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PaPP v2 Modello: modello mean-reversion (rev/speed/disc) pooled 4 FX + LOSO + doc

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Co-Authored-By: Devin AI <158243242+devin-ai-integration[bot]@users.noreply.github.com>
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Pietro Giacobazzi
2026-06-17 09:28:15 +00:00
co-authored by Devin AI <158243242+devin-ai-integration[bot]@users.noreply.github.com>
parent 0187cb6bd7
commit 7d329a0591
14 changed files with 623 additions and 2 deletions
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PaPP v2/Modello/results/mr_wf_disc.csv
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n,mae,mae_baseline,skill_%,r2,test_year
468,0.5210450337997958,0.4877705555555555,-6.82174802584008,-0.440278374819538,2007
511,1.4979005200832076,1.46627927592955,-2.1565635327970734,-0.4428980601648529,2008
590,0.5372706093503566,0.624245779661017,13.932840740691965,0.09814855360679986,2009
548,0.8435515547481117,0.9210056204379563,8.40972779873087,-0.20129888622520697,2010
649,0.6264895295465607,0.7349227426810478,14.754368974746313,-0.23270335993701874,2011
563,0.8444189035765441,0.7120972291296623,-18.581967326092208,-0.6572098948790617,2012
574,0.6570009471217217,0.5640415679442509,-16.480944749564785,-1.9530900867332583,2013
1089,0.8585576108637076,0.8849660055096419,2.984114020371431,-0.0058690268732339845,2014
2465,0.86287949087831,0.8346033630831645,-3.387971945223023,0.1741985535476418,2015
2440,0.9893521953097881,0.9588108852459016,-3.1853320121677298,0.06164644338816894,2016
2405,0.6483027913003414,0.606651659043659,-6.865741094707012,-0.3827607195275795,2017
2208,0.716304832228868,0.6826646195652174,-4.927780303756735,-0.30219708772441267,2018
2520,0.7276522650483845,0.693340365079365,-4.948781536048585,-0.9380918084727767,2019
2351,1.0262956818683626,0.9582834198213527,-7.097301345325269,-0.054525480586665065,2020
2378,0.5921425747388034,0.566631362489487,-4.502259129680586,-0.6404632411590949,2021
2074,0.9417510265311481,1.0620946142719383,11.330778456426438,-0.41893129794772066,2022
2185,0.6089553673717031,0.5467215652173913,-11.383088964044408,-0.23632995343602725,2023
2317,0.7212702214350022,0.6373334527406128,-13.169992620574188,-0.24062608198432445,2024
2335,0.7021795509288201,0.7111189250535332,1.2570856729822166,0.1140083899835217,2025
1264,0.7718037117074369,0.6608526424050633,-16.78907856047691,-0.5414077013318492,2026
1 n mae mae_baseline skill_% r2 test_year
2 468 0.5210450337997958 0.4877705555555555 -6.82174802584008 -0.440278374819538 2007
3 511 1.4979005200832076 1.46627927592955 -2.1565635327970734 -0.4428980601648529 2008
4 590 0.5372706093503566 0.624245779661017 13.932840740691965 0.09814855360679986 2009
5 548 0.8435515547481117 0.9210056204379563 8.40972779873087 -0.20129888622520697 2010
6 649 0.6264895295465607 0.7349227426810478 14.754368974746313 -0.23270335993701874 2011
7 563 0.8444189035765441 0.7120972291296623 -18.581967326092208 -0.6572098948790617 2012
8 574 0.6570009471217217 0.5640415679442509 -16.480944749564785 -1.9530900867332583 2013
9 1089 0.8585576108637076 0.8849660055096419 2.984114020371431 -0.0058690268732339845 2014
10 2465 0.86287949087831 0.8346033630831645 -3.387971945223023 0.1741985535476418 2015
11 2440 0.9893521953097881 0.9588108852459016 -3.1853320121677298 0.06164644338816894 2016
12 2405 0.6483027913003414 0.606651659043659 -6.865741094707012 -0.3827607195275795 2017
13 2208 0.716304832228868 0.6826646195652174 -4.927780303756735 -0.30219708772441267 2018
14 2520 0.7276522650483845 0.693340365079365 -4.948781536048585 -0.9380918084727767 2019
15 2351 1.0262956818683626 0.9582834198213527 -7.097301345325269 -0.054525480586665065 2020
16 2378 0.5921425747388034 0.566631362489487 -4.502259129680586 -0.6404632411590949 2021
17 2074 0.9417510265311481 1.0620946142719383 11.330778456426438 -0.41893129794772066 2022
18 2185 0.6089553673717031 0.5467215652173913 -11.383088964044408 -0.23632995343602725 2023
19 2317 0.7212702214350022 0.6373334527406128 -13.169992620574188 -0.24062608198432445 2024
20 2335 0.7021795509288201 0.7111189250535332 1.2570856729822166 0.1140083899835217 2025
21 1264 0.7718037117074369 0.6608526424050633 -16.78907856047691 -0.5414077013318492 2026