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30.5, "afternoon": 27.5, "close": 27.5 }, "converges": true }, "cust": { "mean_dist": { "morning": 45.6, "midday": 36.0, "afternoon": 29.8, "close": 28.9 }, "median_dist": { "morning": 33.8, "midday": 30.0, "afternoon": 26.8, "close": 27.5 }, "converges": true }, "firm": { "mean_dist": { "morning": 42.4, "midday": 32.4, "afternoon": 30.1, "close": 28.8 }, "median_dist": { "morning": 31.8, "midday": 28.2, "afternoon": 26.8, "close": 28.8 }, "converges": true }, "procust": { "mean_dist": { "morning": 39.2, "midday": 31.9, "afternoon": 29.4, "close": 28.9 }, "median_dist": { "morning": 30.8, "midday": 27.2, "afternoon": 26.5, "close": 27.9 }, "converges": true }, "bd": { "mean_dist": { "morning": 56.9, "midday": 38.7, "afternoon": 32.2, "close": 30.1 }, "median_dist": { "morning": 50.0, "midday": 31.0, "afternoon": 28.2, "close": 27.9 }, "converges": true } }, "mm_vs_cust_headtohead": { "morning": { "IS_mm_closer_pct": 7.5, "IS_cust_closer_pct": 11.2, "IS_mm_mean_dist": 46.5, "IS_cust_mean_dist": 47.4, "IS_n": 107, "IS_wilcoxon_p": 0.9553, "OOS_mm_closer_pct": 11.1, "OOS_cust_closer_pct": 12.5, "OOS_mm_mean_dist": 40.4, "OOS_cust_mean_dist": 42.9, "OOS_n": 72, "OOS_wilcoxon_p": 0.7576, "ALL_mm_closer_pct": 8.9, "ALL_cust_closer_pct": 11.7, "ALL_mm_mean_dist": 44.0, "ALL_cust_mean_dist": 45.6, "ALL_n": 179, "ALL_wilcoxon_p": 0.8148 }, "close": { "IS_mm_closer_pct": 9.6, "IS_cust_closer_pct": 9.6, "IS_mm_mean_dist": 30.7, "IS_cust_mean_dist": 30.3, "IS_n": 104, "IS_wilcoxon_p": 0.5454, "OOS_mm_closer_pct": 17.1, "OOS_cust_closer_pct": 15.7, "OOS_mm_mean_dist": 26.5, "OOS_cust_mean_dist": 26.8, "OOS_n": 70, "OOS_wilcoxon_p": 0.4754, "ALL_mm_closer_pct": 12.6, "ALL_cust_closer_pct": 12.1, "ALL_mm_mean_dist": 29.0, "ALL_cust_mean_dist": 28.9, "ALL_n": 174, "ALL_wilcoxon_p": 0.9402 } }, "dte_comparison": { "morning_mm": { "oos_0dte_mean_dist": 40.4, "oos_all_mean_dist": 67.7, "oos_0dte_closer_pct": 41.7, "n_oos": 72 }, "morning_cust": { "oos_0dte_mean_dist": 42.9, "oos_all_mean_dist": 61.8, "oos_0dte_closer_pct": 29.2, "n_oos": 72 }, "close_mm": { "oos_0dte_mean_dist": 26.5, "oos_all_mean_dist": 33.6, "oos_0dte_closer_pct": 12.9, "n_oos": 70 }, "close_cust": { "oos_0dte_mean_dist": 26.8, "oos_all_mean_dist": 28.0, "oos_0dte_closer_pct": 5.7, "n_oos": 70 } }, "close_prediction": { "mm": { "is_r2": 0.2666, "is_slope": 0.5913, "is_p": 0.0, "oos_r2": 0.4698, "oos_corr": 0.73, "oos_p": 0.0, "n_is": 107, "n_oos": 72 }, "cust": { "is_r2": 0.2677, "is_slope": 0.5842, "is_p": 0.0, "oos_r2": 0.4681, "oos_corr": 0.7173, "oos_p": 0.0, "n_is": 107, "n_oos": 72 }, "firm": { "is_r2": 0.2715, "is_slope": 0.6432, "is_p": 0.0, "oos_r2": 0.4562, "oos_corr": 0.7014, "oos_p": 0.0, "n_is": 107, "n_oos": 72 }, "procust": { "is_r2": 0.3357, "is_slope": 0.782, "is_p": 0.0, "oos_r2": 0.452, "oos_corr": 0.7032, "oos_p": 0.0, "n_is": 107, "n_oos": 72 }, "bd": { "is_r2": 0.2355, "is_slope": 0.5308, "is_p": 0.0, "oos_r2": 0.315, "oos_corr": 0.638, "oos_p": 0.0, "n_is": 107, "n_oos": 72 } }, "gamma_returns_ic": { "afternoon_firm_0dte": { "is_ic": -0.2, "oos_ic": -0.258, "consistent": "True", "n_oos": 72 }, "midday_firm_0dte": { "is_ic": -0.15, "oos_ic": -0.169, "consistent": "True", "n_oos": 72 }, "afternoon_bd_0dte": { "is_ic": 0.064, "oos_ic": 0.156, "consistent": "True", "n_oos": 72 }, "afternoon_mm_cust_ratio": { "is_ic": -0.157, "oos_ic": -0.14, "consistent": "True", "n_oos": 70 }, "morning_mm_all": { "is_ic": -0.134, "oos_ic": -0.129, "consistent": "True", "n_oos": 72 }, "morning_procust_all": { "is_ic": 0.112, "oos_ic": 0.124, "consistent": "True", "n_oos": 72 }, "midday_mm_all": { "is_ic": -0.065, "oos_ic": -0.107, "consistent": "True", "n_oos": 72 }, "afternoon_procust_0dte": { "is_ic": -0.046, "oos_ic": -0.092, "consistent": "True", "n_oos": 72 }, "afternoon_mm_0dte": { "is_ic": 0.105, "oos_ic": 0.089, "consistent": "True", "n_oos": 72 }, "morning_bd_0dte": { "is_ic": 0.246, "oos_ic": 0.086, "consistent": "True", "n_oos": 72 }, "morning_procust_0dte": { "is_ic": 0.131, "oos_ic": 0.079, "consistent": "True", "n_oos": 72 }, "afternoon_bd_all": { "is_ic": 0.145, "oos_ic": 0.055, "consistent": "True", "n_oos": 72 }, "morning_mm_0dte": { "is_ic": -0.074, "oos_ic": -0.037, "consistent": "True", "n_oos": 72 }, "midday_procust_all": { "is_ic": 0.062, "oos_ic": 0.034, "consistent": "True", "n_oos": 72 }, "midday_bd_0dte": { "is_ic": 0.093, "oos_ic": 0.029, "consistent": "True", "n_oos": 72 }, "morning_firm_0dte": { "is_ic": -0.118, "oos_ic": -0.026, "consistent": "True", "n_oos": 72 }, "morning_cust_all": { "is_ic": 0.037, "oos_ic": 0.023, "consistent": "True", "n_oos": 72 }, "afternoon_mm_all": { "is_ic": -0.042, "oos_ic": -0.016, "consistent": "True", "n_oos": 72 }, "morning_bd_all": { "is_ic": 0.228, "oos_ic": 0.014, "consistent": "True", "n_oos": 72 }, "afternoon_firm_all": { "is_ic": 0.034, "oos_ic": -0.214, "consistent": "False", "n_oos": 72 }, "midday_firm_all": { "is_ic": 0.063, "oos_ic": -0.17, "consistent": "False", "n_oos": 72 }, "midday_mm_cust_ratio": { "is_ic": 0.078, "oos_ic": -0.147, "consistent": "False", "n_oos": 69 }, "morning_mm_cust_ratio": { "is_ic": 0.131, "oos_ic": -0.123, "consistent": "False", "n_oos": 68 }, "midday_cust_0dte": { "is_ic": -0.029, "oos_ic": 0.101, "consistent": "False", "n_oos": 72 }, "morning_firm_all": { "is_ic": 0.042, "oos_ic": -0.099, "consistent": "False", "n_oos": 72 } }, "last_hour_pinning": { "mm": { "IS_high_hhi_range": 1.0255, "IS_low_hhi_range": 1.147, "IS_diff_pct": -10.6, "IS_t_stat": -1.05, "IS_t_p": 0.2962, "OOS_high_hhi_range": 1.0534, "OOS_low_hhi_range": 1.2725, "OOS_diff_pct": -17.2, "OOS_t_stat": -1.69, "OOS_t_p": 0.0961 }, "cust": { "IS_high_hhi_range": 1.0421, "IS_low_hhi_range": 1.1301, "IS_diff_pct": -7.8, "IS_t_stat": -0.76, "IS_t_p": 0.4501, "OOS_high_hhi_range": 1.0676, "OOS_low_hhi_range": 1.2583, "OOS_diff_pct": -15.1, "OOS_t_stat": -1.46, "OOS_t_p": 0.1487 }, "net": { "IS_high_hhi_range": 0.9189, "IS_low_hhi_range": 1.2556, "IS_diff_pct": -26.8, "IS_t_stat": -3.02, "IS_t_p": 0.0032, "OOS_high_hhi_range": 1.0123, "OOS_low_hhi_range": 1.3136, "OOS_diff_pct": -22.9, "OOS_t_stat": -2.36, "OOS_t_p": 0.021 } } } }