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Quantitative Finance · शब्दावली

Sample weight, time-decay weight क्या है?

अन्य नाम: sample weight · time-decay weight

Definition 2.6 Machine Learning for Markets · अध्याय 2 — Targets, Labels and Sample Weights

A sample weight ωi≥0\omega_i\ge0 scales observation ii’s term in the empirical loss, Ln(θ)=∑iωiℓ(yi,fθ(xi))/∑iωi\mathcal L_n(\theta) = \sum_i\omega_i\ell(y_i, f_\theta(x_i))/\sum_i\omega_i. Three are common on market data: uniqueness weights ωi=uˉi\omega_i = \bar u_i; return-attribution weights, ωi∝∣∑t∈iRt/ct∣\omega_i\propto|\sum_{t\in i}R_t/c_t|, which favour labels whose moves they own; and a time-decay weight, which falls linearly from 1 for the newest label to a floor for the oldest, in units of cumulative uniqueness, so that old data count less.

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