Chapter 7: Defining the Learning Task
Reading the Information Coefficient: Stability, ICIR, and Horizon Decay intermediate
IC is a learnability screen for continuous labels, not a compressed backtest.
IC is a learnability screen for continuous labels, not a compressed backtest.
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References
The Elements of Quantitative Investing
Giuseppe A. Paleologo
(2025)
— John Wiley & Sons
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
Narasimhan Jegadeesh, Sheridan Titman
(1993)
— The Journal of Finance
Active portfolio management: A quantitative approach for providing superior returns and controlling risk
Richard C.. Grinold, Ronald N.. Kahn
(2000)
— McGraw-Hill
Information Coefficient as a Performance Measure of Stock Selection Models
Feng Zhang, Ruite Guo, Honggao Cao
(2020)