Bid-ask bounce, or real mean reversion?

mixedforecast

Question

Whether the same-day return-reversal signal is mechanical bid-ask bounce or a real mean-reversion effect.

Verdict

1d — GENUINE — the signal survives measured on a single side (mid -0.29, bid -0.39, ask -0.27; touch retention 113%), so it is not bid-ask bounce. 2h — INCONCLUSIVE — the signal partly survives measured on a single side (mid -0.36, bid -0.30, ask -0.20; touch retention 71%). Some is bounce and some may be real; this test cannot apportion it. Return-based models stay blocked [at 2h].

In plain language (2 terms)

This site's own explanation of the words above. The verdict itself is published exactly as the research index records it and is not rewritten here.

touch retention: How much of a signal survives when it is measured on one side of the book alone instead of the midpoint. A signal that mostly vanishes was mostly bounce.
bid-ask bounce: A fake price wiggle caused by trades alternating between the buy price and the sell price. The item's value has not moved; only which side traded last has.

Population: Tradeable tier (median spread <= 15.0%), re-screened per panel.
Resolution: 1d and 2h panels, both reported separately -- the two resolutions disagree and neither is reconciled toward the other.
Cutoff: Development span only; sealed period (>= 2026-02-01) not read on either panel.
Baseline: Same-side (mid vs. bid vs. ask) decomposition -- tests whether the signal survives when measured on a single book side, not a fitted null.

Limitations

2h result is INCONCLUSIVE and reported as a result in its own right, not reconciled toward the 1d GENUINE answer.

Notes

REQUIRED NEGATIVE/INCONCLUSIVE RESULT for issue #130's index acceptance criterion. The 2h INCONCLUSIVE half is reported as a result in its own right rather than reconciled toward the 1d answer -- 'the two resolutions disagree, and that disagreement is reported as a result' (CONTEXT.md).

Source

Citation: po-research:bid-ask-bounce:40ac982e84c2c93c
Write-up: docs/research/bid-ask-bounce.md
Data: docs/research/bid-ask-bounce.json
Artifact: research-index.json v1 — sha256:cb3d976779a5cbcb4188039a8d26d5e558a2d844030a638c2f16fe5a8eb0a2fe
Build data cutoff: 2026-08-12
Issues: #41, #42, #45, #47, #57