Carmignac — Data Repair Pipeline

Registrar Account ID repair for AUM and Flows data.
Carmignac × ENSAE Data Challenge 2025.

Problem

AUM and Flows tables must satisfy the stock-flow identity for every (account, ISIN, month):

Q(t-1) + F(t-1→t) = Q(t)

In practice this identity is violated because Registrar Account IDs change over time — a single distributor may appear under different codes at different dates. The pipeline detects these ruptures, scores data quality, and resolves identity changes through targeted surgeries.

Files

File	Role
`carmignac_diagnostics.py`	Step 0 — market-level audit, broken months, error account
`carmignac_repair.py`	Steps 1–3 — universe, score propagation, surgery
`carmignac_branch.py`	Apply the repaired mapping to the raw AUM file
`carmignac_analysis.py`	HTML report from pipeline outputs

Usage

Run in order:

# 1. Diagnostics (produces broken_months CSV fed into repair)
python carmignac_diagnostics.py \
  --aum   raw_AUM.csv \
  --flows raw_flows.csv

# 2. Repair
python carmignac_repair.py \
  --aum   raw_AUM.csv \
  --flows raw_flows.csv \
  --broken-months carmignac_broken_months.csv

# 3. Apply mapping to raw AUM
python carmignac_branch.py \
  --aum     raw_AUM.csv \
  --mapping carmignac_mapping.csv \
  --surgery carmignac_surgery_log.csv

# 4. Analysis report
python carmignac_analysis.py \
  --error-account-isin carmignac_error_account.csv \
  --error-account-agg  carmignac_error_account_agg.csv

Outputs

File	Content
`carmignac_broken_months.csv`	(ISIN, month) pairs where the aggregate stock-flow equation is broken
`carmignac_error_account.csv`	Cumulative unresolved residuals per ISIN
`carmignac_error_account_agg.csv`	Same, aggregated over all ISINs
`carmignac_scores.csv`	Data quality score σ_r(t) for every (account, month)
`carmignac_mapping.csv`	Canonical identity mapping (date, reg_orig, reg_used)
`carmignac_surgery_log.csv`	All surgery operations with Jaccard, score gain, lookback
`AUM_repaired.csv`	Full AUM with corrected Registrar Account IDs
`AUM_paths.csv`	Universe accounts with their identity path over time
`carmignac_diagnostics.html`	Interactive diagnostic report
`carmignac_report.html`	Interactive repair & surgery report

Key parameters

Parameter	Value	Role
`MIN_AUM_EUR`	5 M€	Universe threshold at t*
`ALPHA`	5%	Reconciliation tolerance
`SCORE_DROP_THRESHOLD`	0.5	Surgery trigger
`MIN_JACCARD`	0.3	ISIN portfolio pre-filter
`MAX_SURGERY_LOOKBACK`	6 months	Max search window for predecessor code
`SYMMETRY_ATTENUATION`	0.05	Error discount for symmetric transfers
`BROKEN_MONTH_ATTENUATION`	0.20	Error discount for broken market months

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