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Quantitative Finance · Glossaire

Qu'est-ce que « Data trial, incremental information coefficient » ?

Aussi appelé : data trial · incremental information coefficient

Definition 12.2 Research Craft: Predictors, Backtests, Measurement, Portfolios · Chapitre 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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