{
  "version": "QT-C-inputs-20260921-v1",
  "dataset": {
    "source_csv": "30_Industry_Portfolios.csv",
    "source_zip": "30_Industry_Portfolios_CSV.zip",
    "source_zip_url": "https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/ftp/30_Industry_Portfolios_CSV.zip",
    "source_details_url": "https://mba.tuck.dartmouth.edu/pages/Faculty/ken.french/Data_Library/det_30_ind_port.html",
    "source_regime_url": "https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html",
    "download_date": "2026-09-21",
    "download_date_provenance": "Lead具名下载记录；非源文件生成日或各月发布日期",
    "expected_crsp_vintage": "202607",
    "block_title": "Average Value Weighted Returns -- Monthly",
    "column": "BusEq",
    "sample_start": "199001",
    "sample_end": "202512",
    "expected_months": 432,
    "missing_codes": [-99.99, -999.0],
    "percent_divisor": 100.0,
    "regime": "当前CIZ生成的整段重建历史；不与历史FIZ快照拼接",
    "sample_windows": [["199001", "202512"], ["200001", "202512"], ["201001", "202512"], ["202001", "202512"]]
  },
  "returns": {
    "experiment_id": "EXP-RETURNS-01",
    "loss_definition": "L_t = -r_t",
    "sample_sd_ddof": 1,
    "quantile_method": "inverted_cdf",
    "return_quantile_levels": [0.01, 0.05, 0.25, 0.5, 0.75, 0.95, 0.99],
    "tail_levels": [0.5, 0.9, 0.95, 0.975, 0.99],
    "default_tail_level": 0.95,
    "annualized": false,
    "atom_example": {"losses": [0, 1, 1, 1, 10], "probabilities": [0.2, 0.2, 0.2, 0.2, 0.2], "p": 0.7}
  },
  "monte_carlo": {
    "experiment_id": "EXP-MC-01",
    "generator": "numpy.random.Generator(numpy.random.PCG64(seed))",
    "payoffs_usd": [0, 0, 10000, 20000],
    "probabilities": [0.1, 0.3, 0.4, 0.2],
    "stress_probabilities": [0.1, 0.4, 0.3, 0.2],
    "reference_seed": 1201,
    "sample_sizes": [100, 1000, 10000],
    "default_sample_size": 1000,
    "reference_path": "先生成10000个U[0,1)；各n取同一路径前缀，p与p'共用均匀数；inverse-CDF按四个状态映射",
    "coverage_seed": 1202,
    "coverage_repetitions": 5000,
    "coverage_chunk_rows": 250,
    "coverage_interval_z": 1.96,
    "coverage_design": "每行10000个独立均匀数，行间独立；各n在每行使用嵌套前缀，故不同n的覆盖结果相关；只对p模型统计覆盖",
    "sample_sd_ddof": 1
  },
  "bootstrap": {
    "experiment_id": "EXP-BOOT-01",
    "repetitions": 5000,
    "iid_seed": 1901,
    "moving_block_seed": 1902,
    "block_lengths": [3, 6, 12],
    "default_block_length": 6,
    "percentile_levels": [0.025, 0.975],
    "percentile_method": "linear",
    "se_ddof": 1,
    "index_base": 0,
    "moving_block_algorithm": "均匀有放回抽起点0..n-l；每块保留连续l项，拼接ceil(n/l)块后截取前n项；不循环绕回",
    "seed_reset": "每个设计重新初始化指定种子；真实收益与AR(1)复用同一组抽样索引；不同块长分别重置1902",
    "ar1": {
      "seed": 1910,
      "rho": 0.6,
      "innovation_variance": 0.64,
      "n": 432,
      "initial_distribution": "X0 ~ N(0,1)，与后续独立创新独立",
      "draw_order": "Generator(PCG64(1910))先standard_normal()取X0，再standard_normal(432)乘sqrt(0.64)取创新；保存X1..X432",
      "unit": "无量纲的教学模拟变量"
    }
  }
}