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Quantitative Finance · Glossary

What is Leave-one-out contribution, credit attribution?

Also known as: leave-one-out contribution · credit attribution

Definition 9.4 The Desk and the Firm · Chapter 9 — Managing Researchers, Traders and Engineers

A contributor’s leave-one-out contribution to a combined result is the result with every contributor less the result without that contributor. Credit attribution is a rule that splits a combined result among the contributors to it, and on which their recognition and pay are based.

Credit for a combined forecast’s $30 million among three contributors under four rules: each signal alone, leave-one-out, order of arrival (A first) and the Shapley value. A and B overlap (correlation 0.8), C is independent. Illustrative data. Data: fm_research.credit.
Figure 9.3. Credit for a combined forecast’s $30 million among three contributors under four rules: each signal alone, leave-one-out, order of arrival (A first) and the Shapley value. A and B overlap (correlation 0.8), C is independent. Illustrative data. Data: fm_research.credit.
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