Tag: signal-decay
Concepts
- Estimating Alpha Half-Life
- Combining Forecasts Across Horizons
- Feature Half-Life and Smoothing Choices
- Form 4 Filing Speed and Insider Signal Decay
- Matching Forward-Return Horizon to Signal Decay
- Holding Period and Turnover Optimization
- Label Horizon Selection
- Live Information Coefficient Monitoring
- Matching Horizon to the Cost Budget
- Measuring a Signal's Decay Curve
- Picking a Forecast Horizon
- Rolling t-Statistics and Signal Stability
- Signal Autocorrelation vs Return Autocorrelation
- Monitoring Signal Decay in Production
- Signal Staleness and Refresh Frequency
- Signal-to-Execution Lag
- When a Good Forecast Is Untradeable
- The IC-Horizon Profile
- The Term Structure of Forecasts
- Time-of-Day Conditioning of Signal Decay
- Train-Test Decay Curves for ML Signals