Class | Description |
---|---|
Infantino2010PCA |
The objective is to predict the next H-period accumulated returns from the
past H-period
dimensionally reduced returns.
|
Infantino2010PCA.Signal | |
Infantino2010Regime |
Detects the current regime (mean reversion or momentum) by cross-sectional volatility.
|
Enum | Description |
---|---|
Infantino2010Regime.Regime |
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