jfm-identification
Use when the identification argument is the bottleneck for a Journal of Financial Markets (JFM) manuscript — causal effects on market quality, or what pins down a microstructure model. Stress-tests the design against JFM's microstructure-insider bar before exhibits are finalized.
Profile →npx skills add brycewang-stanford/Awesome-Journal-Skills --skill jfm-identification --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.
# Identification Strategy (jfm-identification) ## When to trigger - A causal claim about liquidity, spreads, depth, or price discovery rests on OLS + controls - An event study uses a window so wide that confounding news or contemporaneous market-wide shocks contaminate it - A market-structure change is exploited but the parallel-trends / no-anticipation logic is not argued - Reverse causality is live: liquidity and the regressor (volume, volatility, ownership) are jointly determined - A microstructure model is fit but it is unclear what *moment in the data* identifies the key parameter (PIN, lambda, adverse-selection share) ## The JFM identification bar JFM referees know that market-quality variables are **endogenous to almost everything** — volume, volatility, information arrival, and prices co-move mechanically. So the bar is high for any causal liquidity/price-impact claim, and the journal especially rewards designs built on **exogenous changes in market structure**. The credible JFM toolkit is design-based, not control-saturated. ### Branch A: Market-structure natural experiments (the JFM sweet spot) - **Canonical shocks:** decimalization, the SEC Tick-Size Pilot (2016-18), Reg
- When to trigger
- The JFM identification bar
- Branch A: Market-structure natural experiments (the JFM sweet spot)
- Branch B: Intraday / high-frequency event studies
- Branch C: Instruments for liquidity / order flow
- Branch D: Structural microstructure models
- Referee pushback mapped to the identification fix
- Separating mechanical from behavioral effects
- Worked vignette: the tick-size pilot (illustrative)
- Execution bridge (StatsPAI / Stata MCP)
- Checklist
- A catalog of clean market-structure shocks
- Anti-patterns
- Inference choices that travel with the design
What does the jfm-identification skill do?
Use when the identification argument is the bottleneck for a Journal of Financial Markets (JFM) manuscript — causal effects on market quality, or what pins down a microstructure model. Stress-tests the design against JFM's microstructure-insider bar before exhibits are finalized.
How do I install it?
Run `npx skills add brycewang-stanford/Awesome-Journal-Skills --skill jfm-identification --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.