Mean-reversionKilled

Betting the after-hours price gap “snaps back” in 30 minutes

26.6% vs 73.4%

reversion accuracy vs just assuming it persists

In plain English

We assumed a price gap would close within half an hour; across 5,800 cases it usually didn’t, the gap tends to stick around, not snap back.

What it needed

the gap closes more than half the time

→

What it got

just 27%, the gap usually sticks, it doesn’t close

Why it's dead

The mark-vs-oracle basis on HIP-3 equity perps doesn't revert, it persists. The signal was directionally backwards, fully powered.

The detail

n=5,814 events across 12 instruments / 4 asset classes. Binary 30-min reversion accuracy was 0.266 against a naive-persistence baseline of 0.734, a −46.7 point gap. Robust to leave-one-out (every symbol-drop moved it <0.01) and to the locked sensitivity fork. A clean falsification, not a sample problem.

Kill date: 2026-06-09
Sample: n=5,814
Method: Pre-registered
Verdict: fully-powered falsification

Pre-registered before the data. Judged on a criterion locked in advance. Published whatever the result.

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