LambdaRankIC derives closed-form lambda gradients for pairwise rank swaps to directly optimize Rank IC within the LambdaRank framework, outperforming regression and NDCG losses on simulated and real financial data.
The Journal of Finance , volume=
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Quantile-based trading strategies for battery arbitrage fail to incentivize honest probabilistic forecasts and ignore price dependence, while stochastic programs using full distributions better connect forecast accuracy to economic value.
citing papers explorer
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LambdaRankIC: Directly Optimizing Rank IC for Financial Prediction
LambdaRankIC derives closed-form lambda gradients for pairwise rank swaps to directly optimize Rank IC within the LambdaRank framework, outperforming regression and NDCG losses on simulated and real financial data.
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Probabilistic Forecasting for Day-ahead Electricity Prices, Battery Trading Strategies and the Economic Evaluation of Predictive Accuracy
Quantile-based trading strategies for battery arbitrage fail to incentivize honest probabilistic forecasts and ignore price dependence, while stochastic programs using full distributions better connect forecast accuracy to economic value.