Dataframe: DASH:normalized_series - Normalized Series

Dataframe: DASH:normalized_series - Normalized Series#

The dfn dataframe contains normalized financial series used in Principal Component Analysis (PCA). This normalization process transforms raw financial data into a standardized format suitable for statistical analysis.

Series Included#

The dataframe contains the following financial series:

Column

Non-Null Count

Dtype

0

High Yield Index OAS

7442 non-null

float64

1

10Y-2Y Spread

7442 non-null

float64

2

VIX

7442 non-null

float64

3

CP - Treasury Spread, 3m

7442 non-null

float64

4

NASDAQ Ret (transformed)

7442 non-null

float64

5

10-Year Treasury (transformed)

7442 non-null

float64

Normalization Methodology#

The normalization process consists of two main steps:

1. Series Transformation#

Some series are used directly while others undergo transformation to improve stationarity:

  • High Yield Index OAS: Used as is

  • 10Y-2Y Spread: Used as is

  • VIX: Used as is

  • CP - Treasury Spread, 3m: Calculated as:

    df["90-Day AA Fin CP"] - df["10-Year Treasury"]

  • NASDAQ Ret (transformed): Calculated as 90-day rolling mean of percent change minus the overall mean:

    df["NASDAQ"].pct_change().rolling(90, min_periods=1).mean() - df["NASDAQ"].pct_change().mean()

  • 10-Year Treasury (transformed): Calculated as the difference from its 90-day rolling mean:

    df["10-Year Treasury"] - df["10-Year Treasury"].rolling(90, min_periods=1).mean()

2. Statistical Normalization#

After transformation, all series undergo z-score normalization:

dfn = (dfn - dfn.mean()) / dfn.std()

This results in each series having a mean of 0 and a standard deviation of 1, making them directly comparable regardless of their original scales.

Pre-Processing Steps#

Before normalization, the process also includes:

  • Dropping columns with all NaN values

  • Forward-filling remaining NaN values

  • Removing rows with any NaN values after forward-filling

dfn = dfn.dropna(axis=1, how="all")
dfn = dfn.ffill()
dfn = dfn.dropna()

This normalized dataset provides standardized inputs for the PCA analysis, allowing for the extraction of the principal components that represent the underlying market factors.

DataFrame Glimpse#

Rows: 7717
Columns: 7
$ High Yield Index OAS                    <f64> -0.7987855657501085
$ 10Y-2Y Spread                           <f64> -0.4457189490066193
$ VIX                                     <f64> 0.8650045588821826
$ CP - Treasury Spread, 3m                <f64> 0.42778593720468466
$ NASDAQ Ret (transformed)                <f64> -0.7484284158235921
$ 10-Year Treasury (transformed)          <f64> 0.46177225113793735
$ DATE                           <datetime[ns]> 2026-03-13 00:00:00

Dataframe Manifest#

Dataframe Name

Normalized Series

Dataframe ID

normalized_series

Data Sources

FRED

Data Providers

FRED

Links to Providers

https://fred.stlouisfed.org/

Topic Tags

Macroeconomics, Financial Economics

Type of Data Access

Public

How is data pulled?

Pandas DataReader

Data available up to (min)

2026-03-13 00:00:00

Data available up to (max)

2026-03-13 00:00:00

Dataframe Path

/home/runner/work/example-updating-dashboard/example-updating-dashboard/_data/dfn.parquet

Linked Charts:

Pipeline Manifest#

Pipeline Name

Automated Dashboard Update

Pipeline ID

DASH

Lead Pipeline Developer

Jeremiah Bejarano

Contributors

Jeremiah Bejarano

Git Repo URL

jmbejara/example-updating-dashboard

Pipeline Web Page

Pipeline Web Page

Date of Last Code Update

2026-03-14 05:04:24

OS Compatibility

Linked Dataframes

DASH:normalized_series
DASH:pc1
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