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1 Markets I: The Ecosystem and Exchange-Traded Marketsالأسواق عبر الإنترنت 2 Markets II: Rates, FX and Creditالأسواق عبر الإنترنت 3 Markets III: Commodities, Energy and Cryptoالأسواق عبر الإنترنت 4 Quantitative Methodsالأساليب عبر الإنترنت 5 Derivatives and Volatilityالمشتقات عبر الإنترنت 6 Rates, Credit, XVA and Riskالفائدة والائتمان والمخاطر عبر الإنترنت 7 Research Craft: Predictors, Backtests, Measurement, Portfoliosالبحث عبر الإنترنت 8 Strategies I: Equities and Futuresالاستراتيجيات عبر الإنترنت 9 Strategies II: Volatility, Relative Value, Macro and the Bank Desksالاستراتيجيات عبر الإنترنت 10 Microstructure and Executionالتنفيذ عبر الإنترنت 11 Market Making and High-Frequency Tradingصناعة السوق عبر الإنترنت 12 Machine Learning for Marketsتعلم الآلة عبر الإنترنت 13 Low-Latency Softwareالتكنولوجيا عبر الإنترنت 14 Networks, Hardware and Trading Infrastructureالتكنولوجيا عبر الإنترنت 15 Research, Data and Risk Platformsالتكنولوجيا عبر الإنترنت 16 The Desk and the Firmالشركة عبر الإنترنت 17 The Industry: Firms, Roles and Careersالمسارات المهنية عبر الإنترنت 18 The Interview Bookالمسارات المهنية عبر الإنترنت
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Quantitative Finance · المسرد

ما معنى Data trial, incremental information coefficient؟

يُعرف أيضًا باسم: data trial · incremental information coefficient

Definition 12.2 Research Craft: Predictors, Backtests, Measurement, Portfolios · الفصل 12 — Alternative and Text Data

A data trial is a time-limited evaluation of a dataset under a trial licence, before purchase. The incremental information coefficient of a new feature is the information coefficient of its residual after regressing it, cross-section by cross-section, on the features the firm already owns.

The vendor’s panel value against the retailers’ reported surprise: a sample of 600 rows from each regime. The backfilled history hugs the outcome it was fitted to; the live panel is shifted and noisier. Data: the chapter’s synthetic trial on firm.synthmkt.
Figure 12.1. The vendor’s panel value against the retailers’ reported surprise: a sample of 600 rows from each regime. The backfilled history hugs the outcome it was fitted to; the live panel is shifted and noisier. Data: the chapter’s synthetic trial on firm.synthmkt.
Rank IC of the vendor’s panel value with the return from delivery to announcement, by year of its history; for the live years, the IC of the signal the firm already owns and the vendor’s incremental IC over it. Data: the chapter’s synthetic trial.
Figure 12.2. Rank IC of the vendor’s panel value with the return from delivery to announcement, by year of its history; for the live years, the IC of the signal the firm already owns and the vendor’s incremental IC over it. Data: the chapter’s synthetic trial.
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