جميع الكتب

مهني

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
التطبيقات حول المدرب تسجيل الدخول ابدأ القراءة

Quantitative Finance · المسرد

ما معنى IC information ratio, quantile spread؟

يُعرف أيضًا باسم: IC information ratio · quantile spread

Definition 6.7 Research Craft: Predictors, Backtests, Measurement, Portfolios · الفصل 6 — Anatomy of a Predictor

The IC information ratio (ICIR) is the mean IC divided by its standard deviation over dates, annualised by 252/h\sqrt{252/h} for an hh-day horizon sampled every hh days. The quantile spread is the mean target of the securities in the predictor’s top quantile minus that of the bottom quantile, date by date.

The one-day reversal on the synthetic market. Left: its rank IC with the return of each of the next ten days; the information is spent on the first day (0.0385), the second has 0.0008. Right: the cumulative sum of its daily IC over ten years, neutralised to beta and industries; a straight line is a stable predictor. Data: firm.synthmkt, seed 1. The one-day reversal on the synthetic market. Left: its rank IC with the return of each of the next ten days; the information is spent on the first day (0.0385), the second has 0.0008. Right: the cumulative sum of its daily IC over ten years, neutralised to beta and industries; a straight line is a stable predictor. Data: firm.synthmkt, seed 1.
Figure 6.3. The one-day reversal on the synthetic market. Left: its rank IC with the return of each of the next ten days; the information is spent on the first day (0.0385), the second has 0.0008. Right: the cumulative sum of its daily IC over ten years, neutralised to beta and industries; a straight line is a stable predictor. Data: firm.synthmkt, seed 1.
اقرأ في الفصل →

مصطلحات ذات صلة