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spb/wp29_uqo

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1{2  "task_id": "F6-conf-01",3  "feasibility": "complete",4  "feasibility_reason": null,5  "data_issues": [6    {7      "issue": "215 rows with empty DGS10 field (US market holidays)",8      "handling": "dropped before differencing, per TASK rule"9    },10    {11      "issue": "changes following a holiday span more than one trading day (e.g. Fri->Tue after Monday holidays)",12      "handling": "kept and attributed to weekday of t, per TASK rule; noted as limitation"13    },14    {15      "issue": "extreme changes (min -51 bp on 2009-03-18, QE1 announcement; max +25 bp); heavy tails",16      "handling": "kept (genuine market events); rank-based Kruskal-Wallis reported as sensitivity"17    },18    {19      "issue": "yields recorded to 0.01 pct, so changes are discretised at 1 bp",20      "handling": "none needed; noted"21    }22  ],23  "n_input_rows": {24    "DGS10.csv": 521725  },26  "n_analysed": 5001,27  "random_seed": null,28  "n_missing_rows": 215,29  "n_train": 2500,30  "n_test": 2501,31  "anova_f_stat": 0.2634657168,32  "anova_p_value": 0.9015060508,33  "effect_estimate": 0.0501700984,34  "effect_ci_low": -0.3193357757,35  "effect_ci_high": 0.4196759725,36  "baseline_metric": 4.8757041546,37  "model_metric": 4.8838415223,38  "conclusion": "no_detectable_effect",39  "effect_se_welch": 0.1883795554,40  "effect_df_welch": 1548.9581965108,41  "effect_p_welch": 0.7900247218,42  "effect_ci_method": "Welch two-sample t interval (Monday vs Tue-Fri), all changes",43  "sens_hac_effect_se": 0.1936007292,44  "sens_hac_effect_p": 0.7955256074,45  "sens_kruskal_H": 3.2450803566,46  "sens_kruskal_p": 0.5176806169,47  "sens_welch_anova_F": 0.2621528465,48  "sens_welch_anova_p": 0.9023065014,49  "sens_levene_W": 9.588190973,50  "sens_levene_p": 1.012e-07,51  "oos_rmse_ratio_model_over_baseline": 1.0016689626,52  "oos_rmse_unconditional_train_mean": 4.8751986529,53  "oos_dm_mean_loss_diff": 0.0794170112,54  "oos_dm_t": 1.8931519972,55  "oos_dm_p": 0.058337659,56  "train_weekday_means_bp": {57    "Monday": -0.0543478261,58    "Tuesday": -0.4054580897,59    "Wednesday": -0.2054263566,60    "Thursday": 0.0138339921,61    "Friday": 0.116831683262  },63  "n_changes_total": 500164}
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