Mastering Python for Finance - Second Edition

Mean absolute error as a risk metric

The mean absolute error (MAE) is a risk metric that measures the average absolute prediction error and can be written as follows:

Here, y and are the actual and predicted lists of values, respectively, with the same length, n. and y_i are the predicted and actual values, respectively, at the index i. Taking the absolute values of errors means that our output results in a positive decimal value. Low values ...