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Quantitative Finance · Begrippenlijst

Wat is Predictor, prediction target, forecast horizon?

Ook bekend als: predictor · prediction target · forecast horizon

Definition 6.1 Research Craft: Predictors, Backtests, Measurement, Portfolios · Hoofdstuk 6 — Anatomy of a Predictor

A predictor is a number computed for each security at a decision time from data known at that time, intended to be correlated across securities with a later quantity, its prediction target (usually a return). The forecast horizon is the span of the target: the return over the next day, the next five days, the next month.

The timing of a predictor. Everything it uses is known at the close of the decision day t; its target begins the next day. A predictor whose window reaches past t, or a target that starts at t, has look-ahead (chapter 3).
Figure 6.1. The timing of a predictor. Everything it uses is known at the close of the decision day tt; its target begins the next day. A predictor whose window reaches past tt, or a target that starts at tt, has look-ahead (chapter 3).
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