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Quantitative Finance · शब्दावली

Information coefficient, rank information coefficient क्या है?

अन्य नाम: information coefficient · rank information coefficient

Definition 6.6 Research Craft: Predictors, Backtests, Measurement, Portfolios · अध्याय 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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