Q19 VR study PROVEN + Q20 eigenanalysis PROVEN (EVIDENCE#034/#035)

2026-08-20 05:19:09 +00:00
parent befcc33702
commit 6145cfeb62
10 changed files with 792 additions and 4 deletions
@@ -0,0 +1,37 @@
+{
+  "universe": "50-ETF trading panel",
+  "N_symbols": 71,
+  "T_days": 149,
+  "q_ratio": 2.1,
+  "mp_bound": 2.8571,
+  "n_signal_eigenvalues": 4,
+  "top_eigenvalues": [
+    31.815,
+    7.406,
+    4.4638,
+    3.7723,
+    2.8325,
+    2.198,
+    1.9641,
+    1.5672,
+    1.2612,
+    1.1654
+  ],
+  "top_pct_variance": [
+    44.8,
+    10.4,
+    6.3,
+    5.3,
+    4.0,
+    3.1,
+    2.8,
+    2.2,
+    1.8,
+    1.6
+  ],
+  "participation_ratio": 4.46,
+  "eigenvalues_for_80pct_var": 9,
+  "eigenvalues_for_90pct_var": 17,
+  "cumulative_var_top4": 66.8,
+  "cumulative_var_top10": 82.3
+}