factor_agent.config.NeutralizeConfig#

class NeutralizeConfig(exposures, size_column, industry_column)[source]#

Bases: object

What ranked factors are neutralised against.

exposures is the dataset, or list of datasets, as components, that holds size_column (the market cap; its logarithm is regressed on) and industry_column (the integer industry code).

Attributes#

NeutralizeConfig.exposures#

NeutralizeConfig.size_column#

NeutralizeConfig.industry_column#