Prediction Revisited: The Importance of Observation

ISBN-13: 9781119895589 / Angielski / Twarda / 2022 / 240 str.

Mark P. Kritzman; David Turkington; Megan Czasonis

Spis treści

Timeline of Innovations ixEssential Concepts xiPreface xv1 Introduction 1Relevance 2Informativeness 3Similarity 4Roadmap 42 Observing Information 7Observing Information Conceptually 7Central Tendency 8Spread 9Information Theory 10The Strong Pull of Normality 14A Constant of Convenience 17Key Takeaways 18Observing Information Mathematically 20Average 20Spread 21Information Distance 24Observing Information Applied 26Appendix 2.1: On the Inflection Point of the Normal Distribution 32References 393 Co-occurrence 41Co-occurrence Conceptually 41Correlation as an Information-Weighted Average of Co-occurrence 46Pairs of Pairs 49Across Many Attributes 50Key Takeaways 52Co-occurrence Mathematically 54The Covariance Matrix 58Co-occurrence Applied 59References 664 Relevance 67Relevance Conceptually 67Informativeness 68Similarity 72Relevance and Prediction 73How Much Have You Regressed? 74Partial Sample Regression 76Asymmetry 80Sensitivity 86Memory and Bias 87Key Takeaways 88Relevance Mathematically 90Prediction 95Equivalence to Linear Regression 97Partial Sample Regression 100Asymmetry 102Relevance Applied 107Appendix 4.1: Predicting Binary Outcomes 114Predicting Binary Outcomes Conceptually 114Predicting Binary Outcomes Mathematically 116References 1215 Fit 123Fit Conceptually 123Failing Gracefully 125Why Fit Varies 126Avoiding Bias 129Precision 130Focus 133Key Takeaways 134Fit Mathematically 136Components of Fit 138Precision 139Fit Applied 1436 Reliability 149Reliability Conceptually 149Key Takeaways 153Reliability Mathematically 155Reliability Applied 163References 1687 Toward Complexity 169Toward Complexity Conceptually 169Learning by Example 170Expanding on Relevance 171Key Takeaways 175Toward Complexity Mathematically 177Complexity Applied 183References 1838 Foundations of Relevance 185Observations and Relevance: A Brief Review of the Main Insights 186Spread 187Co-occurrence 187Relevance 188Asymmetry 188Fit and Reliability 189Partial Sample Regression and Machine Learning Algorithms 189Abraham de Moivre (1667-1754) 190Pierre-Simon Laplace (1749-1827) 192Carl Friedrich Gauss (1777-1853) 193Francis Galton (1822-1911) 195Karl Pearson (1857-1936) 197Ronald Fisher (1890-1962) 199Prasanta Chandra Mahalanobis (1893-1972) 200Claude Shannon (1916-2001) 202References 206Concluding Thoughts 209Perspective 209Insights 210Prescriptions 210Index 211

O autorze

MEGAN CZASONIS is Managing Director and Head of Portfolio Management Research at State Street Associates.MARK KRITZMAN is a Founding Partner and CEO of Windham Capital Management. He is also a Founding Partner of State Street Associates and teaches a graduate course at the Massachusetts Institute of Technology.DAVID TURKINGTON is Senior Managing Director and Head of State Street Associates.