Algometrics: Forecasting Under Algorithmic Feedback

arXiv:2605.23978v1 Announce Type: new Abstract: In algorithmic markets, predictive models become part of the data-generating process they aim to forecast. Once their outputs are converted into trades, allocations, execution schedules, or risk controls, they change the future data on which they are evaluated. I introduce algometrics, a framework for time series whose evolution depends on the predictive algorithms forecasting them. The framework distinguishes historical risk, measured under passi