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Quantitative Finance · Glossary

What is Model monitoring, prediction drift?

Also known as: model monitoring · prediction drift

Definition 27.1 Machine Learning for Markets · Chapter 27 — Monitoring and Retraining

Model monitoring is the continuous comparison of a production model’s inputs, outputs and realised outcomes with what was expected when it was validated, with alarms that page a person when they differ by more than chance allows. Prediction drift is a change in the distribution of the model’s outputs relative to the validation period, whatever its cause.

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