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WP47: project skeleton, brief, pre-registered design, external calendars, FinData client

Simon-Pierre Boucher committed (Nov 9, 2026) Browse files

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1 +# CLAUDE.md — UQO Research WP47: The Yield Curve at One-Minute Resolution
2 +
3 +**Project ID:** `wp47_uqo` · **Folder (laptop):** `~/Desktop/wp47-nelson-siegel-intraday` · **Compute:** M3U96a `~/wp47_uqo`
4 +**Working title:** *The Yield Curve at One-Minute Resolution: Nelson–Siegel Factor-Mimicking Portfolios from Treasury Futures*
5 +**PI:** Simon-Pierre Boucher (UQO) · **Language:** English · Brief: `docs/BRIEF.md` · Design: `docs/DESIGN.md`
6 +
7 +## Core idea
8 +Daily Nelson–Siegel (NS) factors (level, slope, curvature) are projected on the daily returns of six Treasury futures
9 +(ZT, ZF, ZN, TN, US, UB) to obtain factor-mimicking portfolios. Applying the portfolio weights to one-minute futures returns
10 +yields minute-by-minute NS factor changes over the 23-hour CME session, 2008–2026. We validate the construction out of
11 +sample, then study (i) the intraday anatomy of level/slope/curvature around FOMC, CPI and Employment releases, (ii) the
12 +intraday periodicity and realized (co)variation of the factors, (iii) HAR forecasts of factor realized variance.
13 +
14 +## Hard rules
15 +1. Never fabricate data, estimates, references, DOIs or p-values. Every number in the paper comes from code in `results/`.
16 +2. Pre-registration: `docs/DESIGN.md` §Hypotheses is frozen (git tag `design-frozen`) before any event-study or forecast
17 + result is inspected. Validation (§H1) is inspected first by construction.
18 +3. Data: FinData OS (FirstRate Data, private licence) is the only intraday source. No raw bars in git, logs, figures or paper
19 + (aggregates only). Key: `~/findata-secrets/api-key-wp47.txt` (node) / `~/Desktop/Cluster/secrets/findata/api-key-wp47.txt`
20 + (laptop) or `$FINDATA_API_KEY`; never logged.
21 +4. Public data (FRED CMT yields, Fed GSW parameters, FOMC/BLS/ALFRED calendars) are kept in `data/external/` with download
22 + timestamps (`DOWNLOADED_AT.txt`).
23 +5. Units: yields and factors in percentage points; futures returns in percent; realized variances in (pp)² per day.
24 +6. Remote-first for computation (M3U96a), laptop = LaTeX + mirror. `rsync` code to the node, results back.
25 +7. No external publication (SSRN, web) without explicit authorization. Private `gitsrv` mirror is routine.
26 +
27 +## Layout
28 +`src/wp47/` (library) · `scripts/NN_*.py` (pipeline, in order) · `data/external/` (public inputs) · `data/cache/` (node only,
29 +Parquet, gitignored) · `results/{metrics,tables,figures}` · `paper/` (LaTeX, template Recherche-UQO) · `docs/`
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1 +# Source: ALFRED release page rid=10 (Consumer Price Index, U.S. Bureau of Labor Statistics), "Release Dates" filter list,
2 +# extracted 2026-11-09 via Tavily from https://alfred.stlouisfed.org/release?rid=10 . Includes revision releases (e.g. February seasonal-factor updates).
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1 +# Source: ALFRED release page rid=50 (Employment Situation, U.S. Bureau of Labor Statistics), "Release Dates" filter list,
2 +# extracted 2026-11-09 via Tavily from https://alfred.stlouisfed.org/release?rid=50 . Includes benchmark/revision releases
3 +# (e.g. 2024-08-21 preliminary benchmark, 2024-01-10, 2013-05-06, 2012-12-12) which are not 08:30 Employment Situation releases.
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