Package tech.nmfin.signal.infantino2010
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Class Summary 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 Summary Enum Description Infantino2010Regime.Regime