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Quantitative Finance · Glossary

What is Valid time, knowledge time, bitemporal data?

Also known as: valid time · knowledge time · bitemporal data

Definition 3.2 Research Craft: Predictors, Backtests, Measurement, Portfolios · Chapter 3 — Point-in-Time Data and the Biases

The valid time of a value is the time it describes: September 2008 for September’s payroll change, the fourth quarter for a quarterly earnings figure. Its knowledge time is when it became available to the user: the release, the filing, the vendor’s delivery, the arrival of the message. Data are bitemporal when every value is stored with both, and a new value for the same valid time is added rather than overwriting the old one.

Bitemporal data. Each dot is a value stored for a month (valid time) as published at a date (knowledge time); a month first appears the month after it and is revised later. A backtest must read horizontal cuts at its decision times, never the top one; the vertical line through September is the life of one number, drawn in .
Figure 3.1. Bitemporal data. Each dot is a value stored for a month (valid time) as published at a date (knowledge time); a month first appears the month after it and is revised later. A backtest must read horizontal cuts at its decision times, never the top one; the vertical line through September is the life of one number, drawn in Figure 3.3.
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