Commit
N-C1x, N-A3, N-D1x, L1-F2 (WP07-ECON-19, EDIT-14, DATA-05, ECON-04, DATA-12): dividend-inclusive returns, cap-weighted implied correlation, lake magnet panel, inline numbers, batch-N tables
- scripts/26 (784 statements): split+dividend 1-day total returns for 48 stocks (BRK_B absent); total vs 5-minute simple return +0.73 bps/day on 187,911 stock-days (corr 0.88); ATM IV h=5 Sharpe log 0.54 / simple 0.89 / total 0.84, net SR 10 bps 0.34 / 0.69 / 0.64 -> calendar_time_total_return.csv. - scripts/28 (464 statements + 29 fundamentals calls): capitalization weights (GOOGL shares for GOOG; 9.5% of constituent-days back-filled before 2012); cap-weighted implied correlation is degenerate (38.7% of days clipped at 0, mean 0.098 vs 0.246, largest weight 35%): headline cell t 0.01/-0.01/-0.21 (log) vs 1.53/2.48/1.81 equal-weight -> rq3_cap_weighted*.csv. - scripts/27 (651 statements): lake magnet panel, 27,139 ticker-days, ten underlyings, exact sides; observed 46.6% vs null 46.8% [46.3, 47.3], p 0.53; shipped rows NOT reproduced (108/10,480 within 1e-6; vintage differs). - findata.py: missing symbol-year partitions return empty results. - scripts/31: 325 inline numbers -> results/inline_numbers.json, paper/macros.tex; tables_e: tab_total_return, tab_cap_weighted, tab_magnet_lake, tab_rq4_v2, tab_rq5_v2 (+ Panel C), tab_records_used. Co-Authored-By: Claude Fable 5.1 <noreply@anthropic.com>
added
paper/macros.tex
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| 1 | +% Generated by scripts/31_inline_numbers.py — one macro per prose number (do not edit by hand). | |
| 2 | +% Values and sources: results/inline_numbers.json | |
| 3 | +\newcommand{\numatmIvHfiveAnnReturnPctDiff}{8.81} | |
| 4 | +\newcommand{\numatmIvHfiveAnnReturnPctLog}{13.59} | |
| 5 | +\newcommand{\numatmIvHfiveAnnReturnPctSimple}{22.40} | |
| 6 | +\newcommand{\numatmIvHfiveBreakevenCostBpsDiff}{17.48} | |
| 7 | +\newcommand{\numatmIvHfiveBreakevenCostBpsLog}{26.98} | |
| 8 | +\newcommand{\numatmIvHfiveBreakevenCostBpsSimple}{44.46} | |
| 9 | +\newcommand{\numatmIvHfiveNetSharpe10bpsDiff}{0.35} | |
| 10 | +\newcommand{\numatmIvHfiveNetSharpe10bpsLog}{0.34} | |
| 11 | +\newcommand{\numatmIvHfiveNetSharpe10bpsSimple}{0.69} | |
| 12 | +\newcommand{\numatmIvHfiveNetSharpe25bpsLog}{0.04} | |
| 13 | +\newcommand{\numatmIvHfiveNetSharpe25bpsSimple}{0.39} | |
| 14 | +\newcommand{\numatmIvHfiveNetTNw10bpsDiff}{1.43} | |
| 15 | +\newcommand{\numatmIvHfiveNetTNw10bpsLog}{1.38} | |
| 16 | +\newcommand{\numatmIvHfiveNetTNw10bpsSimple}{2.80} | |
| 17 | +\newcommand{\numatmIvHfiveNetTNw25bpsLog}{0.16} | |
| 18 | +\newcommand{\numatmIvHfiveNetTNw25bpsSimple}{1.58} | |
| 19 | +\newcommand{\numatmIvHfiveSharpeDiff}{0.35} | |
| 20 | +\newcommand{\numatmIvHfiveSharpeLog}{0.54} | |
| 21 | +\newcommand{\numatmIvHfiveSharpeSimple}{0.89} | |
| 22 | +\newcommand{\numatmIvHfiveTNwDiff}{1.43} | |
| 23 | +\newcommand{\numatmIvHfiveTNwLog}{2.19} | |
| 24 | +\newcommand{\numatmIvHfiveTNwSimple}{3.61} | |
| 25 | +\newcommand{\numatmIvTopFiveShare}{89.5} | |
| 26 | +\newcommand{\numdataOptionsMillions}{3,832} | |
| 27 | +\newcommand{\numdataPanelBMillions}{1,761} | |
| 28 | +\newcommand{\numfevdLevelsIvfirstIvByRvMean}{3.3} | |
| 29 | +\newcommand{\numfevdLevelsIvfirstIvByRvPseventyfive}{3.5} | |
| 30 | +\newcommand{\numfevdLevelsIvfirstIvByRvPtwentyfive}{0.1} | |
| 31 | +\newcommand{\numfevdLevelsIvfirstRvByIvMean}{27.8} | |
| 32 | +\newcommand{\numfevdLevelsIvfirstRvByIvPseventyfive}{34.9} | |
| 33 | +\newcommand{\numfevdLevelsIvfirstRvByIvPtwentyfive}{21.2} | |
| 34 | +\newcommand{\numfevdLevelsRvfirstIvByRvMean}{6.0} | |
| 35 | +\newcommand{\numfevdLevelsRvfirstIvByRvPseventyfive}{7.9} | |
| 36 | +\newcommand{\numfevdLevelsRvfirstIvByRvPtwentyfive}{1.4} | |
| 37 | +\newcommand{\numfevdLevelsRvfirstRvByIvMean}{18.8} | |
| 38 | +\newcommand{\numfevdLevelsRvfirstRvByIvPseventyfive}{21.1} | |
| 39 | +\newcommand{\numfevdLevelsRvfirstRvByIvPtwentyfive}{16.1} | |
| 40 | +\newcommand{\numfevdLogsIvfirstIvByRvMean}{2.1} | |
| 41 | +\newcommand{\numfevdLogsIvfirstIvByRvPseventyfive}{1.8} | |
| 42 | +\newcommand{\numfevdLogsIvfirstIvByRvPtwentyfive}{0.3} | |
| 43 | +\newcommand{\numfevdLogsIvfirstRvByIvMean}{36.3} | |
| 44 | +\newcommand{\numfevdLogsIvfirstRvByIvPseventyfive}{42.4} | |
| 45 | +\newcommand{\numfevdLogsIvfirstRvByIvPtwentyfive}{30.3} | |
| 46 | +\newcommand{\numfevdLogsRvfirstIvByRvMean}{4.5} | |
| 47 | +\newcommand{\numfevdLogsRvfirstIvByRvPseventyfive}{6.4} | |
| 48 | +\newcommand{\numfevdLogsRvfirstIvByRvPtwentyfive}{0.7} | |
| 49 | +\newcommand{\numfevdLogsRvfirstRvByIvMean}{27.2} | |
| 50 | +\newcommand{\numfevdLogsRvfirstRvByIvPseventyfive}{31.0} | |
| 51 | +\newcommand{\numfevdLogsRvfirstRvByIvPtwentyfive}{23.9} | |
| 52 | +\newcommand{\numgrangerAtmIvToReturnShareSig1FLevels}{14.5} | |
| 53 | +\newcommand{\numgrangerAtmIvToReturnShareSig1FLogs}{5.8} | |
| 54 | +\newcommand{\numgrangerAtmIvToReturnShareSig1HacLevels}{2.9} | |
| 55 | +\newcommand{\numgrangerAtmIvToReturnShareSig1HacLogs}{0.0} | |
| 56 | +\newcommand{\numgrangerAtmIvToReturnShareSig5FLevels}{24.6} | |
| 57 | +\newcommand{\numgrangerAtmIvToReturnShareSig5FLogs}{15.9} | |
| 58 | +\newcommand{\numgrangerAtmIvToReturnShareSig5HacLevels}{11.6} | |
| 59 | +\newcommand{\numgrangerAtmIvToReturnShareSig5HacLogs}{7.2} | |
| 60 | +\newcommand{\numgrangerAtmIvToRvShareSig1FLevels}{100.0} | |
| 61 | +\newcommand{\numgrangerAtmIvToRvShareSig1FLogs}{100.0} | |
| 62 | +\newcommand{\numgrangerAtmIvToRvShareSig1HacLevels}{97.1} | |
| 63 | +\newcommand{\numgrangerAtmIvToRvShareSig1HacLogs}{98.6} | |
| 64 | +\newcommand{\numgrangerAtmIvToRvShareSig5FLevels}{100.0} | |
| 65 | +\newcommand{\numgrangerAtmIvToRvShareSig5FLogs}{100.0} | |
| 66 | +\newcommand{\numgrangerAtmIvToRvShareSig5HacLevels}{100.0} | |
| 67 | +\newcommand{\numgrangerAtmIvToRvShareSig5HacLogs}{98.6} | |
| 68 | +\newcommand{\numgrangerImplKurtToRvShareSig1FLevels}{59.4} | |
| 69 | +\newcommand{\numgrangerImplKurtToRvShareSig1FLogs}{75.4} | |
| 70 | +\newcommand{\numgrangerImplKurtToRvShareSig1HacLevels}{58.0} | |
| 71 | +\newcommand{\numgrangerImplKurtToRvShareSig1HacLogs}{71.0} | |
| 72 | +\newcommand{\numgrangerImplKurtToRvShareSig5FLevels}{75.4} | |
| 73 | +\newcommand{\numgrangerImplKurtToRvShareSig5FLogs}{79.7} | |
| 74 | +\newcommand{\numgrangerImplKurtToRvShareSig5HacLevels}{71.0} | |
| 75 | +\newcommand{\numgrangerImplKurtToRvShareSig5HacLogs}{81.2} | |
| 76 | +\newcommand{\numgrangerImplSkewToRvShareSig1FLevels}{4.3} | |
| 77 | +\newcommand{\numgrangerImplSkewToRvShareSig1FLogs}{8.7} | |
| 78 | +\newcommand{\numgrangerImplSkewToRvShareSig1HacLevels}{0.0} | |
| 79 | +\newcommand{\numgrangerImplSkewToRvShareSig1HacLogs}{11.6} | |
| 80 | +\newcommand{\numgrangerImplSkewToRvShareSig5FLevels}{17.4} | |
| 81 | +\newcommand{\numgrangerImplSkewToRvShareSig5FLogs}{15.9} | |
| 82 | +\newcommand{\numgrangerImplSkewToRvShareSig5HacLevels}{8.7} | |
| 83 | +\newcommand{\numgrangerImplSkewToRvShareSig5HacLogs}{18.8} | |
| 84 | +\newcommand{\numgrangerPcRatioToReturnShareSig1FLevels}{1.4} | |
| 85 | +\newcommand{\numgrangerPcRatioToReturnShareSig1FLogs}{1.4} | |
| 86 | +\newcommand{\numgrangerPcRatioToReturnShareSig1HacLevels}{1.4} | |
| 87 | +\newcommand{\numgrangerPcRatioToReturnShareSig1HacLogs}{1.4} | |
| 88 | +\newcommand{\numgrangerPcRatioToReturnShareSig5FLevels}{5.8} | |
| 89 | +\newcommand{\numgrangerPcRatioToReturnShareSig5FLogs}{5.8} | |
| 90 | +\newcommand{\numgrangerPcRatioToReturnShareSig5HacLevels}{7.2} | |
| 91 | +\newcommand{\numgrangerPcRatioToReturnShareSig5HacLogs}{7.2} | |
| 92 | +\newcommand{\numgrangerReturnToAtmIvShareSig1FLevels}{49.3} | |
| 93 | +\newcommand{\numgrangerReturnToAtmIvShareSig1FLogs}{42.0} | |
| 94 | +\newcommand{\numgrangerReturnToAtmIvShareSig1HacLevels}{20.3} | |
| 95 | +\newcommand{\numgrangerReturnToAtmIvShareSig1HacLogs}{23.2} | |
| 96 | +\newcommand{\numgrangerReturnToAtmIvShareSig5FLevels}{58.0} | |
| 97 | +\newcommand{\numgrangerReturnToAtmIvShareSig5FLogs}{50.7} | |
| 98 | +\newcommand{\numgrangerReturnToAtmIvShareSig5HacLevels}{34.8} | |
| 99 | +\newcommand{\numgrangerReturnToAtmIvShareSig5HacLogs}{39.1} | |
| 100 | +\newcommand{\numgrangerReturnToPcRatioShareSig1FLevels}{33.3} | |
| 101 | +\newcommand{\numgrangerReturnToPcRatioShareSig1FLogs}{33.3} | |
| 102 | +\newcommand{\numgrangerReturnToPcRatioShareSig1HacLevels}{39.1} | |
| 103 | +\newcommand{\numgrangerReturnToPcRatioShareSig1HacLogs}{39.1} | |
| 104 | +\newcommand{\numgrangerReturnToPcRatioShareSig5FLevels}{46.4} | |
| 105 | +\newcommand{\numgrangerReturnToPcRatioShareSig5FLogs}{46.4} | |
| 106 | +\newcommand{\numgrangerReturnToPcRatioShareSig5HacLevels}{55.1} | |
| 107 | +\newcommand{\numgrangerReturnToPcRatioShareSig5HacLogs}{55.1} | |
| 108 | +\newcommand{\numgrangerReturnToSkewShareSig1FLevels}{92.8} | |
| 109 | +\newcommand{\numgrangerReturnToSkewShareSig1FLogs}{92.8} | |
| 110 | +\newcommand{\numgrangerReturnToSkewShareSig1HacLevels}{79.7} | |
| 111 | +\newcommand{\numgrangerReturnToSkewShareSig1HacLogs}{79.7} | |
| 112 | +\newcommand{\numgrangerReturnToSkewShareSig5FLevels}{95.7} | |
| 113 | +\newcommand{\numgrangerReturnToSkewShareSig5FLogs}{95.7} | |
| 114 | +\newcommand{\numgrangerReturnToSkewShareSig5HacLevels}{88.4} | |
| 115 | +\newcommand{\numgrangerReturnToSkewShareSig5HacLogs}{88.4} | |
| 116 | +\newcommand{\numgrangerRvToAtmIvShareSig1FLevels}{46.4} | |
| 117 | +\newcommand{\numgrangerRvToAtmIvShareSig1FLogs}{53.6} | |
| 118 | +\newcommand{\numgrangerRvToAtmIvShareSig1HacLevels}{27.5} | |
| 119 | +\newcommand{\numgrangerRvToAtmIvShareSig1HacLogs}{49.3} | |
| 120 | +\newcommand{\numgrangerRvToAtmIvShareSig5FLevels}{60.9} | |
| 121 | +\newcommand{\numgrangerRvToAtmIvShareSig5FLogs}{65.2} | |
| 122 | +\newcommand{\numgrangerRvToAtmIvShareSig5HacLevels}{31.9} | |
| 123 | +\newcommand{\numgrangerRvToAtmIvShareSig5HacLogs}{60.9} | |
| 124 | +\newcommand{\numgrangerRvToSkewShareSig1FLevels}{65.2} | |
| 125 | +\newcommand{\numgrangerRvToSkewShareSig1FLogs}{60.9} | |
| 126 | +\newcommand{\numgrangerRvToSkewShareSig1HacLevels}{33.3} | |
| 127 | +\newcommand{\numgrangerRvToSkewShareSig1HacLogs}{46.4} | |
| 128 | +\newcommand{\numgrangerRvToSkewShareSig5FLevels}{75.4} | |
| 129 | +\newcommand{\numgrangerRvToSkewShareSig5FLogs}{73.9} | |
| 130 | +\newcommand{\numgrangerRvToSkewShareSig5HacLevels}{46.4} | |
| 131 | +\newcommand{\numgrangerRvToSkewShareSig5HacLogs}{62.3} | |
| 132 | +\newcommand{\numgrangerSkewToReturnShareSig1FLevels}{10.1} | |
| 133 | +\newcommand{\numgrangerSkewToReturnShareSig1FLogs}{10.1} | |
| 134 | +\newcommand{\numgrangerSkewToReturnShareSig1HacLevels}{4.3} | |
| 135 | +\newcommand{\numgrangerSkewToReturnShareSig1HacLogs}{4.3} | |
| 136 | +\newcommand{\numgrangerSkewToReturnShareSig5FLevels}{13.0} | |
| 137 | +\newcommand{\numgrangerSkewToReturnShareSig5FLogs}{13.0} | |
| 138 | +\newcommand{\numgrangerSkewToReturnShareSig5HacLevels}{8.7} | |
| 139 | +\newcommand{\numgrangerSkewToReturnShareSig5HacLogs}{8.7} | |
| 140 | +\newcommand{\numgrangerSkewToRvShareSig1FLevels}{91.3} | |
| 141 | +\newcommand{\numgrangerSkewToRvShareSig1FLogs}{88.4} | |
| 142 | +\newcommand{\numgrangerSkewToRvShareSig1HacLevels}{81.2} | |
| 143 | +\newcommand{\numgrangerSkewToRvShareSig1HacLogs}{88.4} | |
| 144 | +\newcommand{\numgrangerSkewToRvShareSig5FLevels}{94.2} | |
| 145 | +\newcommand{\numgrangerSkewToRvShareSig5FLogs}{94.2} | |
| 146 | +\newcommand{\numgrangerSkewToRvShareSig5HacLevels}{84.1} | |
| 147 | +\newcommand{\numgrangerSkewToRvShareSig5HacLogs}{91.3} | |
| 148 | +\newcommand{\numlakeOptionsRows}{4,232,091,733} | |
| 149 | +\newcommand{\nummagnetDiff}{0.57} | |
| 150 | +\newcommand{\nummagnetMde}{2.0} | |
| 151 | +\newcommand{\nummagnetN}{10,480} | |
| 152 | +\newcommand{\nummagnetNull}{46.4} | |
| 153 | +\newcommand{\nummagnetNullHi}{47.3} | |
| 154 | +\newcommand{\nummagnetNullLo}{45.6} | |
| 155 | +\newcommand{\nummagnetObserved}{47.0} | |
| 156 | +\newcommand{\nummagnetP}{0.20} | |
| 157 | +\newcommand{\nummhtCalendarTimeStrategiesGrossHolm}{4} | |
| 158 | +\newcommand{\nummhtCalendarTimeStrategiesGrossN}{14} | |
| 159 | +\newcommand{\nummhtCalendarTimeStrategiesGrossRaw}{8} | |
| 160 | +\newcommand{\nummhtCalendarTimeStrategiesNet_10bpsHolm}{10} | |
| 161 | +\newcommand{\nummhtCalendarTimeStrategiesNet_10bpsN}{14} | |
| 162 | +\newcommand{\nummhtCalendarTimeStrategiesNet_10bpsRaw}{10} | |
| 163 | +\newcommand{\nummhtRq1FamaMacbethNwHolm}{0} | |
| 164 | +\newcommand{\nummhtRq1FamaMacbethNwN}{40} | |
| 165 | +\newcommand{\nummhtRq1FamaMacbethNwRaw}{1} | |
| 166 | +\newcommand{\nummhtRq1PooledHc1Holm}{8} | |
| 167 | +\newcommand{\nummhtRq1PooledHc1N}{80} | |
| 168 | +\newcommand{\nummhtRq1PooledHc1Raw}{23} | |
| 169 | +\newcommand{\nummhtRq2DmMseHolm}{16} | |
| 170 | +\newcommand{\nummhtRq2DmMseN}{134} | |
| 171 | +\newcommand{\nummhtRq2DmMseRaw}{49} | |
| 172 | +\newcommand{\nummhtRq2DmQlikeHolm}{39} | |
| 173 | +\newcommand{\nummhtRq2DmQlikeN}{134} | |
| 174 | +\newcommand{\nummhtRq2DmQlikeRaw}{67} | |
| 175 | +\newcommand{\nummhtRq3HeadlinePostOrigin20102025Holm}{1} | |
| 176 | +\newcommand{\nummhtRq3HeadlinePostOrigin20102025N}{9} | |
| 177 | +\newcommand{\nummhtRq3HeadlinePostOrigin20102025Raw}{4} | |
| 178 | +\newcommand{\numnCompleteRQone}{119,081} | |
| 179 | +\newcommand{\numnCompleteRQtwo}{119,093} | |
| 180 | +\newcommand{\numnTickerDays}{264,383} | |
| 181 | +\newcommand{\numoptionRecordsAllSixtyNine}{434,957,531} | |
| 182 | +\newcommand{\numoptionRecordsUsed}{275,448,124} | |
| 183 | +\newcommand{\numplaceboCircularShiftAll}{0.311} | |
| 184 | +\newcommand{\numplaceboCircularShiftEtfs}{0.692} | |
| 185 | +\newcommand{\numplaceboCircularShiftIndices}{1.118} | |
| 186 | +\newcommand{\numplaceboCircularShiftStocks}{0.283} | |
| 187 | +\newcommand{\numplaceboWithinTickerPermutationAll}{0.311} | |
| 188 | +\newcommand{\numplaceboWithinTickerPermutationEtfs}{0.692} | |
| 189 | +\newcommand{\numplaceboWithinTickerPermutationIndices}{1.118} | |
| 190 | +\newcommand{\numplaceboWithinTickerPermutationStocks}{0.283} | |
| 191 | +\newcommand{\numquantIvTauNinety}{180} | |
| 192 | +\newcommand{\numquantIvTauTen}{$-$176} | |
| 193 | +\newcommand{\numrqFiveDmHarGbm}{$-$0.74} | |
| 194 | +\newcommand{\numrqFiveDmHarOlsHarRvPlusIvSurface}{$-$2.26} | |
| 195 | +\newcommand{\numrqFiveDmHarRf}{$-$0.45} | |
| 196 | +\newcommand{\numrqFiveDmHarVix}{2.03} | |
| 197 | +\newcommand{\numrqFiveDmVixGbm}{$-$1.96} | |
| 198 | +\newcommand{\numrqFiveDmVixOlsHarRv}{$-$2.03} | |
| 199 | +\newcommand{\numrqFiveDmVixOlsHarRvPlusIvSurface}{$-$2.07} | |
| 200 | +\newcommand{\numrqFiveDmVixRf}{$-$1.96} | |
| 201 | +\newcommand{\numrqFiveFrozenRtwoGradientBoosting}{0.095} | |
| 202 | +\newcommand{\numrqFiveFrozenRtwoOlsHarRv}{0.437} | |
| 203 | +\newcommand{\numrqFiveFrozenRtwoRandomForest}{0.143} | |
| 204 | +\newcommand{\numrqFiveFrozenRtwoVixBenchmark}{0.335} | |
| 205 | +\newcommand{\numrqFiveRtwoGbm}{0.151} | |
| 206 | +\newcommand{\numrqFiveRtwoOlsHarRv}{0.158} | |
| 207 | +\newcommand{\numrqFiveRtwoOlsHarRvPlusIvSurface}{0.135} | |
| 208 | +\newcommand{\numrqFiveRtwoRf}{0.155} | |
| 209 | +\newcommand{\numrqFiveRtwoVix}{0.347} | |
| 210 | +\newcommand{\numrqOneRtwoFiveDay}{0.311} | |
| 211 | +\newcommand{\numrqThreeCiHiLog10}{8.75} | |
| 212 | +\newcommand{\numrqThreeCiHiLog20}{9.28} | |
| 213 | +\newcommand{\numrqThreeCiHiLog5}{5.18} | |
| 214 | +\newcommand{\numrqThreeCiHiRank10}{7.26} | |
| 215 | +\newcommand{\numrqThreeCiHiRank20}{8.31} | |
| 216 | +\newcommand{\numrqThreeCiHiRank5}{4.03} | |
| 217 | +\newcommand{\numrqThreeCiHiRaw10}{8.80} | |
| 218 | +\newcommand{\numrqThreeCiHiRaw20}{8.32} | |
| 219 | +\newcommand{\numrqThreeCiHiRaw5}{5.58} | |
| 220 | +\newcommand{\numrqThreeCiLoLog10}{$-$0.48} | |
| 221 | +\newcommand{\numrqThreeCiLoLog20}{$-$1.53} | |
| 222 | +\newcommand{\numrqThreeCiLoLog5}{$-$1.39} | |
| 223 | +\newcommand{\numrqThreeCiLoRank10}{$-$2.85} | |
| 224 | +\newcommand{\numrqThreeCiLoRank20}{$-$2.88} | |
| 225 | +\newcommand{\numrqThreeCiLoRank5}{$-$2.33} | |
| 226 | +\newcommand{\numrqThreeCiLoRaw10}{0.46} | |
| 227 | +\newcommand{\numrqThreeCiLoRaw20}{$-$0.71} | |
| 228 | +\newcommand{\numrqThreeCiLoRaw5}{$-$0.88} | |
| 229 | +\newcommand{\numrqThreeClipZeroShare}{1.0} | |
| 230 | +\newcommand{\numrqThreeCoefFullSampleSone10}{5.23} | |
| 231 | +\newcommand{\numrqThreeCoefFullSampleSone20}{3.62} | |
| 232 | +\newcommand{\numrqThreeCoefFullSampleSone5}{3.88} | |
| 233 | +\newcommand{\numrqThreeCoefLegacy10}{7.39} | |
| 234 | +\newcommand{\numrqThreeCoefLegacy20}{4.68} | |
| 235 | +\newcommand{\numrqThreeCoefLegacy5}{5.22} | |
| 236 | +\newcommand{\numrqThreeCoefLog10}{4.20} | |
| 237 | +\newcommand{\numrqThreeCoefLog20}{3.78} | |
| 238 | +\newcommand{\numrqThreeCoefLog5}{1.77} | |
| 239 | +\newcommand{\numrqThreeCoefPostOriginShipped10}{5.05} | |
| 240 | +\newcommand{\numrqThreeCoefPostOriginShipped20}{3.32} | |
| 241 | +\newcommand{\numrqThreeCoefPostOriginShipped5}{2.73} | |
| 242 | +\newcommand{\numrqThreeCoefRank10}{2.32} | |
| 243 | +\newcommand{\numrqThreeCoefRank20}{2.69} | |
| 244 | +\newcommand{\numrqThreeCoefRank5}{0.66} | |
| 245 | +\newcommand{\numrqThreeCoefRaw10}{5.17} | |
| 246 | +\newcommand{\numrqThreeCoefRaw20}{4.08} | |
| 247 | +\newcommand{\numrqThreeCoefRaw5}{2.44} | |
| 248 | +\newcommand{\numrqThreeCoefRealized10}{$-$0.93} | |
| 249 | +\newcommand{\numrqThreeCoefRealized20}{$-$1.13} | |
| 250 | +\newcommand{\numrqThreeCoefRealized5}{$-$1.01} | |
| 251 | +\newcommand{\numrqThreeDays}{3,678} | |
| 252 | +\newcommand{\numrqThreePholmLog10}{0.10} | |
| 253 | +\newcommand{\numrqThreePholmLog20}{0.42} | |
| 254 | +\newcommand{\numrqThreePholmLog5}{0.49} | |
| 255 | +\newcommand{\numrqThreePholmRank10}{0.50} | |
| 256 | +\newcommand{\numrqThreePholmRank20}{0.50} | |
| 257 | +\newcommand{\numrqThreePholmRank5}{0.56} | |
| 258 | +\newcommand{\numrqThreePholmRaw10}{0.00} | |
| 259 | +\newcommand{\numrqThreePholmRaw20}{0.17} | |
| 260 | +\newcommand{\numrqThreePholmRaw5}{0.25} | |
| 261 | +\newcommand{\numrqThreePrwLog10}{0.37} | |
| 262 | +\newcommand{\numrqThreePrwLog20}{0.62} | |
| 263 | +\newcommand{\numrqThreePrwLog5}{0.67} | |
| 264 | +\newcommand{\numrqThreePrwRank10}{0.67} | |
| 265 | +\newcommand{\numrqThreePrwRank20}{0.67} | |
| 266 | +\newcommand{\numrqThreePrwRank5}{0.67} | |
| 267 | +\newcommand{\numrqThreePrwRaw10}{0.12} | |
| 268 | +\newcommand{\numrqThreePrwRaw20}{0.45} | |
| 269 | +\newcommand{\numrqThreePrwRaw5}{0.51} | |
| 270 | +\newcommand{\numrqThreeTFullSampleSone10}{3.31} | |
| 271 | +\newcommand{\numrqThreeTFullSampleSone20}{2.03} | |
| 272 | +\newcommand{\numrqThreeTFullSampleSone5}{3.03} | |
| 273 | +\newcommand{\numrqThreeTLegacy10}{4.13} | |
| 274 | +\newcommand{\numrqThreeTLegacy20}{2.33} | |
| 275 | +\newcommand{\numrqThreeTLegacy5}{3.27} | |
| 276 | +\newcommand{\numrqThreeTLog10}{2.50} | |
| 277 | +\newcommand{\numrqThreeTLog20}{1.73} | |
| 278 | +\newcommand{\numrqThreeTLog5}{1.55} | |
| 279 | +\newcommand{\numrqThreeTPostOriginShipped10}{2.64} | |
| 280 | +\newcommand{\numrqThreeTPostOriginShipped20}{1.41} | |
| 281 | +\newcommand{\numrqThreeTPostOriginShipped5}{1.87} | |
| 282 | +\newcommand{\numrqThreeTRank10}{1.38} | |
| 283 | +\newcommand{\numrqThreeTRank20}{1.24} | |
| 284 | +\newcommand{\numrqThreeTRank5}{0.58} | |
| 285 | +\newcommand{\numrqThreeTRaw10}{3.47} | |
| 286 | +\newcommand{\numrqThreeTRaw20}{2.26} | |
| 287 | +\newcommand{\numrqThreeTRaw5}{2.03} | |
| 288 | +\newcommand{\numrqThreeTRealized10}{$-$0.75} | |
| 289 | +\newcommand{\numrqThreeTRealized20}{$-$0.66} | |
| 290 | +\newcommand{\numrqThreeTRealized5}{$-$1.17} | |
| 291 | +\newcommand{\numrqTwoDmMseBetterFiveDay}{8} | |
| 292 | +\newcommand{\numrqTwoDmMseBetterOneDay}{6} | |
| 293 | +\newcommand{\numrqTwoDmMseWorseFiveDay}{16} | |
| 294 | +\newcommand{\numrqTwoDmMseWorseOneDay}{19} | |
| 295 | +\newcommand{\numrqTwoDmQlBetterFiveDay}{3} | |
| 296 | +\newcommand{\numrqTwoDmQlBetterOneDay}{0} | |
| 297 | +\newcommand{\numrqTwoDmQlWorseFiveDay}{26} | |
| 298 | +\newcommand{\numrqTwoDmQlWorseOneDay}{38} | |
| 299 | +\newcommand{\numrqTwoInsampleRtwoHar}{0.415} | |
| 300 | +\newcommand{\numrqTwoInsampleRtwoHarIv}{0.457} | |
| 301 | +\newcommand{\numrqTwoLegacyThirtyMseRatioFiveDay}{1.000} | |
| 302 | +\newcommand{\numrqTwoLegacyThirtyMseRatioOneDay}{0.999} | |
| 303 | +\newcommand{\numrqTwoMseRatioFiveDay}{1.011} | |
| 304 | +\newcommand{\numrqTwoMseRatioOneDay}{1.001} | |
| 305 | +\newcommand{\numrqTwoNtickersFiveDay}{67} | |
| 306 | +\newcommand{\numrqTwoNtickersOneDay}{67} | |
| 307 | +\newcommand{\numrqTwoQlikeRatioFiveDay}{1.182} | |
| 308 | +\newcommand{\numrqTwoQlikeRatioOneDay}{1.284} | |
| 309 | +\newcommand{\numrqTwoWithinRtwoHar}{0.319} | |
| 310 | +\newcommand{\numrqTwoWithinRtwoHarIv}{0.360} | |
| 311 | +\newcommand{\numshareDaysLtTenStocks}{40} | |
| 312 | +\newcommand{\numskewCiHiFiveDay}{35.2} | |
| 313 | +\newcommand{\numskewCiHiOneDay}{10.5} | |
| 314 | +\newcommand{\numskewCiLoFiveDay}{3.1} | |
| 315 | +\newcommand{\numskewCiLoOneDay}{0.6} | |
| 316 | +\newcommand{\numskewCoefFiveDay}{19.1} | |
| 317 | +\newcommand{\numskewCoefOneDay}{5.6} | |
| 318 | +\newcommand{\numskewTdcFiveDay}{2.91} | |
| 319 | +\newcommand{\numskewTdcOneDay}{1.80} | |
| 320 | +\newcommand{\numskewTdkFourFiveDay}{2.34} | |
| 321 | +\newcommand{\numskewTdkFourOneDay}{2.21} | |
| 322 | +\newcommand{\numskewTdkTwentyTwoFiveDay}{2.35} | |
| 323 | +\newcommand{\numskewTdkTwentyTwoOneDay}{3.09} | |
| 324 | +\newcommand{\numskewTdkZeroFiveDay}{3.62} | |
| 325 | +\newcommand{\numskewTdkZeroOneDay}{1.76} | |
| 326 | +\newcommand{\numskewThcOneFiveDay}{7.59} | |
| 327 | +\newcommand{\numvixSessions}{4,028} | |
added
paper/tables/tab_cap_weighted.tex
+35 −0
@@ -0,0 +1,35 @@ | ||
| 1 | +\begin{table}[H] | |
| 2 | +\centering | |
| 3 | +\caption{RQ3 under equal and capitalization-weighted implied correlation.} | |
| 4 | +\label{tab:cap_weighted} | |
| 5 | +\begin{threeparttable} | |
| 6 | +\scriptsize | |
| 7 | +\begin{tabular}{@{}lrrrrrr@{}} | |
| 8 | +\toprule | |
| 9 | +& \multicolumn{3}{c}{Equal weights} & \multicolumn{3}{c}{Capitalization weights} \\ | |
| 10 | +\cmidrule(lr){2-4}\cmidrule(lr){5-7} | |
| 11 | +Sample, definition, controls, transform & 5d & 10d & 20d & 5d & 10d & 20d \\ | |
| 12 | +\midrule | |
| 13 | +2010-2025, S2, extended, raw & 2.42 (2.01) & 5.16 (3.45) & 4.19 (2.33) & 0.23 (0.20) & 0.84 (0.49) & 1.19 (0.55) \\ | |
| 14 | +2010-2025, S2, extended, log & 1.76 (1.53) & 4.19 (2.48) & 3.97 (1.81) & 0.02 (0.01) & $-$0.01 ($-$0.01) & $-$0.44 ($-$0.21) \\ | |
| 15 | +2010-2025, S2, baseline, raw & 1.60 (1.29) & 4.14 (2.66) & 2.83 (1.56) & $-$0.02 ($-$0.01) & 0.39 (0.22) & 0.43 (0.20) \\ | |
| 16 | +2010-2025, S2, baseline, log & 0.77 (0.66) & 2.91 (1.74) & 2.22 (1.04) & 0.12 (0.08) & $-$0.10 ($-$0.05) & $-$0.77 ($-$0.35) \\ | |
| 17 | +2010-2025, S1, extended, raw & 2.94 (2.25) & 4.86 (3.04) & 3.43 (2.01) & 1.27 (0.93) & 1.39 (0.73) & 1.46 (0.66) \\ | |
| 18 | +2010-2025, S1, extended, log & 2.15 (1.63) & 3.83 (2.03) & 3.19 (1.42) & 1.45 (1.00) & $-$0.30 ($-$0.15) & 0.06 (0.03) \\ | |
| 19 | +2010-2025, S1, baseline, raw & 4.14 (3.14) & 5.80 (3.71) & 3.91 (2.34) & 2.50 (1.65) & 2.34 (1.18) & 1.96 (0.89) \\ | |
| 20 | +2010-2025, S1, baseline, log & 3.54 (2.64) & 4.91 (2.68) & 3.71 (1.73) & 2.58 (1.58) & 0.51 (0.24) & 0.45 (0.20) \\ | |
| 21 | +2016+, S2, extended, raw & 3.59 (2.45) & 6.37 (3.40) & 5.17 (2.24) & 0.64 (0.45) & 1.45 (0.68) & 1.82 (0.66) \\ | |
| 22 | +2016+, S2, extended, log & 3.28 (2.36) & 5.18 (2.47) & 4.22 (1.50) & 1.04 (0.68) & 1.29 (0.58) & 0.32 (0.12) \\ | |
| 23 | +2016+, S2, baseline, raw & 2.55 (1.76) & 5.03 (2.61) & 3.44 (1.48) & 0.05 (0.03) & 0.75 (0.33) & 0.72 (0.26) \\ | |
| 24 | +2016+, S2, baseline, log & 1.99 (1.40) & 3.58 (1.71) & 2.19 (0.80) & 1.23 (0.66) & 1.24 (0.50) & $-$0.07 ($-$0.02) \\ | |
| 25 | +2016+, S1, extended, raw & 4.16 (2.59) & 6.83 (3.79) & 4.89 (2.39) & 2.63 (1.62) & 3.12 (1.38) & 4.07 (1.51) \\ | |
| 26 | +2016+, S1, extended, log & 3.61 (2.24) & 5.91 (2.66) & 4.75 (1.71) & 3.71 (2.21) & 1.27 (0.50) & 1.80 (0.63) \\ | |
| 27 | +2016+, S1, baseline, raw & 5.16 (3.16) & 7.43 (4.22) & 5.02 (2.56) & 3.65 (2.05) & 3.91 (1.69) & 4.30 (1.65) \\ | |
| 28 | +2016+, S1, baseline, log & 4.60 (2.82) & 6.50 (3.04) & 4.82 (1.84) & 5.06 (2.54) & 2.18 (0.82) & 2.05 (0.71) \\ | |
| 29 | +\bottomrule | |
| 30 | +\end{tabular} | |
| 31 | +\begin{tablenotes}[flushleft]\footnotesize | |
| 32 | +\item \textit{Notes.} Specification A (ratio) coefficients in percentage points per SD with NW($h$) $t$-statistics in parentheses. Capitalization weights use point-in-time shares outstanding (FinData OS fundamentals, available from fiscal 2011; earlier days use the first available record, 9.5\% of constituent-days) times the raw daily close; eq.~(implcorr) generalized to weights. Mean implied correlation 0.246 (equal) vs 0.098 (cap); correlation between the two series 0.795; share of days clipped at 0: 0.0\% vs 38.7\%; mean largest weight 35.2\%. | |
| 33 | +\end{tablenotes} | |
| 34 | +\end{threeparttable} | |
| 35 | +\end{table} | |
added
paper/tables/tab_magnet_lake.tex
+28 −0
@@ -0,0 +1,28 @@ | ||
| 1 | +\begin{table}[H] | |
| 2 | +\centering | |
| 3 | +\caption{Price-magnet test on the lake panel (ten underlyings, exact open/close).} | |
| 4 | +\label{tab:magnet_lake} | |
| 5 | +\begin{threeparttable} | |
| 6 | +\scriptsize | |
| 7 | +\begin{tabular}{@{}lrrrcrrr@{}} | |
| 8 | +\toprule | |
| 9 | +Group & $N$ & Observed (\%) & Null (\%) & 95\% interval & Diff.\ (pp) & $p$ & Mirror (\%) \\ | |
| 10 | +\midrule | |
| 11 | +All & 27{,}139 & 46.6 & 46.7 & [46.3, 47.3] & $-$0.17 & 0.528 & 47.6 \\ | |
| 12 | +Q1 (lowest) & 5{,}428 & 45.5 & 46.2 & [45.0, 47.5] & $-$0.78 & 0.236 & 49.1 \\ | |
| 13 | +Q2 & 5{,}428 & 46.1 & 46.6 & [45.4, 47.8] & $-$0.47 & 0.464 & 48.3 \\ | |
| 14 | +Q3 & 5{,}427 & 46.8 & 46.9 & [45.6, 48.2] & $-$0.07 & 0.904 & 47.6 \\ | |
| 15 | +Q4 & 5{,}428 & 47.0 & 47.3 & [46.1, 48.5] & $-$0.33 & 0.630 & 47.3 \\ | |
| 16 | +Q5 (highest) & 5{,}428 & 47.5 & 46.7 & [45.3, 48.0] & +0.81 & 0.216 & 45.6 \\ | |
| 17 | +Distance 0.1-0.5\% & 1{,}685 & 23.0 & 21.5 & [19.5, 23.4] & +1.57 & 0.126 & 22.7 \\ | |
| 18 | +Distance 0.5-1\% & 2{,}200 & 40.1 & 39.3 & [37.3, 41.4] & +0.84 & 0.428 & 40.9 \\ | |
| 19 | +Distance 1-2\% & 4{,}305 & 47.7 & 47.5 & [46.1, 49.0] & +0.20 & 0.806 & 48.0 \\ | |
| 20 | +Distance 2-5\% & 10{,}368 & 49.0 & 49.7 & [48.8, 50.5] & $-$0.69 & 0.150 & 50.6 \\ | |
| 21 | +Distance 5-10\% & 8{,}581 & 49.4 & 49.7 & [48.7, 50.7] & $-$0.32 & 0.542 & 50.3 \\ | |
| 22 | +\bottomrule | |
| 23 | +\end{tabular} | |
| 24 | +\begin{tablenotes}[flushleft]\footnotesize | |
| 25 | +\item \textit{Notes.} Panel re-extracted from the FinData OS lake (\texttt{scripts/27}): exact day open and close from the 1-day bars and the maximum-open-interest strike among options expiring within 30 days per (underlying, day), for the ten underlyings of version~1.2 including SPY and QQQ (27{,}139 ticker-days; 6{,}177 for SPY/QQQ). Of the 10{,}480 shipped rows, 10{,}094 are matched by date and 1{,}710 have an open distance within 0.1 pp (108 within $10^{-6}$); the lake vintage differs from the 2026-08 stores. Strike side and open-to-close move are exact here (no recovery step); permutation null as in Table~\ref{tab:magnet_v2}. | |
| 26 | +\end{tablenotes} | |
| 27 | +\end{threeparttable} | |
| 28 | +\end{table} | |
added
paper/tables/tab_total_return.tex
+61 −0
@@ -0,0 +1,61 @@ | ||
| 1 | +\begin{table}[H] | |
| 2 | +\centering | |
| 3 | +\caption{Calendar-time strategies on dividend-inclusive total returns.} | |
| 4 | +\label{tab:total_return} | |
| 5 | +\begin{threeparttable} | |
| 6 | +\scriptsize | |
| 7 | +\begin{tabular}{@{}llrrrrr@{}} | |
| 8 | +\toprule | |
| 9 | +Sorting variable & Return basis & Ann.\ ret.\ (\%) & Sharpe & $t_{NW}$ & Net SR (10 bps) & Net $t_{NW}$ (10 bps) \\ | |
| 10 | +\midrule | |
| 11 | +\multicolumn{7}{@{}l}{\textit{Panel A: 5-day holding period}} \\ | |
| 12 | +ATM IV (30d) & 5-min log (v1.2) & 13.59 & 0.54 & 2.19 & 0.34 & 1.38 \\ | |
| 13 | + & 5-min simple & 22.40 & 0.89 & 3.61 & 0.69 & 2.80 \\ | |
| 14 | + & 1-day total return (split+div), simple & 20.64 & 0.84 & 3.37 & 0.64 & 2.54 \\ | |
| 15 | +Volatility Skew (25d) & 5-min log (v1.2) & 4.92 & 0.27 & 1.12 & $-$0.27 & $-$1.11 \\ | |
| 16 | + & 5-min simple & 6.37 & 0.35 & 1.44 & $-$0.19 & $-$0.78 \\ | |
| 17 | + & 1-day total return (split+div), simple & 4.30 & 0.24 & 0.97 & $-$0.31 & $-$1.25 \\ | |
| 18 | +Implied Skewness & 5-min log (v1.2) & $-$8.72 & $-$0.52 & $-$2.09 & $-$1.04 & $-$4.18 \\ | |
| 19 | + & 5-min simple & $-$13.99 & $-$0.83 & $-$3.34 & $-$1.35 & $-$5.43 \\ | |
| 20 | + & 1-day total return (split+div), simple & $-$14.52 & $-$0.88 & $-$3.51 & $-$1.41 & $-$5.62 \\ | |
| 21 | +Implied Kurtosis & 5-min log (v1.2) & $-$6.01 & $-$0.35 & $-$1.41 & $-$0.93 & $-$3.70 \\ | |
| 22 | + & 5-min simple & $-$10.74 & $-$0.63 & $-$2.53 & $-$1.20 & $-$4.82 \\ | |
| 23 | + & 1-day total return (split+div), simple & $-$10.43 & $-$0.62 & $-$2.48 & $-$1.19 & $-$4.79 \\ | |
| 24 | +Put-Call Volume Ratio & 5-min log (v1.2) & 4.91 & 0.57 & 2.29 & $-$0.93 & $-$3.74 \\ | |
| 25 | + & 5-min simple & 4.68 & 0.54 & 2.17 & $-$0.95 & $-$3.83 \\ | |
| 26 | + & 1-day total return (split+div), simple & 2.00 & 0.24 & 0.93 & $-$1.28 & $-$5.07 \\ | |
| 27 | +Put-Call OI Ratio & 5-min log (v1.2) & 5.22 & 0.41 & 1.66 & 0.13 & 0.52 \\ | |
| 28 | + & 5-min simple & 5.69 & 0.45 & 1.80 & 0.17 & 0.67 \\ | |
| 29 | + & 1-day total return (split+div), simple & 4.96 & 0.39 & 1.56 & 0.11 & 0.44 \\ | |
| 30 | +IV Term Structure Slope & 5-min log (v1.2) & $-$3.31 & $-$0.18 & $-$0.69 & $-$0.79 & $-$3.02 \\ | |
| 31 | + & 5-min simple & $-$6.76 & $-$0.36 & $-$1.39 & $-$0.97 & $-$3.71 \\ | |
| 32 | + & 1-day total return (split+div), simple & $-$6.94 & $-$0.37 & $-$1.42 & $-$0.98 & $-$3.74 \\ | |
| 33 | +\multicolumn{7}{@{}l}{\textit{Panel B: 1-day holding period}} \\ | |
| 34 | +ATM IV (30d) & 5-min log (v1.2) & 13.88 & 0.54 & 2.16 & 0.06 & 0.22 \\ | |
| 35 | + & 5-min simple & 22.70 & 0.89 & 3.53 & 0.40 & 1.59 \\ | |
| 36 | + & 1-day total return (split+div), simple & 20.70 & 0.83 & 3.25 & 0.33 & 1.29 \\ | |
| 37 | +Volatility Skew (25d) & 5-min log (v1.2) & 3.08 & 0.16 & 0.63 & $-$1.51 & $-$6.07 \\ | |
| 38 | + & 5-min simple & 4.39 & 0.22 & 0.89 & $-$1.43 & $-$5.79 \\ | |
| 39 | + & 1-day total return (split+div), simple & 0.69 & 0.04 & 0.14 & $-$1.63 & $-$6.53 \\ | |
| 40 | +Implied Skewness & 5-min log (v1.2) & $-$8.33 & $-$0.46 & $-$1.82 & $-$2.13 & $-$8.35 \\ | |
| 41 | + & 5-min simple & $-$13.48 & $-$0.75 & $-$2.94 & $-$2.40 & $-$9.44 \\ | |
| 42 | + & 1-day total return (split+div), simple & $-$14.30 & $-$0.82 & $-$3.17 & $-$2.52 & $-$9.81 \\ | |
| 43 | +Implied Kurtosis & 5-min log (v1.2) & $-$7.85 & $-$0.43 & $-$1.65 & $-$2.17 & $-$8.31 \\ | |
| 44 | + & 5-min simple & $-$12.57 & $-$0.69 & $-$2.65 & $-$2.43 & $-$9.33 \\ | |
| 45 | + & 1-day total return (split+div), simple & $-$13.86 & $-$0.76 & $-$2.97 & $-$2.51 & $-$9.73 \\ | |
| 46 | +Put-Call Volume Ratio & 5-min log (v1.2) & 6.24 & 0.52 & 2.09 & $-$4.33 & $-$17.48 \\ | |
| 47 | + & 5-min simple & 6.06 & 0.50 & 2.02 & $-$4.32 & $-$17.44 \\ | |
| 48 | + & 1-day total return (split+div), simple & $-$1.38 & $-$0.12 & $-$0.46 & $-$5.10 & $-$20.19 \\ | |
| 49 | +Put-Call OI Ratio & 5-min log (v1.2) & 5.13 & 0.39 & 1.56 & $-$0.16 & $-$0.65 \\ | |
| 50 | + & 5-min simple & 5.54 & 0.42 & 1.67 & $-$0.13 & $-$0.52 \\ | |
| 51 | + & 1-day total return (split+div), simple & 4.36 & 0.33 & 1.31 & $-$0.22 & $-$0.87 \\ | |
| 52 | +IV Term Structure Slope & 5-min log (v1.2) & $-$4.83 & $-$0.24 & $-$0.79 & $-$1.52 & $-$5.08 \\ | |
| 53 | + & 5-min simple & $-$8.64 & $-$0.42 & $-$1.41 & $-$1.70 & $-$5.68 \\ | |
| 54 | + & 1-day total return (split+div), simple & $-$7.89 & $-$0.39 & $-$1.30 & $-$1.67 & $-$5.60 \\ | |
| 55 | +\bottomrule | |
| 56 | +\end{tabular} | |
| 57 | +\begin{tablenotes}[flushleft]\footnotesize | |
| 58 | +\item \textit{Notes.} Calendar-time long-short strategies (as in Table~\ref{tab:calendar}) on three daily return bases for the 48 stocks found in the lake: the 5-minute-bar log return of version~1.2, its simple-return transform, and the close-to-close split- and dividend-adjusted simple return from \texttt{market\_bars\_stock\_1d\_split\_div} (FinData OS lake). On the 187{,}911 overlapping stock-days the total return exceeds the 5-minute simple return by 0.73 bps per day on average (correlation 0.8798), the dividend yield plus bar-construction differences. | |
| 59 | +\end{tablenotes} | |
| 60 | +\end{threeparttable} | |
| 61 | +\end{table} | |
added
results/calendar_time_total_return.csv
+43 −0
@@ -0,0 +1,43 @@ | ||
| 1 | +sort_variable,holding_days,basis,ann_return_pct,ann_vol_pct,sharpe,t_nw,breakeven_cost_bps,net_sharpe_10bps,net_t_nw_10bps,net_sharpe_25bps,avg_daily_turnover,n_days | |
| 2 | +ATM IV (30d),1,5-min log (v1.2),13.87754758185768,25.552488348717155,0.5430996540324963,2.1551972133216726,11.132274595486194,0.05523516532281715,0.2193240165294418,-0.6756067665591382,0.4946844671229103,3777 | |
| 3 | +ATM IV (30d),1,5-min simple,22.69865285084604,25.61548438946784,0.8861301432261384,3.5346482907326626,18.208378317043273,0.39944782373447024,1.5945792783530772,-0.3300774376458687,0.4946844671229103,3777 | |
| 4 | +ATM IV (30d),1,"1-day total return (split+div), simple",20.69632393861259,25.041854095447917,0.826469312524856,3.2510564944097515,16.60131098129391,0.3286503335173811,1.2937207228211025,-0.4176331472401405,0.49470954245848314,3776 | |
| 5 | +ATM IV (30d),5,5-min log (v1.2),13.58967320949375,25.06298146118683,0.5422209337120991,2.187160642252111,26.975075765867242,0.3411932649197089,1.3763719053910093,0.03968120484989638,0.19991519248700235,3934 | |
| 6 | +ATM IV (30d),5,5-min simple,22.397435135896497,25.117100178147595,0.8917205798853618,3.614769440286926,44.45820737836653,0.6911118420053962,2.8018599633559367,0.39010095961795604,0.19991519248700235,3934 | |
| 7 | +ATM IV (30d),5,"1-day total return (split+div), simple",20.637032855408414,24.48563810799106,0.842821933591895,3.365892851713529,40.94789895888162,0.6369574614548978,2.5438807334375526,0.3280859635921068,0.1999931366532283,3929 | |
| 8 | +Volatility Skew (25d),1,5-min log (v1.2),3.0831578702158144,19.69935010184434,0.15651063889296304,0.6292482042770128,0.9395761304929658,-1.5082845840134493,-6.071445085433106,-3.9889888595726384,1.3021566913176232,3778 | |
| 9 | +Volatility Skew (25d),1,5-min simple,4.391403495604557,19.794655859394098,0.22184793344212123,0.8940717082318329,1.3382570979229806,-1.4349479166545545,-5.78984929103795,-3.9039453844649272,1.3021566913176232,3778 | |
| 10 | +Volatility Skew (25d),1,"1-day total return (split+div), simple",0.6911397769158677,19.71969138800325,0.0350482045239477,0.14024093155135986,0.21062539886561982,-1.6280904387252557,-6.53088717924558,-4.106614601722003,1.3021307862848772,3777 | |
| 11 | +Volatility Skew (25d),5,5-min log (v1.2),4.92418008700801,18.013909503780237,0.27335432577668206,1.1174298413110388,5.017567782718793,-0.27135415237172605,-1.1094673790311707,-1.08700570667427,0.38943962526956943,3934 | |
| 12 | +Volatility Skew (25d),5,5-min simple,6.372474896553585,18.129686756507795,0.351493932693908,1.4391434647107681,6.493329685787245,-0.1897650057416779,-0.7771712973291224,-1.0003555399079709,0.38943962526956943,3934 | |
| 13 | +Volatility Skew (25d),5,"1-day total return (split+div), simple",4.295669718241236,17.94025434743903,0.23944307784323265,0.9711942725623731,4.37824252055283,-0.3073755621597914,-1.247308135407731,-1.1263076768399756,0.3893413470290539,3929 | |
| 14 | +Implied Skewness,1,5-min log (v1.2),-8.32941213296317,17.912979278647555,-0.46499312054092046,-1.8210506609190085,-2.8009597659780967,-2.1272003570463234,-8.347284095108794,-4.610387339200032,1.1800677450399453,3777 | |
| 15 | +Implied Skewness,1,5-min simple,-13.484203243556175,17.990788579326573,-0.7495059587911025,-2.9368596810782246,-4.534378916370903,-2.40494062119557,-9.443487080432144,-4.87749667008428,1.1800677450399453,3777 | |
| 16 | +Implied Skewness,1,"1-day total return (split+div), simple",-14.30040377935472,17.512318813386855,-0.8165911054807392,-3.1717135333589903,-4.809298681930139,-2.5169467908723666,-9.806998357406263,-5.054965621944646,1.1799565341673395,3776 | |
| 17 | +Implied Skewness,5,5-min log (v1.2),-8.722845139283088,16.86463692550281,-0.5172269748714452,-2.0859330868358215,-9.960010038454106,-1.0363226328141792,-4.177647014420299,-1.8130797305009672,0.3475344372624494,3934 | |
| 18 | +Implied Skewness,5,5-min simple,-13.993835147556405,16.90535606519639,-0.8277752384267122,-3.3426100049109317,-15.978586839567456,-1.345585103478731,-5.431478618843062,-2.1202083709059343,0.3475344372624494,3934 | |
| 19 | +Implied Skewness,5,"1-day total return (split+div), simple",-14.520755953348182,16.503405404053883,-0.8798642218278973,-3.509516510400701,-16.587679626253905,-1.4100752498878895,-5.623399476226445,-2.2031810027409433,0.34737858900241186,3929 | |
| 20 | +Implied Kurtosis,1,5-min log (v1.2),-7.8470372122663,18.300397279621528,-0.4287905389356983,-1.6476414137043989,-2.45270686253143,-2.1748606671461963,-8.308602799057761,-4.774064301646724,1.2695784005950805,3777 | |
| 21 | +Implied Kurtosis,1,5-min simple,-12.571644417896731,18.326546151132046,-0.6859800157772867,-2.648483384605694,-3.9294523146749465,-2.429480508994709,-9.326057754380145,-5.02464656276141,1.2695784005950805,3777 | |
| 22 | +Implied Kurtosis,1,"1-day total return (split+div), simple",-13.86268626198523,18.242879870850285,-0.7598957160341758,-2.9653388992214254,-4.333104310981884,-2.5109927185088767,-9.734533225503093,-5.116398595126319,1.269543860976594,3776 | |
| 23 | +Implied Kurtosis,5,5-min log (v1.2),-6.013961478698692,17.025616699654755,-0.35323016985461936,-1.4106052771668798,-6.149788270320103,-0.9274620632558911,-3.6971032741542054,-1.7870876084503124,0.38806094541414826,3934 | |
| 24 | +Implied Kurtosis,5,5-min simple,-10.742351562046354,17.042946136816663,-0.6303107148147594,-2.5268863791594045,-10.984970200744009,-1.2039342286893424,-4.81791345115626,-2.0624716082529413,0.38806094541414826,3934 | |
| 25 | +Implied Kurtosis,5,"1-day total return (split+div), simple",-10.426007698764808,16.932225451145218,-0.6157494021590436,-2.477983050937907,-10.663997414682976,-1.1929164242653683,-4.7918954939466385,-2.0566169964943883,0.3879693966045455,3929 | |
| 26 | +Put-Call Volume Ratio,1,5-min log (v1.2),6.2355917687378986,12.035122043654784,0.5181162057285043,2.0873141177186616,1.0681244750223442,-4.327554396826025,-17.475860573621222,-11.50200241250966,2.3166224872984316,4024 | |
| 27 | +Put-Call Volume Ratio,1,5-min simple,6.0641815791959575,12.095917481360075,0.5013411829686272,2.018107281171221,1.0387628000589713,-4.320483776186274,-17.438426127618143,-11.462386865208233,2.3166224872984316,4024 | |
| 28 | +Put-Call Volume Ratio,1,"1-day total return (split+div), simple",-1.3772327597616023,11.696068941459316,-0.11775176485833586,-0.46380951014535216,-0.2359192897280761,-5.102831688927197,-20.187433425809907,-12.474391311754937,2.316558925907509,4022 | |
| 29 | +Put-Call Volume Ratio,5,5-min log (v1.2),4.906946829418112,8.622904733099935,0.5690596128914978,2.2868160771084534,3.796515838095521,-0.9300728948969805,-3.742552843799745,-3.17862027220144,0.5128916105778072,4028 | |
| 30 | +Put-Call Volume Ratio,5,5-min simple,4.6842860718935775,8.672611412429971,0.5401240582715204,2.1708210006667,3.6242427073992003,-0.950423216191399,-3.825028908948158,-3.1861020905832955,0.5128916105778072,4028 | |
| 31 | +Put-Call Volume Ratio,5,"1-day total return (split+div), simple",2.001752971624045,8.504467246867623,0.23537664541671713,0.9284089774258434,1.5490520291726952,-1.284355136340636,-5.07476595526109,-3.563263091567133,0.5127951820542572,4022 | |
| 32 | +Put-Call OI Ratio,1,5-min log (v1.2),5.1311886604966706,13.284148089423587,0.3862640363503595,1.556233516285928,7.067249800741024,-0.16026446718689083,-0.6467632801437662,-0.9777195107658951,0.28811574994477585,4024 | |
| 33 | +Put-Call OI Ratio,1,5-min simple,5.543336523200929,13.352424184349902,0.4151558134063895,1.6685159133188512,7.634906165239338,-0.12858657146332914,-0.5176775029285191,-0.9420104365464889,0.28811574994477585,4024 | |
| 34 | +Put-Call OI Ratio,1,"1-day total return (split+div), simple",4.364791298156886,13.271698772056936,0.3288796237107785,1.3107126668246019,6.012035104419917,-0.21810163651937228,-0.8706832193958559,-1.035941768942161,0.28809878998839716,4022 | |
| 35 | +Put-Call OI Ratio,5,5-min log (v1.2),5.223017082938068,12.658043240023778,0.4126243672816097,1.660603945843275,14.603400373273509,0.13007814846221483,0.5241133985862942,-0.2937418407538084,0.14192761778660487,4028 | |
| 36 | +Put-Call OI Ratio,5,5-min simple,5.692452072099778,12.723193839812488,0.4474074783241433,1.795032182850628,15.91592663675176,0.16631027406298823,0.6680617657467713,-0.25534486775371934,0.14192761778660487,4028 | |
| 37 | +Put-Call OI Ratio,5,"1-day total return (split+div), simple",4.962835361229198,12.75416581721218,0.38911485332358503,1.55726269616708,13.873678575735944,0.10865729143585023,0.4353650703110986,-0.3120855853282158,0.14195075234359178,4022 | |
| 38 | +IV Term Structure Slope,1,5-min log (v1.2),-4.8258712587374815,20.460466759541166,-0.23586320465964303,-0.791672208360286,-1.833163960087473,-1.5207083847180916,-5.081833277220329,-3.4279957812621453,1.0446573896125466,2676 | |
| 39 | +IV Term Structure Slope,1,5-min simple,-8.642664918025694,20.60410784868773,-0.4194631954703219,-1.410691826704369,-3.283017925136679,-1.6951063145092518,-5.6757507194272145,-3.5881003847564465,1.0446573896125466,2676 | |
| 40 | +IV Term Structure Slope,1,"1-day total return (split+div), simple",-7.892372810741427,20.459832144132108,-0.3857496364164925,-1.3002592563095419,-2.9980106431621842,-1.6695634641675223,-5.598891626743371,-3.572193887447762,1.0446573896125466,2676 | |
| 41 | +IV Term Structure Slope,5,5-min log (v1.2),-3.308647962293475,18.535790760511876,-0.17850050235472686,-0.6859185386131147,-2.9281730261822694,-0.7875029164399986,-3.0233054323927524,-1.6951672061966352,0.44838728068760014,3443 | |
| 42 | +IV Term Structure Slope,5,5-min simple,-6.760090430422489,18.66698337920382,-0.36214155726702196,-1.389274553542466,-5.9827200350425915,-0.9667472042636732,-3.7060597321987454,-1.8675261463404116,0.44838728068760014,3443 | |
| 43 | +IV Term Structure Slope,5,"1-day total return (split+div), simple",-6.939330789652387,18.657054044264033,-0.3719413993864606,-1.42437646921944,-6.139609331877609,-0.9770958901909181,-3.73843610819077,-1.8788037615041189,0.44851431833112554,3439 | |
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results/rq4_magnet_v2_inventory.csv
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