CoachThe 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.
Quantitative Finance · Begrippenlijst
Wat is Information coefficient, rank information coefficient?
Ook bekend als: information coefficient · rank information coefficient