---
project: anomaly-atlas
document: expD_leadlag_scan/analysis
author: Simon-Pierre Boucher
contact: contact@spboucher.ai
data_source: hfmarketdata.io
created: 2026-08-12
modified: 2026-08-12
status: reviewed
---

# Analysis — expD_leadlag_scan

Run: `results/expD_leadlag_scan/20260812T070742Z/results.json` (protocol
pre-specified; alignment primitives §8.1-gated — the gate caught an
interval-freshness bug before real data). All conclusions Level 0.

## 1. The decay measurement (H07/H08 scan half)

Both-fresh leads at +1min, 2006-2007 → 2014-2015:

| Pair family | 2006-2007 | 2014-2015 |
|---|---|---|
| SPY → sector ETFs | +0.07 .. **+0.148** (all FDR) | −0.02 .. +0.028 |
| SPY → mega-caps | +0.01 .. +0.03 (mostly FDR) | −0.015 .. +0.046 |
| SPY → sparse names | +0.09 .. +0.12 | +0.06 .. +0.075 (still FDR) |

Minute-scale market→component diffusion was REAL and large in 2006-2007 on
synchronized samples, and collapsed by 2014-2015 — direct, open-data
confirmation of the Chordia–Roll–Subrahmanyam convergence story at the 1min
floor. The residual 2014-2015 structure is statistically detectable (huge n)
but an order of magnitude smaller; several cells survive FDR, so the
pre-registered expected-negative clause for H08 is formally falsified —
recorded as such and handed to expF (costs will likely be decisive).

## 2. ES ↔ SPY (H09 preview)

corr(SPY_{t−1}, ES_t) = **−0.032** both-fresh, FDR-significant, and
identical to 4 decimals across all three continuous-futures splice variants
— the built-in robustness check held. Sign and size are consistent with
minute-scale basis reversion rather than one-way price discovery (the +1
ES-leads direction is ≈0). A genuine structural candidate for expF/candidate
work; economically tiny.

## 3. SPX → SPY: content staleness ≠ print staleness (H11 confirmed at scan level)

SPY leads SPX by **+0.132** on the both-fresh subsample, with artifact share
≈ 0 — SPX "prints" every minute (fresh_frac 0.996), so synchronizing on
print times removes nothing: the staleness lives INSIDE the index
computation (Fisher 1966, measured live). Confirms candidate 03's design:
the correction must model constituent staleness, not print gaps.

## 4. A T3 refinement for the taxonomy

expB showed LOCF joins *inflate* leads for mid-stale names (+0.047). expD
adds the other arm: for ultra-stale names the LOCF zero-return mass *dilutes*
the measured lead (HTD: raw +0.048 vs fresh +0.073). The non-synchronicity
artifact is **non-monotone in staleness** — naive joins can hide as well as
manufacture lead-lag. Added to T3.

## 5. Verdicts

Clause (ii) falsified (tiny FDR residuals remain in 2014-2015); clauses
(iii), (iv), (v) held. Hand-off to expF: the 2014-2015 FDR survivors, the
ES→SPY basis effect, and the decay curve. expE (calendar) is next; its
budget is pre-counted in research_gaps.md.