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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
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Quantitative Finance · المسرد

ما معنى Valid time, knowledge time, bitemporal data؟

يُعرف أيضًا باسم: valid time · knowledge time · bitemporal data

Definition 3.2 Research Craft: Predictors, Backtests, Measurement, Portfolios · الفصل 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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