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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

quant-researchmarket-microstructureanomaliesreproducibilityduckdbapple-silicon
Python 61.4% JavaScript 28.7% CSS 8.6% Shell 0.7% Makefile 0.5%

History of experiments/micro/expB_artifact_baselines/benchmark.py · clear filter

  1. expB: artifact baselines measured (after §8.1 synthetic gate)
    …
    - synthetic generators with known ground truth + 11-test gate; the gate
  caught a real VR estimator bug (double division by q) before real data
- stats: reversion (VR/AC1/half-life), leadlag, block bootstrap;
  validation: Roll spread, excess reversion, staleness, LOCF
- expB (pre-specified protocol): 31 tickers Q1 2024 RTH 1min —
  bounce AC1 -0.009/-0.051/-0.232 by staleness tercile, VR30 down to 0.55
  with zero economics, SPY spuriously leads stale names (+0.047 at +1min,
  Spearman +0.43), SPX lags SPY by 1min (+0.065)
- artifact_taxonomy.md: 7 entries T1-T7 with measured magnitudes

Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
    Simon-Pierre Boucher committed 7 h ago (Aug 12, 2026) · 1 file changed +245 −10
  2. Phase 0.5: Experiment A (data reality check) + hf_client implementation
    …
    - hf_client.py: cache-first single API client (throttle, 429/5xx back-off,
  50k-row pagination, committed data-manifest index) + 5 offline unit tests
- expA benchmark: 8 probe families, results with embedded hardware manifest
- research/data_source_profile.md (reviewed): coverage, timestamps ET,
  session structure, daily-vs-1min semantics, adjustment re-basing, limits
- LOG entry; expA hypothesis/analysis finalized

Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
    Simon-Pierre Boucher committed 7 h ago (Aug 12, 2026) · 1 file changed +2 −2
  3. Bootstrap: full research skeleton (CLAUDE.md §3, localvm-research layout) + web platform
    …
    Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
    Simon-Pierre Boucher committed 7 h ago (Aug 12, 2026) · 1 file changed +35