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Quantitative Finance · Begrippenlijst

Wat is First-seen timestamp?

Definition 15.4 Machine Learning for Markets · Hoofdstuk 15 — Alternative-Data Pipelines

The first-seen timestamp of a value is the time the firm first received it, recorded by the firm at ingestion, as opposed to the valid time the vendor attaches to it. A value whose first-seen time is much later than its valid time was backfilled (Book 7, chapter 3), and its history cannot be trusted to be what a live user would have seen.

Mean rank information coefficient of the nowcast’s surprise with the announcement return, by period. Data: ml_altdata.ic_summary.
Figure 15.2. Mean rank information coefficient of the nowcast’s surprise with the announcement return, by period. Data: ml_altdata.ic_summary.
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