Economic Surprise Index

Each economic data release is compared to analyst expectations. The surprise is normalized using historical volatility (z-score) so that different indicators are comparable. Events where lower is better (CPI, unemployment) are inverted so positive always means "better than expected." Releases are weighted by impact (High=3x, Medium=2x, Low=1x) and by recency (exponential decay with 30-day half-life). The index aggregates a 90-day rolling window and scales to approximately -100 to +100.