stockparfait / experiments

Statistical experiments with financial data
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DeriveAlpha: ignore the extreme buckets #64

Closed sergey-a-berezin closed 1 year ago

sergey-a-berezin commented 1 year ago

The extreme buckets are effectively catch-all buckets for all the values outside of the buckets range, and they may overcount the values. These buckets should be ignored, in addition to ignoring counts below some threshold.

Additionally, with float64 counts and biased sampling, it makes more sense to ignore buckets by the actual sample counts rather than by the real-valued weights.