Questions tagged [information]

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2
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1answer
63 views

Square Information Ratio

I have read the following sentence : " The information ratio measures the active management opportunities, and the square of the information ratio indicates our ability to add value " ( In the Grinold'...
2
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0answers
31 views

Connections between logistic regression, information value and Kullback-Leibler

I am new to credit risk modeling, my background is in mathematics and physics, so I am looking to justify some commonly used techniques from first principles. Suppose that we are interested in ...
3
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0answers
111 views

Replication of “A model of competitive stock trading volume”

I am replicating the paper "A model of competitive stock trading volume" by Jiang Wang http://web.mit.edu/wangj/www/pap/Wang94.pdf for a research project . I realize this is a very specific question ...
0
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1answer
45 views

Calculation of Information Ratio

When calculating an information ratio, should the average of monthly returns be used or the cumulative monthly returns be used? Thanks!
0
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1answer
132 views

How is breadth for Information Ratio Calculated

An alternative definition of the information Ratio (sharpe ratio) is: $IR = IC\sqrt{BR}$ I have been reading Grinold and Kahn. I have the following questions for calculating BR: Q1. If 500 stocks ...
1
vote
2answers
143 views

About the number of independent forecasts in the Fundamental Law of Active Management

The original FLAM predicts the information ratio by $$ IR = IC \times \sqrt{N} $$ where $IR$ is the Information Ratio, $IC$ is the information Coefficient and $N$ is the number of independent ...
3
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0answers
46 views

Characterizing relation “ has no less information than” between information systems represented by Markovian matrices

I crossposted this question on math.stackexchange. Background: Suppose that an investor's utility is both determined by the state and her action taken. A fact of life is that she can't observe the ...
1
vote
1answer
403 views

what is considered material information? [closed]

I'm trying to understand what is considered "material" information held by an executive of a company. There is company information that an executive (say insider) will know that a public investor will ...
1
vote
2answers
864 views

What information do stock exchange colocated servers have access to?

In high frequency and low latency trading, decisions are done on the spot by servers colocated in stock exchanges. This implies that those servers have immediate access to the information they need to ...
4
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0answers
119 views

single channel for multiple feeds of news? [closed]

I subscribe to various blogs and twitter feeds which I use to parse for keywords. Many times these subscriptions do not include topics which are of the primary concern. Are there multiplex channels ...
3
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0answers
313 views

What does T statistics of Information Coefficient indicate?

Hi I am looking for a clear explanation of T statistics concept. Especially in quantitative equity portfolio management context, what does T statistics of monthly Information Coefficient for one ...
18
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4answers
762 views

Variable Selection in factor models

Let's say you have a dependent variable and many independent variables. What are the preferred metrics for sorting and selecting variables based on explanatory power? Let's say you are not concerned ...