Class AlphaReport.LagDecay

java.lang.Object
com.quantfinlib.alpha.AlphaReport.LagDecay
Enclosing class:
AlphaReport
public static final class AlphaReport.LagDecay extends Object
Lagged-return IC profile with its exponential fit.

  • Constructor Details

    • LagDecay

      public LagDecay(int[] lags, double[] meanIcs, double[] signalAutocorrelation, double ic0, double tauBars)
      Creates the value; array and collection arguments are copied.
      Parameters:
      lags - 1..maxLag
      meanIcs - mean IC of scores(t) vs return over (t+h−1, t+h]
      signalAutocorrelation - mean cross-sectional rank correlation of scores(t) with scores(t+h)
      ic0 - fitted IC at lag 1
      tauBars - fitted e-folding time in bars (+∞ when the profile does not decay; NaN when it cannot be fitted)

  • Method Details

    • lags

      public int lags(int i)
      Element i of lags (1..maxLag).

    • lagsLength

      public int lagsLength()
      Length of lags.

    • lagsCopy

      public int[] lagsCopy()
      A fresh copy of lags.

    • meanIcs

      public double meanIcs(int i)
      Element i of meanIcs (mean IC of scores(t) vs return over (t+h−1, t+h]).

    • meanIcsLength

      public int meanIcsLength()
      Length of meanIcs.

    • meanIcsCopy

      public double[] meanIcsCopy()
      A fresh copy of meanIcs.

    • signalAutocorrelation

      public double signalAutocorrelation(int i)
      Element i of signalAutocorrelation (mean cross-sectional rank correlation of scores(t) with scores(t+h)).

    • signalAutocorrelationLength

      public int signalAutocorrelationLength()
      Length of signalAutocorrelation.

    • signalAutocorrelationCopy

      public double[] signalAutocorrelationCopy()
      A fresh copy of signalAutocorrelation.

    • ic0

      public double ic0()
      ic0 (fitted IC at lag 1).

    • tauBars

      public double tauBars()
      tauBars.

    • halfLifeBars

      public double halfLifeBars()
      τ·ln 2: bars until the fitted IC halves.

    • format

      public String format()

    • equals

      public boolean equals(Object other)
      Overrides:
      equals in class Object

    • hashCode

      public int hashCode()
      Overrides:
      hashCode in class Object

    • toString

      public String toString()
      Overrides:
      toString in class Object