Individual skill
jfm-robustness
Use when results may be sensitive to liquidity-measure choice, sample filters, microstructure noise, or inference for a Journal of Financial Markets (JFM) manuscript. Builds the design-based robustness ledger; it does not invent evidence or citations.
Journal-of-Financial-Markets-Skills/skills/jfm-robustness/SKILL.md
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# Robustness Strategy (jfm-robustness)
## When to trigger
- The headline holds with the chosen liquidity measure but you have not shown it survives alternatives
- Results may flip with a different sample period, asset universe, or filter rule
- Inference uses plain OLS standard errors on data that are autocorrelated and cross-correlated (panel of stocks over time)
- Microstructure noise (bid-ask bounce, stale quotes, discreteness) could be generating the effect
- A referee will ask "is this the mechanism or the measurement?" and you need each check mapped to a specific threat
## The JFM robustness ledger
JFM referees do not want a wall of robustness tables; they want **each check tied to a named threat** to the microstructure interpretation. Build the ledger threat-first.
