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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/expG_cost_frontier/benchmark.py · clear filter

  1. expG: cost frontier — the double-filtered pool dies at a fraction of the spread
    …
    - net = gross - kappa*(EDGE/2)*turnover swept over kappa in {0,.1,.25,.5,1,2}
- median breakeven kappa* = 0.0114 (max 0.28): the median rule captures ~1%
  of one half-spread per trade; ES->SPY kappa*=0.0028 splice-invariant
- survivors: 3 at kappa=0.1 (all sparse names), 1 at 0.25 (CKX 1day,
  skeptical prior), 0 at 0.5+; zero intraday at kappa=1 — pre-registered
  falsification did not trigger; three-layer doctrine closes
- results sanitized (NaN -> null: Python json emits bare NaN, invalid for
  every other consumer); kappa* log-scale figure with cost reference lines

Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
    Simon-Pierre Boucher committed 5 h ago (Aug 12, 2026) · 1 file changed +259 −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