Research Markets

Comparing tail forecasts: the number of exceedances is the sample size

Oct 29, 2026 Source ↗

Key Insights

When two forecasts of a tail, such as prediction intervals at high coverage, extreme quantiles or expected shortfall (ES), are compared by a consistent score, the score difference is known in advance.

Cite this synthesis DOI: 10.48550/arXiv.2610.40366 ↗

Show formatted citation

@misc{ acaciamarkets-research-comparing-tail-forecasts-the-number-of-exceedances-is-the-sa,
  title = { Comparing tail forecasts: the number of exceedances is the sample size },
  author = { Leszek },
  year = { 2026 },
  doi = { 10.48550/arXiv.2610.40366 },
  url = { http://arxiv.org/abs/2610.40366v1 },
  note = {Summarized and classified by AcaciaFund}
}

TY  - GEN
TI  - Comparing tail forecasts: the number of exceedances is the sample size
AU  - Leszek
PY  - 2026
DO  - 10.48550/arXiv.2610.40366
UR  - http://arxiv.org/abs/2610.40366v1
ER  -

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Overview

When two forecasts of a tail, such as prediction intervals at high coverage, extreme quantiles or expected shortfall (ES), are compared by a consistent score, the score difference is known in advance

Key Topics

Market Microstructure: A theme covered by this item within the markets context.

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Key Takeaways

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Article Metadata

Evergreen Synthesized

market-microstructure

Market Microstructure

SQI 0.750