detectors passed the §8.1 synthetic gate —1711 tests — before touching this data).1819## The measured artifact nulls (Q1 2024, RTH 1min, 31 tickers)2021| Staleness tercile | median staleness | median AC1 | Roll rel. spread | VR(30) | SPY leads +1min |22|---|---|---|---|---|---|23| fresh | 0.000 | −0.009 | 1.4 bp | 0.972 | +0.005 |24| mid | 0.107 | −0.051 | 3.8 bp | 0.901 | +0.047 |25| stale | 0.691 | −0.232 | 17.0 bp | 0.547 | +0.021 |2627* **Bounce/staleness dominate naive reversion metrics.** With *zero* planted28  economics, illiquid names show VR(30) = 0.55 and AC1 = −0.23 (extreme:29  RITM.B, 90 % stale minutes, VR30 = 0.35). Any reversion scan that does not30  clear these levels for its liquidity bucket is measuring market plumbing.31* **Mega-caps show no measurable bounce at 1min**: AAPL/SPY/NVDA AC1 CIs32  cover 0 and the Roll estimator is undefined (positive lag-1 autocov) —33  the bounce null is liquidity-dependent, not universal.34* **The stale-price lead-lag artifact is real and monotone**: SPY spuriously35  "leads" tickers by +1 min in proportion to their staleness36  (Spearman = +0.43). It peaks in the *mid* tercile (+0.047): the stalest37  names trade so rarely that even LOCF correlation collapses — the artifact38  is worst where it is least obvious.39* **SPX-vs-SPY**: contemporaneous corr 0.965, and a +0.065 cross-correlation40  with SPY leading by 1 minute. An "ETF price discovery leads the index"41  finding is manufactured by index print staleness — measured here so Q242  hypotheses must beat it.4344## Limitations4546Level 0 by construction (descriptive nulls; single quarter; one venue's47bar convention). 11/42 tickers dropped for insufficient data — the null for48*ultra*-illiquid names is therefore understated. Q1-2024-specific levels;49expC should re-measure per period rather than reuse these constants blindly.5051## Verdict5253**Complete — nulls established and usable.** Both pre-specified54falsification criteria failed to trigger. Numbers are recorded in55`research/artifact_taxonomy.md`; expC (reversion scan) must report every56effect *net of* the bucket-matched bounce null, and expD must run the57synchronized-vs-raw timestamp comparison this experiment quantified.58