37 lines
573 B
JSON
37 lines
573 B
JSON
{
|
|
"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
|
|
} |