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Model Fingerprint

February 19, 2026
By: Andrew Li, Yin Li, David Turkington

In this paper, we propose a novel model interpretability framework named Model Fingerprint. It is a bottom‑up approach to explaining machine learning models that shifts the focus from assigning feature importance to uncovering the logical structure that drives predictions. While attribution methods such as SHAP faithfully quantify how important each feature is, importance alone is a limited set of lens – much like trying to understand a movie by listing how significant each character is without considering their interactions, pivotal moments, or how the plot unfolds. Model Fingerprint identifies sets of interacting components that make a model’s behavior intelligible and produces low‑order approximations that are compact, coherent, and extensible. Fully consistent with SHAP in the limit, it reframes interpretability by connecting attribution to logic, approximation to insight, and convergence to rigor.

 

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Author Bios
Andrew Li
Andrew Li is Head of State Street Associates APAC. Andrew’s research focuses on leveraging quantitative models to tackle investment challenges. Andrew is a frequent presenter at industry conferences, has published several articles on the investment applications of AI in the Journal of Financial Data Science, and led the development of State Street Associates’ AI/machine learning applications and tools. Andrew received his Bachelor of Science in Applied Mathematics and Economics from Brown University and Master of Finance from MIT. Andrew is a Chartered Financial Analyst.
Yin Li
Yin Li is a Quantitative Researcher on the Portfolio Management Research team at State Street Associates. He is responsible for developing and implementing quantitative tools that support SSA’s initiatives in currency hedging, asset allocation, and investment strategy.
David Turkington
David Turkington is Senior Managing Director and Head of State Street Associates, State Street Markets’ decades-long partnership with renowned academics that produces innovative research on markets and investment strategy. David is a frequent presenter at industry conferences, has published more than 40 research articles in a range of journals, and serves on the editorial board of the Journal of Alternative Investments. He is the co-author of three books including “Asset Allocation: From Theory to Practice and Beyond” and “Prediction Revisited: The Importance of Observation.” His published research has received the 2010 Graham and Dodd Scroll Award, five Bernstein-Fabozzi/Jacobs-Levy Outstanding Article Awards, the 2013 Peter L. Bernstein Award for best paper in an Institutional Investor journal, the 2021 and 2023 Roger F. Murray First Prize for outstanding research presented at the Q Group seminars, and the 2022 and 2023 Harry Markowitz awards for best paper in the Journal of Investment Management.
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1. Peter L. Bernstein Award for Best Article in an Institutional Investor Journal in 2013; Bernstein-Fabozzi/Jacobs-Levy Award for Outstanding Article in the Journal of Portfolio Management in 2006, 2009, 2011, 2013 (2), 2014, 2015, 2016, 2021; Graham & Dodd Scroll Award for article in the Financial Analysts Journal in 2002 and 2010. Roger F. Murray First Prize for Research Presented at the Q Group Conference in 2012, 2021, 2023. Harry M. Markowitz Award for Best Paper in the Journal of Investment Management in 2022, 2023. Doriot Award for Best Private Equity Research Paper in 2022.