Turbulence Index

{
  "type": "object",
  "required": [
    "assets",
    "assetsAverageReturns",
    "assetsCovarianceMatrix",
    "assetsReturns"
  ],
  "properties": {
    "assets": {
      "type": "integer",
      "description": "The number of assets"
    },
    "assetsAverageReturns": {
      "type": "array",
      "description": "assetsAverageReturns[i] is the average return of asset i over an historical reference period",
      "items": {
        "type": "number"
      }
    },
    "assetsCovarianceMatrix": {
      "type": "array",
      "description": "assetsCovarianceMatrix[i][j] is the covariance between the asset i and the asset j over an historical reference period",
      "items": {
        "type": "array",
        "items": {
          "type": "number"
        }
      }
    },
    "assetsReturns": {
      "type": "array",
      "description": "assetsReturns[i] is the return of asset i over a period different from the historical reference period",
      "items": {
        "type": "number"
      }
    }
  }
}