Missingness as a predictor
Question
A missingness indicator strongly predicts returns. What would you check before treating it as a usable signal?
Short answer
Check whether missingness reflects information available live or a retrospective vendor correction, coverage change, survivorship or a failed join. Compare periods and providers, inspect missingness by asset group, and reconstruct historical availability. Fit imputation and indicator rules within training. A predictive missingness pattern may be operationally fragile even when genuine; monitor it after deployment.
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Open the worked solutionLessons behind this question
- Decision Trees: Splitting Criteria and Pruning
- Boosting: AdaBoost and Gradient Boosting
- Sample Spaces, Events, and the Probability Axioms
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