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Large Signal Libraries: Equal-Weight Limits and the Divergent Spectra of Signals and PnL

Nunes, Marc da Costa
arXiv (OAI Expanded) · Papers
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An ensemble of roughly 3,000 signals over 20 assets was reported to have approximately 90% correlation with the leading component of the asset-space return structure. Does having about 158 signals per available linear dimension explain that alignment? The population answer depends on the research pr
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