Package tech.nmfin.signal.infantino2010
Class Infantino2010Regime
- java.lang.Object
-
- tech.nmfin.signal.infantino2010.Infantino2010Regime
-
public class Infantino2010Regime extends Object
Detects the current regime (mean reversion or momentum) by cross-sectional volatility.
-
-
Nested Class Summary
Nested Classes Modifier and Type Class Description static class
Infantino2010Regime.Regime
-
Constructor Summary
Constructors Constructor Description Infantino2010Regime(int H)
-
Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description Infantino2010Regime.Regime
getRegime(Matrix D)
Gets the current regime.
-
-
-
Method Detail
-
getRegime
public Infantino2010Regime.Regime getRegime(Matrix D)
Gets the current regime.- Parameters:
D
- the matrix of dimensionally reduced returns- Returns:
- the current regime
-
-