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Quantitative Finance · Glossaire

Qu'est-ce que « IC stability » ?

Definition 13.2 Research Craft: Predictors, Backtests, Measurement, Portfolios · Chapitre 13 — Half-Life, Decay and Stability

The IC stability of a predictor is the behaviour of its information coefficient across non-overlapping periods: the dispersion of yearly (or monthly) ICs around their mean, compared with the dispersion their sampling error alone would produce.

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