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Oct, 2022
预测对冲和校准
Forecast Hedging and Calibration
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Dean P. Foster, Sergiu Hart
TL;DR
本文提出了预测对冲的概念来提高预测准确性,通过确定性和固定点法以及随机和极小化法来区分预测对冲工具,进一步给出了连续校准的改进定义和长期股票动态,提出了一种新的标定预测程序,适用于二元事件。
Abstract
calibration
means that forecasts and average realized frequencies are close. We develop the concept of
forecast hedging
, which consists of choosing the forecasts so as to guarantee that the expected track record
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