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1# EMPIRICAL_DESIGN.md23Working design document — expands as stages complete. Authoritative parameter values4live in `config/`. Protocol reference: project CLAUDE.md §§7–16.56## Objects of interest71. **Shocks:** idiosyncratic residual-return extremes (lagged conditional quantiles /8 robust SD multiples), separated by sign; volume, range, and illiquidity-proxy shocks.92. **Propagation outcomes:** breadth, speed (censoring-aware), intensity, amplification10 (ISAR), persistence, asymmetry, at horizons h ∈ {1,2,5,10,15,30,60,120} min within session.113. **Networks:** estimated strictly pre-shock (rolling/frozen windows): correlation,12 partial correlation, lead–lag, volatility spillover, sparse VAR/glasso; centrality roles.134. **Evolution:** flexible year effects first; era bins only as secondary presentation.1415## Identification strategy (threat: common information)16- Exclude scheduled macro windows from the idiosyncratic baseline.17- Isolation filters: low contemporaneous market/sector return, no simultaneous18 extreme in >2% of universe, leave-one-out factors.19- Placebo timing matched on stock, minute-of-day, volatility state.20- Permuted networks preserving degree/sector/size/liquidity.21- Negative controls: future network weights (falsification only), pre-shock outcomes.2223## Inference24Two-way clustering (source × date) as baseline; day-block bootstrap for25distribution-level statements; randomization inference for event studies;26multiple-testing corrections within outcome families.2728## Status29- [x] Stage A pilot audit (2026-07-13)30- [ ] Stage B full download — in progress31- [ ] Stage C full raw audit32- [ ] Stage D clean panels33- [ ] Stage E descriptive evidence34- [ ] Stage F shocks & propagation35- [ ] Stage G paper36