# STATUS.md — Stages A–F2 complete; v1.1 after editorial-board revision; IRFA package regenerated

**Date:** 2026-10-17 (revision) — previous status 2026-07-13

## Revision 2026-10-17 (v1.1)

Full scientific review by the editorial board (`docs/REVIEW-REPORT.md`) with audit trail
(`docs/CHANGELOG-REVISION.md`). Main changes: pre-event levels quantified (+40×10⁻⁴, the
"no pre-event response" claim withdrawn); market-wide response bracketed between the ΔΔ (≈0) and a
pre-level-stratified estimator (+19×10⁻⁴ ≈ 2 % of base rate); co-arrival disclosure (22 % singleton
minutes) with estimates by class; network differential decomposed by decade (placebo contrast far
from zero within decades) and its secular rise flagged as partly a measurement effect (Epps);
co-jump severity not compared across the tick regime (1992–97 exceeds 2008 under the same
standardisation); robustness section restricted to executed checks; 19 references added, 5 removed,
124/124 Crossref-verified; `scripts/17_revision_checks.py` + Tables 9–10; macros 48 → 97; all four
PDFs recompiled (0 errors, 0 undefined references); anonymous version checked (0 identifiers).
Analyses recommended but not executed (raw data required): REVIEW-REPORT §8.


## Completed work

1. **Project scaffold** per protocol §2: package (`src/intraday_fragility/`), configs,
   scripts, tests (7 passing), Makefile, `uv.lock`, docs, LaTeX tree.
2. **Dataset probe (Stage A):** `mito0o852/OHLCV-1m` pinned at revision
   `776328445b7ac6e7815ef3a483e9c8ded1eb6d56`; inventory of 411 monthly Parquet
   files (87.7 GB), 1992-01→2026-03, **no missing months**
   (`data/manifests/repo_inventory.json`).
3. **Pilot download** (1992-06, 2009-06, 2025-12; sha256 in
   `data/manifests/pilot_downloads.json`) and **pilot audit**
   (`scripts/01_pilot_audit.py`, JSON reports in `outputs/diagnostics/`,
   logs in `logs/audit/`).
4. **Docs:** `DATA_AUDIT.md`, `LIMITATIONS.md`, `DECISION_LOG.md`,
   `DATA_DICTIONARY.md`, `COMPUTE_LOG.md`, `EMPIRICAL_DESIGN.md`,
   `REPRODUCIBILITY.md`, `LITERATURE_MAP.md` (candidates, none verified yet).
5. **Pilot figures** (coverage, intraday seasonality; PDF+PNG; source data in
   `outputs/figures/data/`) and **summary-statistics LaTeX table**
   (`outputs/tables/tabP1_pilot_summary.{tex,csv}`).
6. **Compiling LaTeX skeletons:** `paper/main.pdf` and
   `appendix/internet_appendix.pdf` build cleanly with the Data section drafted
   from verified audit facts only.
7. **Stage B COMPLETE** (user instruction 2026-07-13: proceed with all data):
   all 411 monthly files downloaded (82 GB on disk), each verified against its
   LFS sha256 at download time; manifest `data/manifests/raw_files.{json,parquet,csv}`.
   Post-hoc full re-verification + per-file audit (row counts, duplicates,
   timestamp bounds) running (`verify-download` + `audit-raw`).
8. **Literature review complete and massive:** 110 references verified at DOI
   level via OpenAlex/Crossref (two passes, 9 verification agents);
   `paper/sections/02_literature.tex` fully written (10 subsections organized
   around the contribution); documented novelty scan 2018–2026 supports
   positioning; manuscript compiles at 20 pages, 111 bib entries, 0 unresolved
   citations. See `docs/LITERATURE_MAP.md`.

9. **Stage C COMPLETE** (full-sample raw audit, 7.69B rows): perfect XNYS calendar
   match (0 missing/0 extra sessions, 0 weekend rows); DST confirmed clean (flat
   RTH share across calendar months); 100 OHLC violations total (1.3 per 10^8,
   concentrated 1993–95); 10,128 duplicate keys; 0 zero/negative volume. Daily
   ticker-day panel built (`data/metadata/daily/`, 411 files). 442k split-candidate
   ticker-days flagged (over-inclusive by design). 81,306 tickers, 221,957 spells
   (36% of tickers multi-spell → spell = identity unit). Coverage regime change in
   2020 (+10,965 entries, OTC expansion) identified as mandatory robustness axis.
   See DATA_AUDIT.md Stage C section, outputs/diagnostics/stage_c/.

10. **Stage D COMPLETE** (clean panel + universes + splits):
    * 6,944 high-confidence split events (4,819 fwd / 2,125 rev), ±1-day exclusion
      windows (20,662 ticker-days) — `outputs/diagnostics/stage_d/`;
    * monthly universes with strictly lagged screens (top500/1000/3000 by prior-month
      dollar volume; price/density screens; non-common ticker heuristic) —
      `data/metadata/universe_monthly.parquet` (4.44M rows);
    * clean minute panel `data/processed/minute/year=/month=/` (411 files, ~62 GB zstd):
      raw row total matches manifest EXACTLY (7,686,275,524); 10,128 duplicate rows
      merged per logged rule; sessions labelled with true XNYS closes (early-close
      truncation verified on 2025-12-24); flag_ohlc=100, split-window rows=4.30M;
      dedup verified (2020-03 spot check). RTH = 96.7% of rows.

11. **Stage E COMPLETE** (descriptive evidence): 9 JF-style figures (E1–E9, PDF+PNG,
    all with source CSVs in outputs/figures/data/) + Table I (sample construction by
    decade) + Table II (summary stats by decade, top-1000). Aggregates in
    outputs/diagnostics/stage_e/ (411 monthly minute-level aggregate files on the
    lagged top-1000 universe + Epps curves for 1996/2005/2015/2024).
    Headline descriptive facts (verified from saved outputs):
    * Extreme one-minute returns (|r|>1%) fell ~100× in frequency from the 1990s to
      the 2010s on the top-1000 universe, with sharp spikes in 2008 and 2020 —
      the paper's central tension in one figure (figE5).
    * The Epps effect has essentially disappeared: mean pairwise 1-minute correlation
      was ≈0.00 in 1996 (vs 0.16 at 30-min) but ≈0.21–0.30 in 2015/2024 with a nearly
      flat curve — cross-stock information incorporation is now sub-minute (figE8).
    * Intraday |return| and range shifted down decade by decade; volume concentrates
      increasingly at the close in recent decades (figE3).
    * CAVEAT for interpretation: pre-2001 minute returns embed 1/8–1/16 tick bounce;
      the 1990s "extreme" frequency partly reflects mechanical bid-ask bounce.
      Robustness planned: midpoint proxy, coarser sampling, range-based measures.

12. **Stage F baseline COMPLETE**: 1,854,384 real shock events (|z|≥6, isolated) +
    1,766,058 matched placebos, 410 months, lagged top-500 universe
    (outputs/estimates/events/, 410 files). Baseline result (Table IV, figs F1–F3,
    registry stage_f_baseline.json): **average abnormal propagation ≈ 0** —
    ΔΔbreadth between −1 and −3 ×10⁻⁴ across h∈{1..120} with day-block bootstrap
    SEs ≈ 1×10⁻⁵…1.5×10⁻⁴; no decade positive; weak insignificant positive gradient
    for |z|>12. Honest interpretation: isolated idiosyncratic shocks are absorbed.
    Falsification good news: pre-shock outcomes ≈ post placebo levels (no leakage).
    Next (protocol-specified): cumulative breadth through h, network-weighted
    receivers, and the common-shock (simultaneous-extreme) sample as separate object.

13. **Stage F2 COMPLETE — the paper's headline mechanism found**: neighbor−non-neighbor
    ΔΔ breadth = +64.0 (SE 1.9) ×10⁻⁴ at h=5 (t≈34), decaying to +49.6 at h=30;
    **tripled across eras** (+28 in 1992–99 / +30 in 2000–09 → +81 in 2010s / +90 in
    2020s). Market-wide cumulative remains null. Co-jump measure corrected to
    severe-synchronization (>10% of names): crisis spikes 2008/2020; severity 9.3%
    (2008) / 6.4% (2020) vs 3.5% calm. Placebo-network falsification passes (−2.7±2.8).
14. **Robustness battery (Table VIII)**: null + network channel stable across
    post-decimalization, mid-day, ex-announcement windows, calm/crisis, |z|≥8/12,
    ex-non-common, month-cluster bootstrap. Network diff declines with magnitude
    (+64→+34) — documented.
15. **IRFA submission package** (outputs/release/): manuscript_irfa.pdf (elsarticle,
    38 pp, 0 unresolved refs, elsarticle-harv bib), highlights.pdf, cover_letter.pdf,
    online_appendix.pdf, submission_checklist.md. All numbers macro-generated
    (48 macros). Provenance framed as Finnhub.io-sourced aggregation (user directive).

## Key findings (verified)

- Schema uniform: `timestamp` (ns, UTC, bar-start), OHLC (USD, **unadjusted**),
  `volume` (shares, integer-valued), `ticker`. No nulls.
- Timestamps are true UTC; DST handled correctly (09:30 ET session start maps to
  13:30 UTC in June, 14:30 UTC in December).
- Zero OHLC violations in 58.8M pilot bars; 14 benign duplicate pairs (OTC only).
- **No zero-volume bars: missing minute = no trade.** Trade-conditional panel.
- Liquid names complete (390 bars/day); sparse tail is huge in 2025 (23k tickers,
  median 5.5 bars/day — OTC expansion).
- Delisted securities present (only 22–26% of 1992 tickers persist).
- Early-close days handled by data; sessions must be truncated by exchange calendar.
- Unscreened minute-return SD is outlier-dominated (splits/bad prints) ⇒
  corporate-action screens are prerequisites for variance-based measures.

## Quality control

- `uv run pytest`: 7/7 pass.
- Both LaTeX documents compile (TeX Live 2026).
- Figures validated for CVD safety (palette validator) + grayscale line styles.

## Unresolved issues / decisions requiring attention

1. **Data license unspecified** on the HF card (Finnhub-sourced). Research use with
   citation documented; public redistribution of derived *data* deferred until
   clarified. (DATA_AUDIT §1)
2. Venue scope of bars (consolidated vs single venue) unknown — Stage C probe planned.
3. Security-type classification requires an external reference or suffix heuristics.
4. Literature map has candidates only; verification pass (DOI-level) still to do.

## Next commands

```bash
# when download finishes:
PYTHONPATH=src uv run python -m intraday_fragility.cli verify-download
PYTHONPATH=src uv run python -m intraday_fragility.cli audit-raw   # fills manifest row counts
# then Stage C full raw audit scripts (04–07)
```