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
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1---2project: anomaly-atlas3document: Literature notes index4author: Simon-Pierre Boucher5contact: contact@spboucher.ai6data_source: hfmarketdata.io7created: 2026-08-128status: draft9---1011# Phase 1 literature notes1213One note file per theme (CLAUDE.md §4.1-4.6), all sources verified via OpenAlex on 2026-08-12:1415- [mean_reversion_leadlag.md](mean_reversion_leadlag.md) — Q1/Q2 founding results, lead-lag vs its artifact twin, decay evidence16- [calendar_effects.md](calendar_effects.md) — Q3 classics, intraday momentum, what survived (turn-of-month) vs what died17- [multiple_testing_snooping.md](multiple_testing_snooping.md) — §4.2, the most important: RC/SPA/StepM/FDR/DSR/PBO + finance base rates18- [microstructure_artifacts.md](microstructure_artifacts.md) — §4.3: Roll, Blume-Stambaugh, Fisher, microstructure noise19- [timeseries_methodology.md](timeseries_methodology.md) — §4.4: VR pitfalls, Lo R/S, Granger caveats, block bootstrap, CPCV, Bai-Perron20- [transaction_costs.md](transaction_costs.md) — §4.5: OHLC spread estimators (EDGE primary), cost-survival base rates21