Chapter 8: Financial Feature Engineering
Carry, Basis, and Roll Yield Across Futures and Perpetuals intermediate
Carry features measure the term-structure conditions under which holding or rolling exposure may be favorable or costly. In derivatives, those conditions appear through spot basis, calendar roll, and perpetual funding.
Carry features measure the term-structure conditions under which holding or rolling exposure may be favorable or costly. In derivatives, those conditions appear through spot basis, calendar roll, and perpetual funding.
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References
A Hybrid Method of Exponential Smoothing and Recurrent Neural Networks for Time Series Forecasting
Slawek Smyl
(2020)
Fact, Fiction, and Factor Investing
Michele Aghassi, Cliff Asness, Charles Fattouche, Tobias J. Moskowitz
(2023)
— The Journal of Portfolio Management