HOME



picture info

Backtesting
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 the economic and financial field, 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. Historically, backtesting was only p ...
[...More Info...]      
[...Related Items...]     OR:     [Wikipedia]   [Google]   [Baidu]  


picture info

Value At Risk
Value at risk (VaR) is a measure of the risk of loss of investment/capital. It estimates how much a set of investments might lose (with a given probability), given normal market conditions, in a set time period such as a day. VaR is typically used by firms and regulators in the financial industry to gauge the amount of assets needed to cover possible losses. For a given portfolio, time horizon, and probability ''p'', the ''p'' VaR can be defined informally as the maximum possible loss during that time after excluding all worse outcomes whose combined probability is at most ''p''. This assumes mark-to-market pricing, and no trading in the portfolio. For example, if a portfolio of stocks has a one-day 5% VaR of $1 million, that means that there is a 0.05 probability that the portfolio will fall in value by $1 million or more over a one-day period if there is no trading. Informally, a loss of $1 million or more on this portfolio is expected on 1 day out of 20 days (because of 5% p ...
[...More Info...]      
[...Related Items...]     OR:     [Wikipedia]   [Google]   [Baidu]  




Hindcasting
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 the economic and financial field, 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. Historically, backtesting was only pe ...
[...More Info...]      
[...Related Items...]     OR:     [Wikipedia]   [Google]   [Baidu]  


picture info

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 analyze 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 electroni ...
[...More Info...]      
[...Related Items...]     OR:     [Wikipedia]   [Google]   [Baidu]  


picture info

Climate
Climate is the long-term weather pattern in a region, 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 is the Köppen climate classification. The Thornthwaite system, in use since 1948, incorporates evapotranspiration along ...
[...More Info...]      
[...Related Items...]     OR:     [Wikipedia]   [Google]   [Baidu]  


picture info

Climate Model
Numerical climate models (or climate system models) are mathematical models that can simulate the interactions of important drivers of climate. These drivers are the atmosphere, oceans, land surface and ice. Scientists use climate models to study the dynamics of the climate system and to make projections of future climate and of climate change. Climate models can also be qualitative (i.e. not numerical) models and contain narratives, largely descriptive, of possible futures. Climate models take account of incoming energy from the Sun as well as outgoing energy from Earth. An imbalance results in a change in temperature. The incoming energy from the Sun is in the form of short wave electromagnetic radiation, chiefly visible and short-wave (near) infrared. The outgoing energy is in the form of long wave (far) infrared electromagnetic energy. These processes are part of the greenhouse effect. Climate models vary in complexity. For example, a simple radiant heat transfer model ...
[...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), integrating historical meteorological observations onto a regularly spaced global grid for retrospective weather data analysis. 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 at a resolution of 125 km. 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. The reanalysis product ERA5, released by ECMWF as part of the Copernicus Climate Change Service, features a spatial resolution of 31 km and currently spans from 1940 to the present. It has since become one of the most widely used global historical weather datasets in sc ...
[...More Info...]      
[...Related Items...]     OR:     [Wikipedia]   [Google]   [Baidu]  


picture info

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 nee ...
[...More Info...]      
[...Related Items...]     OR:     [Wikipedia]   [Google]   [Baidu]  


Predictive Modelling
Predictive modelling uses statistics to Prediction, 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 e-mail spam, spam. Models can use one or more classifier (mathematics), 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 i ...
[...More Info...]      
[...Related Items...]     OR:     [Wikipedia]   [Google]   [Baidu]  


Climate
Climate is the long-term weather pattern in a region, 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 is the Köppen climate classification. The Thornthwaite system, in use since 1948, incorporates evapotranspiration along ...
[...More Info...]      
[...Related Items...]     OR:     [Wikipedia]   [Google]   [Baidu]