rwls 0.0.1__tar.gz

rwls-0.0.1/.gitignore

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+__pycache__/
+*.py[cod]
+.venv/
+build/
+dist/
+*.egg-info/
+.pytest_cache/
+.mypy_cache/
+.ruff_cache/
+.coverage
+htmlcov/
+.idea/
+.vscode/

rwls-0.0.1/LICENSE

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+MIT License
+
+Copyright (c) 2026 Francisco Ibanez
+
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in all
+copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+SOFTWARE.

rwls-0.0.1/PKG-INFO

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+Metadata-Version: 2.5
+Name: rwls
+Version: 0.0.1
+Summary: Regime-weighted least squares: regime-dependent factor models estimated with hidden Markov posterior probabilities.
+Author: Francisco Ibanez
+License-Expression: MIT
+License-File: LICENSE
+Keywords: factor models,financial econometrics,hidden Markov model,regime switching,weighted least squares
+Classifier: Development Status :: 1 - Planning
+Classifier: Intended Audience :: Financial and Insurance Industry
+Classifier: Intended Audience :: Science/Research
+Classifier: Programming Language :: Python :: 3
+Classifier: Topic :: Office/Business :: Financial
+Classifier: Topic :: Scientific/Engineering :: Mathematics
+Requires-Python: >=3.10
+Description-Content-Type: text/markdown
+
+# rwls
+
+Regime-weighted least squares (RWLS) for estimating regime-dependent factor models.
+
+## The estimator
+
+Factor models usually assume that an asset's exposures to common risk factors are
+constant. In practice, betas, factor premia and idiosyncratic risk shift with
+market conditions. RWLS estimates a separate factor model for every asset in every
+latent market regime, without fitting a regime-switching model asset by asset.
+
+Estimation proceeds in two stages:
+
+1. **Regime identification.** A multivariate Gaussian hidden Markov model is fitted
+   to a small set of common factor returns `f_t`. Its posterior probabilities
+   `γ_t(s) = P(S_t = s | data)` measure how strongly each period belongs to each
+   regime `s`.
+
+2. **Regime-weighted regressions.** For each asset `i` and regime `s`, the
+   loadings solve a weighted least-squares problem in which each observation is
+   weighted by its posterior regime probability:
+
+   ```
+   (α_is, β_is) = argmin  Σ_t γ_t(s) · (r_it − α − β′ f_t)²
+   ```
+
+   The regime-specific residual variance is measured on the regime's effective
+   sample, the posterior mass `Σ_t γ_t(s)`:
+
+   ```
+   σ²_is = Σ_t γ_t(s) · e_it² / (Σ_t γ_t(s) − k)
+   ```
+
+   where `k` is the number of regression coefficients.
+
+Every observation contributes to every regime in proportion to the evidence that
+it belongs there. Assets are not hard-classified, and no observation is discarded.
+Because all assets share the same factor history and weights, the regressions
+for a whole cross-section are solved jointly. The cost of adding an asset is one
+weighted regression per regime, which makes the approach practical for universes
+of thousands of securities.
+
+## From loadings to regime-conditional moments
+
+Combined with the regime-conditional factor means `λ_s` and covariances `Ω_s`
+from the hidden Markov model, the loadings imply asset-level moments in each
+regime:
+
+```
+μ_s = α_s + B_s λ_s
+Σ_s = B_s Ω_s B_s′ + diag(σ²_s)
+```
+
+Weighting these by forecast regime probabilities gives the asset return
+distribution as a Gaussian mixture. Its mean and covariance are available in
+closed form.
+
+## Planned scope
+
+- Hidden Markov regime identification on factor returns, with state alignment
+  across refits and one-step regime forecasts.
+- Vectorized RWLS estimation for large cross-sections, with effective sample
+  sizes and sampling covariances of the regime-specific loadings.
+- Regime-conditional and mixture moments of asset returns.
+- Simulation tools for regime-switching factor models, for Monte Carlo
+  evaluation of the estimators.
+
+Applications include conditional beta estimation, regime-dependent risk models
+and portfolio construction. Portfolio optimization is one use of the estimated
+moments, not the purpose of the package.
+
+## Status
+
+Under development. This release reserves the package name; the implementation
+will follow in a later version.
+
+## License
+
+MIT

rwls-0.0.1/README.md

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+# rwls
+
+Regime-weighted least squares (RWLS) for estimating regime-dependent factor models.
+
+## The estimator
+
+Factor models usually assume that an asset's exposures to common risk factors are
+constant. In practice, betas, factor premia and idiosyncratic risk shift with
+market conditions. RWLS estimates a separate factor model for every asset in every
+latent market regime, without fitting a regime-switching model asset by asset.
+
+Estimation proceeds in two stages:
+
+1. **Regime identification.** A multivariate Gaussian hidden Markov model is fitted
+   to a small set of common factor returns `f_t`. Its posterior probabilities
+   `γ_t(s) = P(S_t = s | data)` measure how strongly each period belongs to each
+   regime `s`.
+
+2. **Regime-weighted regressions.** For each asset `i` and regime `s`, the
+   loadings solve a weighted least-squares problem in which each observation is
+   weighted by its posterior regime probability:
+
+   ```
+   (α_is, β_is) = argmin  Σ_t γ_t(s) · (r_it − α − β′ f_t)²
+   ```
+
+   The regime-specific residual variance is measured on the regime's effective
+   sample, the posterior mass `Σ_t γ_t(s)`:
+
+   ```
+   σ²_is = Σ_t γ_t(s) · e_it² / (Σ_t γ_t(s) − k)
+   ```
+
+   where `k` is the number of regression coefficients.
+
+Every observation contributes to every regime in proportion to the evidence that
+it belongs there. Assets are not hard-classified, and no observation is discarded.
+Because all assets share the same factor history and weights, the regressions
+for a whole cross-section are solved jointly. The cost of adding an asset is one
+weighted regression per regime, which makes the approach practical for universes
+of thousands of securities.
+
+## From loadings to regime-conditional moments
+
+Combined with the regime-conditional factor means `λ_s` and covariances `Ω_s`
+from the hidden Markov model, the loadings imply asset-level moments in each
+regime:
+
+```
+μ_s = α_s + B_s λ_s
+Σ_s = B_s Ω_s B_s′ + diag(σ²_s)
+```
+
+Weighting these by forecast regime probabilities gives the asset return
+distribution as a Gaussian mixture. Its mean and covariance are available in
+closed form.
+
+## Planned scope
+
+- Hidden Markov regime identification on factor returns, with state alignment
+  across refits and one-step regime forecasts.
+- Vectorized RWLS estimation for large cross-sections, with effective sample
+  sizes and sampling covariances of the regime-specific loadings.
+- Regime-conditional and mixture moments of asset returns.
+- Simulation tools for regime-switching factor models, for Monte Carlo
+  evaluation of the estimators.
+
+Applications include conditional beta estimation, regime-dependent risk models
+and portfolio construction. Portfolio optimization is one use of the estimated
+moments, not the purpose of the package.
+
+## Status
+
+Under development. This release reserves the package name; the implementation
+will follow in a later version.
+
+## License
+
+MIT

rwls-0.0.1/pyproject.toml

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+[build-system]
+requires = ["hatchling>=1.24"]
+build-backend = "hatchling.build"
+
+[project]
+name = "rwls"
+version = "0.0.1"
+description = "Regime-weighted least squares: regime-dependent factor models estimated with hidden Markov posterior probabilities."
+readme = "README.md"
+requires-python = ">=3.10"
+license = "MIT"
+license-files = ["LICENSE"]
+authors = [{ name = "Francisco Ibanez" }]
+keywords = ["financial econometrics", "factor models", "regime switching", "hidden Markov model", "weighted least squares"]
+classifiers = [
+    "Development Status :: 1 - Planning",
+    "Intended Audience :: Science/Research",
+    "Intended Audience :: Financial and Insurance Industry",
+    "Programming Language :: Python :: 3",
+    "Topic :: Scientific/Engineering :: Mathematics",
+    "Topic :: Office/Business :: Financial",
+]
+dependencies = []
+
+[tool.hatch.build.targets.wheel]
+packages = ["src/rwls"]

rwls-0.0.1/src/rwls/__init__.py

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+"""Regime-weighted least squares (RWLS) for regime-dependent factor models.
+
+Latent market regimes are identified with a multivariate Gaussian hidden Markov
+model fitted to common factor returns. Each asset's factor loadings and residual
+variance are then estimated separately for every regime by weighted least squares,
+with each observation weighted by its posterior regime probability.
+
+This release reserves the package name. The implementation is under development.
+"""
+
+__version__ = "0.0.1"