# project: anomaly-atlas document: Literature notes index author: Simon-Pierre Boucher contact: contact@spboucher.ai data_source: hfmarketdata.io created: 2026-08-12 status: draft

# Phase 1 literature notes

One note file per theme (CLAUDE.md §4.1-4.6), all sources verified via OpenAlex on 2026-08-12:

• mean_reversion_leadlag.md — Q1/Q2 founding results, lead-lag vs its artifact twin, decay evidence
• calendar_effects.md — Q3 classics, intraday momentum, what survived (turn-of-month) vs what died
• multiple_testing_snooping.md — §4.2, the most important: RC/SPA/StepM/FDR/DSR/PBO + finance base rates
• microstructure_artifacts.md — §4.3: Roll, Blume-Stambaugh, Fisher, microstructure noise
• timeseries_methodology.md — §4.4: VR pitfalls, Lo R/S, Granger caveats, block bootstrap, CPCV, Bai-Perron
• transaction_costs.md — §4.5: OHLC spread estimators (EDGE primary), cost-survival base rates