Name | Description | Type | Package | Framework |
Infantino2010PCA | The objective is to predict the next H-period accumulated returns from the past H-period dimensionally reduced returns. | Class | com.numericalmethod.suanshu.model.infantino2010 | SuanShu |
Infantino2010PCA .Signal | Gets the difference between predicted accumulated returns and realized accumulated returns at time T-H+1, the last historical fully realized accumulated return. | Class | com.numericalmethod.suanshu.model.infantino2010 | SuanShu |
Infantino2010Regime | Detects the current regime (mean reversion or momentum) by cross-sectional volatility. | Class | com.numericalmethod.suanshu.model.infantino2010 | SuanShu |
Infantino2010Regime .Regime | Returns the enum constant of this type with the specified name. | Class | com.numericalmethod.suanshu.model.infantino2010 | SuanShu |