BlackRock shelves unexplainable AI liquidity models

Re:BlackRock shelves unexplainable AI liquidity models by projectramo on Tuesday November 13, 2018 @09:27AM (#18441140)

If you do some kind of PCA, that should help work out the correlations between the coefficients, though you are right these can be hard to interpret (although sometimes they have a natural interpretation).

And typically, you would demean, and divide by the standard deviation.

I guess the coefficients are harder to interpret in this second case than if you did not transform them, but they're still interpretable.

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Re:BlackRock shelves unexplainable AI liquidity models by a-dub on Tuesday November 13, 2018 @07:09PM (#18446110)

One trick I like to do in PCA is to sweep each of the variables, one at a time, in the low-d subspace and then project back up. Looking at these sweeps in the original space gives some hand-wavey "intuition" for what each low-d variable is capturing.

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