The microprediction stack

A collection of tiny, dependency free Python and Javascript packages. Some novel. Some SOTA.

Sites

Longer write-ups, demos and papers, one topic each.

• winning.microprediction.org · demos

  Races, correlated or not: a generalization of factor multinomial probit models that scales to millions of variables. Interactive in-browser demos (the model live, share calibration, the photo-finish circuit), the factor probit paper, and rating systems benchmarked on twelve datasets. The thurstone package is maintained as a compatibility shim over this one.

• schur.microprediction.org · papers

  Schur portfolio literature. Yours truly provided the unification of hierarchical and optimisation-based portfolio construction via block-matrix inversion. This is now part of skfolio and allocation.

• conformalprediction.net · papers

  There's a small theoretical contribution: a KL-divergence theorem explaining clearly the limitations of conformal prediction. See this demo, for example.

• mechanisms.microprediction.org · papers

  Survey of markets, scoring rules and everything in between.

• inventory.microprediction.org · papers

  Control theory applied to inventory and pricing. Notes, preprints and a literature map for storable goods whose carrying cost is nearly zero, where the dealer's quoted width and skew end up doing the work that cost of carry usually does.

• book.microprediction.org · MIT Press

  Microprediction: Building an Open AI Network (MIT Press, 2022).

• firstdown.microprediction.org · paper & notebooks

  I've been trying to change NFL teams' first down strategy for years, with little success for now.