Model accuracy actually isn't actually a great measure of predictive power, because it's sensitive to base rates.
I was told that you only run into severe problems with model accuracy if the base rates are far from 50%. Accuracy feels pretty interpretable and meaningful here as the base rates are 30%-50%.
As far as I know, if you don't have a utility function, scoring classifiers in an interpretable way is still kind of an open problem, but you could look at ROC AUC as a still-interpretable but somewhat nicer summary statistic of model performance.
Although ROC area under curve seems to have an awkward downside in that it penalises you for having poor prediction even when you set the sensitivity (the threshold) to a bad parameter. The F Score is pretty simple, and doesn't have this drawback - it's just a combination of some fixed sensitivity and specificity.
As you point out, there is ongoing research and discussion of this, which is confusing because as far as math goes, it doesn't seem like that hard of a problem.
Subscribe to RSS Feed
= f037147d6e6c911a85753b9abdedda8d)
Sometimes, especially in markets and other adversarial situations, inaction is secretly a way to avoid adverse selection.
Even if you're a well-calibrated agent--so that if you randomly pick 20 events with a 5% subjective probability, one of them will happen--the set "all events where someone else is willing to trade on odds more favorable than 5%" is not a random selection of events.
Whether the Bitcoin markets are efficient enough to worry about this is an open question, but it should at least be a signal for you to make your case more robust than pulling a 5% number out of thin air, before you invest. I think the Reddit commenters were reasonable (a sentence I did not expect to type) for pointing this out, albeit uncharitably.
In my experience, this simply shifts the debate to which reference class is the best-fitting one, aka reference-class tennis. For instance, a bitcoin detractor could argue that the reference class should also include Beanie Babies, Dutch tulips, and other similar stores of value.