جميع الكتب

مهني

1 Markets I: The Ecosystem and Exchange-Traded Marketsالأسواق عبر الإنترنت 2 Markets II: Rates, FX and Creditالأسواق عبر الإنترنت 3 Markets III: Commodities, Energy and Cryptoالأسواق عبر الإنترنت 4 Quantitative Methodsالأساليب عبر الإنترنت 5 Derivatives and Volatilityالمشتقات عبر الإنترنت 6 Rates, Credit, XVA and Riskالفائدة والائتمان والمخاطر عبر الإنترنت 7 Research Craft: Predictors, Backtests, Measurement, Portfoliosالبحث عبر الإنترنت 8 Strategies I: Equities and Futuresالاستراتيجيات عبر الإنترنت 9 Strategies II: Volatility, Relative Value, Macro and the Bank Desksالاستراتيجيات عبر الإنترنت 10 Microstructure and Executionالتنفيذ عبر الإنترنت 11 Market Making and High-Frequency Tradingصناعة السوق عبر الإنترنت 12 Machine Learning for Marketsتعلم الآلة عبر الإنترنت 13 Low-Latency Softwareالتكنولوجيا عبر الإنترنت 14 Networks, Hardware and Trading Infrastructureالتكنولوجيا عبر الإنترنت 15 Research, Data and Risk Platformsالتكنولوجيا عبر الإنترنت 16 The Desk and the Firmالشركة عبر الإنترنت 17 The Industry: Firms, Roles and Careersالمسارات المهنية عبر الإنترنت 18 The Interview Bookالمسارات المهنية عبر الإنترنت
التطبيقات حول المدرب تسجيل الدخول ابدأ القراءة

Quantitative Finance · المسرد

ما معنى Minimum detectable effect, sequential test؟

يُعرف أيضًا باسم: minimum detectable effect · sequential test

Definition 21.7 Research Craft: Predictors, Backtests, Measurement, Portfolios · الفصل 21 — Live Experiments

The minimum detectable effect of a design is the smallest true effect it detects with a stated power at a stated size. A sequential test examines the data as they arrive and may stop at any look, with its size controlled over all the looks it might take.

Power to detect a saving of 0.3 basis point against the length of the experiment: the formula at each design’s standard error (lines) and the share of 100 simulated experiments that rejected (dots). The dotted line is 80%. Data: rs_abtest.
Figure 21.2. Power to detect a saving of 0.3 basis point against the length of the experiment: the formula at each design’s standard error (lines) and the share of 100 simulated experiments that rejected (dots). The dotted line is 80%. Data: rs_abtest.
Left: the share of 4 000 null experiments declared significant at some daily look, with a fixed-horizon test (grey) and the mixture sequential test (blue); the dotted line is 5%. Right: the day the sequential test stops under the real saving, with CUPED; the dashed line is the 38-day fixed horizon that has 80% power. Data: rs_abtest.peeking, stopping.
Figure 21.3. Left: the share of 4 000 null experiments declared significant at some daily look, with a fixed-horizon test (grey) and the mixture sequential test (blue); the dotted line is 5%. Right: the day the sequential test stops under the real saving, with CUPED; the dashed line is the 38-day fixed horizon that has 80% power. Data: rs_abtest.peeking, stopping.
اقرأ في الفصل →