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Hedging algorithms with lag

Project description

# ledge

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Hedging algorithms with lag.

Besides the regular setting of ‘prediction with expert advice’, we are interested in working with truth values with _lags_. This results in a partially observed truth value for the present (and the past) at each step. In a discrete time setting with delays in accurate characterization of _final_ truth, a truth value is specified by:

  1. timepoint: The time itself
  2. lag: Time the value was revealed - timepoint

## Usage

ledge is a composed from a bunch of types and functions. It works with [DataArrays](http://xarray.pydata.org/en/stable/generated/xarray.DataArray.html#xarray.DataArray) for model _predictions_, _losses_ and _truths_.

There is no single model and the user is supposed to _compose_ a model using the components in here. Each module is written as a literate [org-mode](https://orgmode.org/) file and contains usage documentation for the containing functions. Start with the main file ./ledge/README.org.

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