jfm-empirical-design
Use when the market-data design and microstructure measurement are the bottleneck for a Journal of Financial Markets (JFM) manuscript — TAQ/order-book cleaning, liquidity and price-impact construction, sample filters. Hardens measurement; it does not invent evidence or citations.
Profile →npx skills add brycewang-stanford/Awesome-Journal-Skills --skill jfm-empirical-design --agent claude-code
Same command for any agent — swap --agent for codex, cursor, copilot.
Weekly change comes from our own snapshots, not the repository page — it measures attention, not adoption.
# Empirical Design & Microstructure Measurement (jfm-empirical-design) ## When to trigger - Liquidity, spread, depth, or price-impact measures are being constructed and the choices are not pinned down - TAQ / order-book data needs cleaning (trade-quote matching, outlier filters, cancellations) and the rules are ad hoc - The sample (universe, period, asset class, venue) is chosen without a documented inclusion/exclusion rule - A daily-frequency liquidity proxy (Amihud, Roll, CRSP-based) is standing in for an intraday claim - A referee will ask whether the result is an artifact of the measure or the filter, not a real market effect ## Microstructure measurement choices that JFM referees scrutinize JFM is the journal where **measurement is the contribution as often as identification is**. Insiders know each liquidity construct embeds assumptions; the design must name them. | Object | Common measures | The trap to disclose | |--------|-----------------|----------------------| | Spread | quoted, effective, realized; %/cents | effective vs. quoted matters when trades execute inside the quote | | Depth / quantity | quoted depth, order-book imbalance, Kyle's lambda | depth at touch vs. dee
- When to trigger
- Microstructure measurement choices that JFM referees scrutinize
- Designing the sample and data pipeline
- Worked pipeline (illustrative, equity TAQ)
- Asset-class measurement notes
- Execution bridge (StatsPAI / Stata MCP)
- Checklist
- The diurnal pattern is not optional
- Documenting the sample-construction funnel
- Anti-patterns
- Where measurement becomes the contribution
- Output format
What does the jfm-empirical-design skill do?
Use when the market-data design and microstructure measurement are the bottleneck for a Journal of Financial Markets (JFM) manuscript — TAQ/order-book cleaning, liquidity and price-impact construction, sample filters. Hardens measurement; it does not invent evidence or citations.
How do I install it?
Run `npx skills add brycewang-stanford/Awesome-Journal-Skills --skill jfm-empirical-design --agent claude-code` — it drops the skill into your project so the agent can pick it up. Swap the --agent value for codex, cursor or copilot if you use one of those.
Where does this skill come from?
From brycewang-stanford/Awesome-Journal-Skills, a repository with 909 stars. We read it straight from the repository tree rather than a submitted listing, so what you see here is what is actually published.
Is a popular skill a good skill?
Not necessarily. Stars measure attention, not adoption — a repository can trend for a week and be abandoned. That is why we show the weekly change from our own snapshots next to the total, instead of a single flattering number.