Research r6 simulate - #25
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The dp/p_c result was a correlation on five points, and dp/p_c is large for exactly the two cheapest stocks in the sample. Plenty of things that separate a $30 stock from a $500 one would give the same ordering. Simulation holds everything else fixed. zi_paper implements the paper's model, the austere one, on our matching engine, and runs it at each stock's measured alpha, mu, delta, sigma and its real tick. Nothing about a cheap stock is present except four flow parameters and dp. The tick alone reproduces 81% of the observed inflation, the same fraction for both constrained stocks. Simulated inflation is perfectly rank-ordered by dp/p_c, rho = 1.000, p = 0.017, and inside a simulation that is much stronger than it was on real data because there is no confounder left. The remaining 19% is real and stays in the writeup. So does the small-tick ratio being 0.66 to 0.83 rather than 1: the simulation runs consistently below the mean field prediction and that is not rounded to agreement. Separate tool rather than a flag on zi_sim. zi_sim uses empirical sizes and an empirical placement histogram, so it is a better imitation of a market and a worse test of this paper. Mixing them would let a difference in the model look like a difference in the law. The width scan earned its place. Deposition intervals are semi-infinite and have to be truncated somewhere; if the answer moves with the truncation the boundary is setting the spread. The first version truncated to a fixed price box and scanned 32.23, 32.23, 32.23, 0.00, 32.23. Non-monotonic in the width is a bug, not a boundary effect: the book could pin its best bid against the top of the box, leaving the sell interval empty so no sell could ever arrive again. An absorbing one-sided state reporting a spread of zero. The box also made buy and sell rates depend on where the price sat inside it, breaking the model's equal-rates assumption. Anchoring each interval to the opposing quote fixes both. Without the scan the fixed-box version would have produced a plausible-looking table. Parameters come from farmer2005.measure_all rather than being measured again, so a difference in measurement cannot masquerade as a difference in the model.
368 lines to 315. The detail that got cut is in docs/ already, so the readme was repeating itself. Merged the benchmark commentary into two points instead of five, folded the crash-safety walkthrough into the paragraph that explains why the independent verifier is the part that matters, and collapsed the research section now that FARMER_2005.md carries the caveats. Test count was stale, 186 to 191. Gitignore __pycache__ and pdfs; the paper is not mine to redistribute.
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