# EMPIRICAL_DESIGN.md

Working design document — expands as stages complete. Authoritative parameter values
live in `config/`. Protocol reference: project CLAUDE.md §§7–16.

## Objects of interest
1. **Shocks:** idiosyncratic residual-return extremes (lagged conditional quantiles /
   robust SD multiples), separated by sign; volume, range, and illiquidity-proxy shocks.
2. **Propagation outcomes:** breadth, speed (censoring-aware), intensity, amplification
   (ISAR), persistence, asymmetry, at horizons h ∈ {1,2,5,10,15,30,60,120} min within session.
3. **Networks:** estimated strictly pre-shock (rolling/frozen windows): correlation,
   partial correlation, lead–lag, volatility spillover, sparse VAR/glasso; centrality roles.
4. **Evolution:** flexible year effects first; era bins only as secondary presentation.

## Identification strategy (threat: common information)
- Exclude scheduled macro windows from the idiosyncratic baseline.
- Isolation filters: low contemporaneous market/sector return, no simultaneous
  extreme in >2% of universe, leave-one-out factors.
- Placebo timing matched on stock, minute-of-day, volatility state.
- Permuted networks preserving degree/sector/size/liquidity.
- Negative controls: future network weights (falsification only), pre-shock outcomes.

## Inference
Two-way clustering (source × date) as baseline; day-block bootstrap for
distribution-level statements; randomization inference for event studies;
multiple-testing corrections within outcome families.

## Status
- [x] Stage A pilot audit (2026-07-13)
- [ ] Stage B full download — in progress
- [ ] Stage C full raw audit
- [ ] Stage D clean panels
- [ ] Stage E descriptive evidence
- [ ] Stage F shocks & propagation
- [ ] Stage G paper