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Backtesting Exceptions 1Dx250
Backtesting is a term used in modeling to refer to testing a predictive model on historical data. Backtesting is a type of retrodiction, and a special type of cross-validation applied to previous time period(s). Financial analysis In a trading strategy, investment strategy, or risk modeling, backtesting seeks to estimate the performance of a strategy or model if it had been employed during a past period. This requires simulating past conditions with sufficient detail, making one limitation of backtesting the need for detailed historical data. A second limitation is the inability to model strategies that would affect historic prices. Finally, backtesting, like other modeling, is limited by potential overfitting. That is, it is often possible to find a strategy that would have worked well in the past, but will not work well in the future. Despite these limitations, backtesting provides information not available when models and strategies are tested on synthetic data. Backtesting ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Predictive Modelling
Predictive modelling uses statistics to predict outcomes. Most often the event one wants to predict is in the future, but predictive modelling can be applied to any type of unknown event, regardless of when it occurred. For example, predictive models are often used to detect crimes and identify suspects, after the crime has taken place. In many cases the model is chosen on the basis of detection theory to try to guess the probability of an outcome given a set amount of input data, for example given an email determining how likely that it is spam. Models can use one or more classifiers in trying to determine the probability of a set of data belonging to another set. For example, a model might be used to determine whether an email is spam or "ham" (non-spam). Depending on definitional boundaries, predictive modelling is synonymous with, or largely overlapping with, the field of machine learning, as it is more commonly referred to in academic or research and development contexts. W ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Temperature
Temperature is a physical quantity that expresses quantitatively the perceptions of hotness and coldness. Temperature is measured with a thermometer. Thermometers are calibrated in various temperature scales that historically have relied on various reference points and thermometric substances for definition. The most common scales are the Celsius scale with the unit symbol °C (formerly called ''centigrade''), the Fahrenheit scale (°F), and the Kelvin scale (K), the latter being used predominantly for scientific purposes. The kelvin is one of the seven base units in the International System of Units (SI). Absolute zero, i.e., zero kelvin or −273.15 °C, is the lowest point in the thermodynamic temperature scale. Experimentally, it can be approached very closely but not actually reached, as recognized in the third law of thermodynamics. It would be impossible to extract energy as heat from a body at that temperature. Temperature is important in all fields of natur ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Retrodiction
Retrodiction is the act of making a prediction about the past. It is also known as postdiction (but this should not be confused with the use of the term in criticisms of parapsychological research). Activity The activity of retrodiction (or postdiction) involves moving backwards in time, step-by-step, in as many stages as are considered necessary, from the present into the speculated past to establish the ultimate cause of a specific event (for instance, in the case of reverse engineering, forensics, etc.). Given that retrodiction is a process in which "past observations, events and data are used as evidence to infer the process(es) that produced them" and that diagnosis "involve going from visible effects such as symptoms, signs and the like to their prior causes", the essential balance between prediction and retrodiction could be characterized as: ::retrodiction : diagnosis :: prediction : prognosis regardless of whether the prognosis is of the course of the disease in the ab ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Program Trading
Program trading is a type of trading in securities, usually consisting of baskets of fifteen stocks or more that are executed by a computer program simultaneously based on predetermined conditions. Program trading is often used by hedge funds and other institutional investors pursuing index arbitrage or other arbitrage strategies. There are essentially two reasons to use program trading, either because of the desire to trade many stocks simultaneously (for example, when a mutual fund receives an influx of money it will use that money to increase its holdings in the multiple stocks which the fund is based on), or alternatively to arbitrage temporary price discrepancies between related financial instruments, such as between an index and its constituent parts. According to the New York Stock Exchange, in 2006 program trading accounts for about 30% and as high as 46.4% of the trading volume on that exchange every day. Barrons breaks down its weekly figures for program trading betwee ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Forecasting
Forecasting is the process of making predictions based on past and present data. Later these can be compared (resolved) against what happens. For example, a company might estimate their revenue in the next year, then compare it against the actual results. Prediction is a similar but more general term. Forecasting might refer to specific formal statistical methods employing time series, cross-sectional or longitudinal data, or alternatively to less formal judgmental methods or the process of prediction and resolution itself. Usage can vary between areas of application: for example, in hydrology the terms "forecast" and "forecasting" are sometimes reserved for estimates of values at certain specific future times, while the term "prediction" is used for more general estimates, such as the number of times floods will occur over a long period. Risk and uncertainty are central to forecasting and prediction; it is generally considered a good practice to indicate the degree of uncertainty ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Climate
Climate is the long-term weather pattern in an area, typically averaged over 30 years. More rigorously, it is the mean and variability of meteorological variables over a time spanning from months to millions of years. Some of the meteorological variables that are commonly measured are temperature, humidity, atmospheric pressure, wind, and precipitation. In a broader sense, climate is the state of the components of the climate system, including the atmosphere, hydrosphere, cryosphere, lithosphere and biosphere and the interactions between them. The climate of a location is affected by its latitude/longitude, terrain, altitude, land use and nearby water bodies and their currents. Climates can be classified according to the average and typical variables, most commonly temperature and precipitation. The most widely used classification scheme was the Köppen climate classification. The Thornthwaite system, in use since 1948, incorporates evapotranspiration along with temperature ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Black Box
In science, computing, and engineering, a black box is a system which can be viewed in terms of its inputs and outputs (or transfer characteristics), without any knowledge of its internal workings. Its implementation is "opaque" (black). The term can be used to refer to many inner workings, such as those of a transistor, an engine, an algorithm, the human brain, or an institution or government. To analyse an open system with a typical "black box approach", only the behavior of the stimulus/response will be accounted for, to infer the (unknown) ''box''. The usual representation of this ''black box system'' is a data flow diagram centered in the box. The opposite of a black box is a system where the inner components or logic are available for inspection, which is most commonly referred to as a white box (sometimes also known as a "clear box" or a "glass box"). History The modern meaning of the term "black box" seems to have entered the English language around 1945. In electr ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Customer Foresight
Customer foresight is a new field of applied research. It aims to understand future consumer preferences and wishes with regard to tomorrow's products and services. It does so by combining customer research and foresight research elements. Customer foresight can be conceived as an interaction with projected future markets through selected customers by understanding their wishes and attitudes, ideas and visions as well as their perception of signals and drivers of change. Even though the concept cannot predict the future, it enables companies to prepare for different future scenarios and thus improves strategy and decision-making processes. Definition and classification As the future combines both continuity and change, not everything one knows today will disappear tomorrow. Some things will change significantly while others will not. But even today, research reveals that numerous inventions fail due to a lack of customer centricity. Consequently, anticipating future customer needs ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
ECMWF Re-analysis
The ECMWF reanalysis project is a meteorological reanalysis project carried out by the European Centre for Medium-Range Weather Forecasts (ECMWF). The first reanalysis product, ERA-15, generated reanalyses for approximately 15 years, from December 1978 to February 1994. The second product, ERA-40 (originally intended as a 40-year reanalysis) begins in 1957 (the International Geophysical Year) and covers 45 years to 2002. As a precursor to a revised extended reanalysis product to replace ERA-40, ECMWF released ERA-Interim, which covers the period from 1979 to 2019. A new reanalysis product ERA5 has recently been released by ECMWF as part of Copernicus Climate Change Services. This product has higher spatial resolution (31 km) and covers the period from 1979 to present. Extension up to 1950 became available in 2020. In addition to reanalysing all the old data using a consistent system, the reanalyses also make use of much archived data that was not available to the original analyses. ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Climate Model
Numerical climate models use quantitative methods to simulate the interactions of the important drivers of climate, including atmosphere, oceans, land surface and ice. They are used for a variety of purposes from study of the dynamics of the climate system to projections of future climate. Climate models may also be qualitative (i.e. not numerical) models and also narratives, largely descriptive, of possible futures. Quantitative climate models take account of incoming energy from the sun as short wave electromagnetic radiation, chiefly visible and short-wave (near) infrared, as well as outgoing long wave (far) infrared electromagnetic. An imbalance results in a change in temperature. Quantitative models vary in complexity. For example, a simple radiant heat transfer model treats the earth as a single point and averages outgoing energy. This can be expanded vertically (radiative-convective models) and/or horizontally. Coupled atmosphere–ocean–sea ice global climate models ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Climate
Climate is the long-term weather pattern in an area, typically averaged over 30 years. More rigorously, it is the mean and variability of meteorological variables over a time spanning from months to millions of years. Some of the meteorological variables that are commonly measured are temperature, humidity, atmospheric pressure, wind, and precipitation. In a broader sense, climate is the state of the components of the climate system, including the atmosphere, hydrosphere, cryosphere, lithosphere and biosphere and the interactions between them. The climate of a location is affected by its latitude/longitude, terrain, altitude, land use and nearby water bodies and their currents. Climates can be classified according to the average and typical variables, most commonly temperature and precipitation. The most widely used classification scheme was the Köppen climate classification. The Thornthwaite system, in use since 1948, incorporates evapotranspiration along with temperature ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
