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Quantitative Finance · Glossaire

Qu'est-ce que « Information coefficient, rank information coefficient » ?

Aussi appelé : information coefficient · rank information coefficient

Definition 6.6 Research Craft: Predictors, Backtests, Measurement, Portfolios · Chapitre 6 — Anatomy of a Predictor

The information coefficient (IC) of a predictor on a date is the correlation, across the securities of that date, between the predictor and its target. The rank information coefficient is the same with ranks (Spearman’s correlation). A predictor is summarised by the time series of its ICs: their mean, their standard deviation, and the ratio of the two.

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