LITERATURE_MAP.md
Verification protocol (CLAUDE.md §21.3): every entry below was verified against
OpenAlex (with Crossref for edge cases) on 2026-07-13: title, authors, year,
journal, volume/issue/pages, DOI. Verification logs: agent reports of 2026-07-13
(4 parallel verification passes). Status VERIFIED = citable; the claim each
citation supports in the manuscript must still match the paper's actual content
(summaries below are abstract-derived).
Streams: 1 liquidity risk · 2 commonality · 3 price discovery · 4 HFT/AT · 5 fragility/flash · 6 cross-impact · 7 spillover networks · 8 lead–lag · 9 intraday jumps · 10 Hawkes · 11 HF factor models · 12 fragmentation · 13 ETF/passive · 14 systemic networks · 15 ML microstructure · 16 OHLCV measurement · M methods
Verified references (45)
| Key | Citation | Stream | Main result / relevance | Diff. from our paper |
|---|---|---|---|---|
| chordia2000commonality | Chordia, Roll & Subrahmanyam (2000), JFE 56(1), 3–28. DOI 10.1016/S0304-405X(99)00057-4 | 2 | Individual-stock liquidity co-moves with market/industry liquidity | Daily quotes, 1992 cross-section; no propagation dynamics |
| hasbrouck2001common | Hasbrouck & Seppi (2001), JFE 59(3), 383–411 | 2,11 | Common factors in returns/order flow; order-flow commonality drives return commonality | Dow 30 only, 1994; contemporaneous factors |
| amihud2002illiquidity | Amihud (2002), JFM 5(1), 31–56 | 1,16 | ILLIQ price-impact proxy; illiquidity priced | Our minute-level ILLIQ variant is a direct descendant |
| corwin2012simple | Corwin & Schultz (2012), JF 67(2), 719–760 | 16 | High–low spread estimator validated vs TAQ | Justifies OHLC-based liquidity proxies |
| roll1984simple | Roll (1984), JF 39(4), 1127–1139 | 16 | Effective spread from return autocovariance | Bid-ask bounce contaminates minute returns of sparse names |
| pastor2003liquidity | Pástor & Stambaugh (2003), JPE 111(3), 642–685 | 1 | Aggregate liquidity is a priced state variable | Monthly reversal-based factor |
| acharya2005asset | Acharya & Pedersen (2005), JFE 77(2), 375–410 | 1 | Liquidity-adjusted CAPM; liquidity co-risks priced | Theoretical pricing frame for fragility states |
| karolyi2012understanding | Karolyi, Lee & van Dijk (2012), JFE 105(1), 82–112 | 2 | Commonality higher in downturns/volatile states, demand-side driven | Country-level, daily; motivates state-dependence |
| parkinson1980extreme | Parkinson (1980), JB 53(1), 61–65 | 16 | Range-based variance estimator | Basis for our range measures |
| garman1980estimation | Garman & Klass (1980), JB 53(1), 67–78 | 16 | OHLC minimum-variance volatility estimator | Basis for our range measures |
| goyenko2009liquidity | Goyenko, Holden & Trzcinka (2009), JFE 92(2), 153–181 | 16 | Low-frequency liquidity proxies track TAQ benchmarks | Validates proxy-based design |
| hendershott2011algorithmic | Hendershott, Jones & Menkveld (2011), JF 66(1), 1–33 | 4 | AT narrows spreads, improves liquidity (autoquote IV) | Normal-times liquidity, 2003 event |
| kirilenko2017flash | Kirilenko, Kyle, Samadi & Tuzun (2017), JF 72(3), 967–998 | 5 | HFT didn't trigger but amplified Flash Crash selling | Single episode, futures audit trail |
| menkveld2013high | Menkveld (2013), JFM 16(4), 712–740 | 4 | Modern HFT market maker: spreads −50%, inventory risk management | Single firm/venue |
| brogaard2014high | Brogaard, Hendershott & Riordan (2014), RFS 27(8), 2267–2306 | 3,4 | HFT trades toward permanent prices, aids discovery | NASDAQ-flagged subset, 2008–09 |
| budish2015high | Budish, Cramton & Shim (2015), QJE 130(4), 1547–1621 | 4,12 | Latency arms race is structural; batch auctions remedy | Mechanism design; motivates speed-of-propagation focus |
| ohara2015high | O'Hara (2015), JFE 116(2), 257–270 | 4 | HF microstructure changes meaning of liquidity/informed trading | Survey |
| bendavid2018etfs | Ben-David, Franzoni & Moussawi (2018), JF 73(6), 2471–2535 | 13 | ETF ownership raises nonfundamental volatility via arbitrage channel | One propagation channel we condition on |
| madhavan2012exchange | Madhavan (2012), FAJ 68(4), 20–35 | 12,5 | Fragmentation measures explain Flash Crash ETF damage | Episode-focused |
| boehmer2021algorithmic | Boehmer, Fong & Wu (2021), JFQA 56(8), 2659–2688 | 4 | AT improves liquidity/efficiency but raises short-term volatility, 42 markets | Country-level averages, 2001–2011 |
| hasbrouck2013low | Hasbrouck & Saar (2013), JFM 16(4), 646–679 | 4 | Low-latency activity improves short-horizon market quality | Message-data measure, 2007–08 |
| baldauf2020high | Baldauf & Mollner (2020), JF 75(3), 1495–1526 | 4 | Theory: speed narrows spreads but deters information production | Model; we test time-series implications |
| diebold2014network | Diebold & Yılmaz (2014), J.Econometrics 182(1), 119–134 | 7,14 | FEVD-based connectedness networks | Daily volatilities, ~dozen firms |
| diebold2012better | Diebold & Yılmaz (2012), IJF 28(1), 57–66 | 7 | Directional spillover index (generalized FEVD) | Asset-class level, daily |
| billio2012econometric | Billio, Getmansky, Lo & Pelizzon (2012), JFE 104(3), 535–559 | 14 | Granger networks among financial institutions | Monthly returns, finance sector |
| barigozzi2019nets | Barigozzi & Brownlees (2019), JAE 34(3), 347–364 | 7,10 | LASSO estimation of Granger + partial-correlation networks | Daily volatilities, blue chips |
| acemoglu2012network | Acemoglu et al. (2012), Econometrica 80(5), 1977–2016 | 14 | Network asymmetry lets micro shocks aggregate | Theory, input-output |
| aitsahalia2015modeling | Aït-Sahalia, Cacho-Diaz & Laeven (2015), JFE 117(3), 585–606 | 10,7 | Mutually exciting jumps model contagion | Index-level, international |
| bacry2015hawkes | Bacry, Mastromatteo & Muzy (2015), MML 1(1), 1550005 | 10 | Survey of Hawkes in finance | Methods reference |
| hawkes1971spectra | Hawkes (1971), Biometrika 58(1), 83–90 | 10 | Self/mutually exciting point processes | Foundational |
| elliott2014financial | Elliott, Golub & Jackson (2014), AER 104(10), 3115–3153 | 14 | Integration/diversification non-monotone for cascades | Theory, cross-holdings |
| forbes2002no | Forbes & Rigobon (2002), JF 57(5), 2223–2261 | 7 | Correlation-based contagion tests biased by volatility | Country indices; motivates our conditional design |
| hautsch2015financial | Hautsch, Schaumburg & Schienle (2015), RoF 19(2), 685–738 | 14 | Realized systemic risk beta via tail-risk networks | Financial firms only |
| bekaert2014global | Bekaert et al. (2014), JF 69(6), 2597–2649 | 7 | Crisis contagion beyond fundamentals = wake-up call | Country-industry, weekly |
| lo1990contrarian | Lo & MacKinlay (1990), RFS 3(2), 175–205 | 8 | Contrarian profits from cross-autocorrelation; size-based lead–lag | Weekly returns |
| hou2007industry | Hou (2007), RFS 20(4), 1113–1138 | 8 | Lead–lag is intra-industry information diffusion | Weekly/monthly |
| andersen1997intraday | Andersen & Bollerslev (1997), JEF 4(2–3), 115–158 | 9,11 | Intraday volatility periodicity; deseasonalization | Foundation of our minute-of-day standardization |
| lee2008jumps | Lee & Mykland (2008), RFS 21(6), 2535–2563 | 9 | Intraday jump detection test | Single-asset jumps; we study cross-asset spread |
| barndorffnielsen2004power | Barndorff-Nielsen & Shephard (2004), JFEc 2(1), 1–37 | 9 | Bipower variation separates jumps from diffusion | Estimator we adapt |
| aitsahalia2009testing | Aït-Sahalia & Jacod (2009), Ann.Stat. 37(1), 184–222 | 9 | Jump test from power variations at two frequencies | Methods |
| gu2020empirical | Gu, Kelly & Xiu (2020), RFS 33(5), 2223–2273 | 15 | ML for risk premia; OOS discipline standard | Monthly premia; we import evaluation discipline |
| easley2012flow | Easley, López de Prado & O'Hara (2012), RFS 25(5), 1457–1493 | 5,16 | VPIN toxicity metric; Flash Crash warning claim | Volume-clock; contested |
| andersen2014vpin | Andersen & Bondarenko (2014), JFM 17, 1–46 | 5,16 | VPIN's power mechanical (volatility proxy) | Cautionary for proxy-based fragility claims |
| epps1979comovements | Epps (1979), JASA 74(366), 291–298 | 8,16 | Correlations vanish at short intervals (Epps effect) | Baseline high-frequency comovement fact |
| jorda2005estimation | Jordà (2005), AER 95(1), 161–182 | M | Local projections for impulse responses | Our workhorse estimator |
Novelty scan (2018–2026, documented 2026-07-13)
OpenAlex searches (intraday contagion equities; high-frequency spillover cross-section; minute-level comovement; co-jumps; lead-lag networks; Epps; mini flash crashes) found no study combining (i) minute frequency, (ii) the full U.S. equity cross-section, and (iii) a 30+ year sample tracing the evolution of shock propagation. Closest works and differences:
| Work | Difference |
|---|---|
| Bennett, Cucuringu & Reinert (2022), Machine Learning 111(12), 4497–4538 | Lead–lag network detection methods, short recent sample |
| Baruník & Křehlík (2018), JFEc 16(2), 271–296 | Frequency-domain connectedness, few institutions, daily |
| Bollerslev, Li, Patton & Quaedvlieg (2020), Econometrica 88(4), 1515–1551 | Realized semicovariance measurement, S&P 500, forecasting focus |
| Braun et al. (2018), PLoS ONE 13(5), e0196920 | Mini flash crash recovery, single-stock events |
| Buccheri et al. (2019), Quantitative Finance 20(2), 243–254 | Epps effect theory |
| Chang, Pienaar & Gebbie (2021), Physica A 583, 126329 | Epps sampling schemes, few assets |
Positioning caveat: claim novelty only as "to our knowledge, based on the documented search of 2026-07-13"; re-run the scan before submission.
Verified references — second pass (65 additional, 2026-07-13)
All verified at DOI level (OpenAlex; Crossref fallback after OpenAlex daily budget exhaustion mid-pass). Total verified references: 110. Print-issue years used where registries indexed online-first dates (Chinco et al. 2019, Boudt–Petitjean 2014, Lahaye et al. 2011, Bajgrowicz et al. 2016, Menkveld–Yueshen 2019, Lucca–Moench 2015, Foucault et al. 2016/2017, Aquilina et al. 2022, Weller 2018, Brunnermeier–Pedersen 2009, Coval–Stafford 2007, Greenwood et al. 2015, Aït-Sahalia–Xiu 2019, Easley et al. 2021, Da–Shive 2018).
Contagion theory / fire sales / ownership (12): kyle2001contagion, kodres2002rational, yuan2005asymmetric, brunnermeier2009market, cespa2014illiquidity, coval2007asset, greenwood2011stock, anton2014connected, lou2012flow, greenwood2015vulnerable, duarte2021fire, glasserman2016contagion.
Market structure & HFT deep (13): biais2015equilibrium, foucault2016news, foucault2017toxic, aquilina2022quantifying, weller2018does, vankervel2019high, chaboud2014rise, menkveld2016economics, hendershott2011automation, ohara2011fragmentation, bessembinder2003trade, chordia2008liquidity, chordia2011recent.
Co-jumps / macro announcements / volatility transmission (15): bollerslev2008risk, das2004systemic, lahaye2011jumps, caporin2017systemic, bajgrowicz2016jumps, christensen2014fact, brogaard2018high, menkveld2019flash, andersen2003micro, andersen2007real, lucca2015pre, savor2013how, engle1990meteor, king1990transmission, hamao1990correlations.
Economic links / lead-lag / liquidity dynamics (13): cohen2008economic, menzly2010market, barrot2016input, herskovic2018networks, chinco2019sparse, huth2014high, hameed2010stock, nagel2012evaporating, comertonforde2010time, coughenour2004common, andrade2008trading, hasbrouck1991measuring, boudt2014intraday.
HF factor models / ML / ETF-passive (12): bollerslev2011tails, bollerslev2016roughing, pelger2020understanding, aitsahalia2019principal, sirignano2019universal, easley2021microstructure, baltussen2019indexing, da2018exchange, israeli2017dark, glosten2021etf, coles2022index, bollerslev2020realized.
Full metadata (volume/issue/pages/DOI + abstract-based summaries) in the agent
verification reports of 2026-07-13 and in paper/bibliography/references.bib.
Verification pass of 2026-10-17 (editorial-board revision)
All 110 entries above re-verified by DOI resolution on Crossref
(outputs/diagnostics/bibliography/crossref_check_existing.json): title similarity > 0.85 for
110/110, first author and year consistent (diacritics/online-first differences only). Five entries
no longer cited after pruning the literature review were removed from references.bib
(gu2020empirical, sirignano2019universal, easley2021microstructure, jorda2005estimation,
hasbrouck1991measuring). Nineteen entries added, each verified on Crossref
(crossref_new_candidates.json), DOI recorded in the .bib:
| Key | Citation | Stream | Use in the paper |
|---|---|---|---|
| toth2009epps | Tóth & Kertész (2009), QF 9(7), 793–802 | 8,16 | Epps decline 1993–2003; denser trading explains only part |
| reno2003closer | Renò (2003), IJTAF 6(1), 87–102 | 16 | Asynchronous trading reproduces Epps |
| hayashi2005covariance | Hayashi & Yoshida (2005), Bernoulli 11(2), 359–379 | 16 | Estimator robust to asynchronicity (recommended extension) |
| zhang2011estimating | Zhang (2011), J. Econometrics 160(1), 33–47 | 16 | Epps and microstructure noise |
| lo1990nonsynchronous | Lo & MacKinlay (1990), J. Econometrics 45(1–2), 181–211 | 8 | Nonsynchronous trading |
| scholes1977estimating | Scholes & Williams (1977), JFE 5(3), 309–327 | 11 | Beta bias from nonsynchronous data |
| harris1991stock | Harris (1991), RFS 4(3), 389–415 | 16 | Price discreteness/clustering |
| hansen2006realized | Hansen & Lunde (2006), JBES 24(2), 127–161 | 16 | Microstructure noise in HF second moments |
| jacod2009testing | Jacod & Todorov (2009), Ann. Stat. 37(4), 1792–1838 | 9 | Formal common-jump test |
| gilder2014cojumps | Gilder, Shackleton & Taylor (2014), JBF 40, 443–459 | 9 | Co-jumps among U.S. stocks |
| bollerslev2013jump | Bollerslev, Todorov & Li (2013), J. Econometrics 172(2), 307–324 | 9 | Jump tails, extreme dependence |
| bormetti2015modelling | Bormetti et al. (2015), QF 15(7), 1137–1156 | 9,10 | Hawkes factor model of systemic co-jumps |
| calcagnile2018collective | Calcagnile et al. (2018), QF 18(2), 237–247 | 5,9 | Collective synchronization events, HF era |
| dungey2018testing | Dungey et al. (2018), J. Econometrics 202(1), 18–44 | 10 | Mutually exciting jumps at HF |
| boudt2011robust | Boudt, Croux & Laurent (2011), JEF 18(2), 353–367 | 9 | Robust periodicity for jump detection |
| christensen2022drift | Christensen, Oomen & Renò (2022), J. Econometrics 227(2), 461–497 | 9 | Drift bursts vs jumps |
| bollerslev2018volume | Bollerslev, Li & Xue (2018), REStud 85(4), 2005–2041 | 9 | Announcements, volume, volatility |
| bessembinder2016liquidity | Bessembinder et al. (2016), JFE 121(1), 142–166 | 4 | Resiliency around predictable trades |
| johnson2013abrupt | Johnson et al. (2013), Sci. Rep. 3, 2627 | 5 | Sub-second fractures beyond human response |
Total after revision: 124 cited references, 124/124 verified. Novelty scan to be repeated before submission.