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feature-transform · v1.0.0
What did the market miss?
Turns a model probability and a two-way price into the residual against the de-vigged fair price, so the model learns only what the market has not already absorbed.
Contract
- Input:
- Frame
- Output:
- Frame
- Determinism:
- pure
- Side effects:
- none
- Leakage window:
- 0s
Params (live form)
JSON
{}Citations
- Shin, H.S. (1993), "Measuring the Incidence of Insider Trading in a Market for State-Contingent Claims", Economic Journal 103:1141-1153