# Shock definitions (CLAUDE.md §8). Placeholder values pending Stage F calibration.
residualization:
  market_proxy: value_weighted_universe_leave_one_out
  sector_proxy: sector_leave_one_out          # requires security master sector map
  seasonality: minute_of_day_lagged_63d
thresholds:
  quantiles: [0.99, 0.995, 0.999]
  robust_sd_multiples: [4, 5, 6]
horizons_minutes: [1, 2, 5, 10, 15, 30, 60, 120]
isolation:
  max_abs_market_return_z: 1.0
  max_simultaneous_shock_share: 0.02
  exclude_macro_windows: true