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.

See Also:

Infantino, Leandro Rafael; Itzhaki, Savion "Developing High-Frequency Equities Trading Models," Massachusetts Institute of Technology, 2010

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	Infantino2010Regime.Regime

Constructor Summary

Constructors

Constructor and Description
Infantino2010Regime(int H)

Method Summary

Modifier and Type	Method and Description
Infantino2010Regime.Regime	getRegime(Matrix D) Gets the current regime.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

Infantino2010Regime

public Infantino2010Regime(int H)

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