factor_agent.scoring.Neutralization#

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

Bases: object

What a ranked factor is neutralised against.

exposures is the dataset, or list of datasets, holding size_column (the market cap, whose logarithm is regressed on) and industry_column (the integer industry code): NeutralizedConfig’s dataset, size_column and industry_column.

Attributes#

Neutralization.exposures#

Neutralization.size_column#

Neutralization.industry_column#