Absorption Ratio Deep-Dive: PCA Eigenvalue Concentration as a Regime Signal
·2 min read
The Absorption Ratio (AR) — the share of total variance absorbed by the top eigenvalues of the correlation matrix — is one of three structural pillars in the MVIE composite score. This report unpacks the PCA mechanics, explains what a rising AR says about the correlation structure, and shows how MVIE uses it as a fragility barometer.
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