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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_speed.csv
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n,mae,mae_baseline,skill_%,r2,test_year
338,3.465379140810698,3.4142011834319526,-1.498973101734502,0.12927353007997744,2007
400,4.090858376700547,3.9425,-3.7630533088280904,0.04579965148367826,2008
540,4.0205317754813965,3.8740740740740742,-3.780456919691866,-0.12200728544542727,2009
470,3.1693714434220257,3.421276595744681,7.362899352714425,0.2246464741787182,2010
495,4.314538334266083,4.3232323232323235,0.20109927749014656,-0.055325713812715005,2011
515,3.2237999945625653,2.9029126213592233,-11.053979745800735,-0.06562655938335582,2012
485,3.733393114617742,4.072164948453608,8.319207058754174,0.19434702822584105,2013
879,3.924266870235131,4.180887372013652,6.137943430294424,0.022748161878883844,2014
2243,3.398709049328624,3.3410610789121713,-1.7254389864438613,0.07268045675088919,2015
2243,3.6650255510608725,3.7588051716451183,2.494931668490852,0.06864404910302002,2016
2206,3.65145803728882,3.8028105167724386,3.9800163278205125,0.10526816265720629,2017
1923,3.577364530993464,3.4607384295371815,-3.3699773568810043,0.07894792932730887,2018
2354,3.356457496216363,3.373406966864911,0.502443696092203,0.015425103761181336,2019
2116,3.8333614130177756,3.972117202268431,3.4932450928540915,0.049572458729656765,2020
2190,3.3981138450501156,3.4990867579908675,2.8856933229837733,0.12873115565641913,2021
1715,3.799187552337051,3.816909620991254,0.4643041207142984,0.0433313417575899,2022
1810,4.043300720188006,3.8784530386740332,-4.250346204277644,0.06762624567274822,2023
1997,3.6962952238115996,4.476214321482224,17.423631704309617,0.2427214165484335,2024
2094,3.369937232661497,3.7597898758357213,10.369000823152874,0.2265055214709174,2025
1118,3.3428725437687103,3.4042933810375673,1.804216922401003,0.09336407603657426,2026
1 n mae mae_baseline skill_% r2 test_year
2 338 3.465379140810698 3.4142011834319526 -1.498973101734502 0.12927353007997744 2007
3 400 4.090858376700547 3.9425 -3.7630533088280904 0.04579965148367826 2008
4 540 4.0205317754813965 3.8740740740740742 -3.780456919691866 -0.12200728544542727 2009
5 470 3.1693714434220257 3.421276595744681 7.362899352714425 0.2246464741787182 2010
6 495 4.314538334266083 4.3232323232323235 0.20109927749014656 -0.055325713812715005 2011
7 515 3.2237999945625653 2.9029126213592233 -11.053979745800735 -0.06562655938335582 2012
8 485 3.733393114617742 4.072164948453608 8.319207058754174 0.19434702822584105 2013
9 879 3.924266870235131 4.180887372013652 6.137943430294424 0.022748161878883844 2014
10 2243 3.398709049328624 3.3410610789121713 -1.7254389864438613 0.07268045675088919 2015
11 2243 3.6650255510608725 3.7588051716451183 2.494931668490852 0.06864404910302002 2016
12 2206 3.65145803728882 3.8028105167724386 3.9800163278205125 0.10526816265720629 2017
13 1923 3.577364530993464 3.4607384295371815 -3.3699773568810043 0.07894792932730887 2018
14 2354 3.356457496216363 3.373406966864911 0.502443696092203 0.015425103761181336 2019
15 2116 3.8333614130177756 3.972117202268431 3.4932450928540915 0.049572458729656765 2020
16 2190 3.3981138450501156 3.4990867579908675 2.8856933229837733 0.12873115565641913 2021
17 1715 3.799187552337051 3.816909620991254 0.4643041207142984 0.0433313417575899 2022
18 1810 4.043300720188006 3.8784530386740332 -4.250346204277644 0.06762624567274822 2023
19 1997 3.6962952238115996 4.476214321482224 17.423631704309617 0.2427214165484335 2024
20 2094 3.369937232661497 3.7597898758357213 10.369000823152874 0.2265055214709174 2025
21 1118 3.3428725437687103 3.4042933810375673 1.804216922401003 0.09336407603657426 2026