{
  "anomaly_id": "F002-spx-spy-staleness-artifact",
  "title": "The SPX->SPY minute-scale 'lead' is index content staleness, not price discovery",
  "summary": "SPY leads the SPX index print by one minute (+0.132 cross-correlation in train 2014-2015, +0.080 on the 2016-2021 validation split) at ~0.95 contemporaneous correlation, and the lead SURVIVES both-fresh print synchronization because the staleness lives inside the index computation (Fisher 1966, measured live). It also survives Hansen SPA - demonstrating that statistical correction cannot detect mechanism. Any 'ETF leads the index' claim on bar data is presumptively this artifact.",
  "negative_result": true,
  "key_numbers": {
    "train_lead_plus1min": 0.132,
    "validation_lead_plus1min": 0.08,
    "contemporaneous_corr": 0.965,
    "artifact_share_from_print_gaps": 0.0
  },
  "evidence": [
    "results/expB_artifact_baselines/",
    "results/expD_leadlag_scan/",
    "results/expH_oos_stability/"
  ],
  "reproduce": "python experiments/micro/expD_leadlag_scan/benchmark.py; expH xcorr section",
  "author": "Simon-Pierre Boucher",
  "contact": "contact@spboucher.ai",
  "data_source": "hfmarketdata.io",
  "confidence_level": 2
}