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jfm-empirical-design

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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.

When to use

• TAQ/order-book cleaning
• liquidity and price-impact construction
• sample filters
• trade-quote matching
• outlier filters
• cancellations
• inclusion/exclusion rules
• daily-frequency liquidity proxy validation

When not to use

• inventing evidence
• inventing citations

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