Eigenvalue Regime Detection with Risk-Parity and CVaR
Eigenvalue Regime Detection with Risk-Parity and CVaR: a task in skilltrainbench-public: skilltrainbench training tasks (Harbor dataset). You are given daily simple returns for 15 stocks (5 sectors, 3 stocks each) from a production data feed, a sector mapping, and analysis parameters. Compute…
The task
You are given daily simple returns for 15 stocks (5 sectors, 3 stocks each) from a production data feed, a sector mapping, and analysis parameters. Compute rolling correlation matrices, perform eigenvalue analysis for noise thresholding, classify market regimes by absorption ratio, construct regime-conditional…
Part of codeslord/skilltrainbench-public.