4 ms·

So... can you or can you not, predict the stocks with ANN's... haha, guess I won't be quitting my job any time soon. >A stock time series is unfortunately not

by ge96 10y ago

So... can you or can you not, predict the stocks with ANN's... haha, guess I won't be quitting my job any time soon. >A stock time series is unfortunately not a function that can be mapped.

hippich 10y ago
I would say that you certainly can not predict it. But given enough information (all stocks, news, etc) sufficiently complicated LSTM-like network might be able to beat you. But feasibility of building and computing it today - I have my serious doubts :)
- ge96 10y ago
  Yeah I don't know anything about this stuff at this point. fantasy Anyway thanks
- devonkim 10y ago
  To be fair, all you really need to do in most stock market use cases is to predict measurably better than the competition to be able to get something of business value, not necessarily really close to "perfect" or within so much accuracy.
1024core 10y ago
> So... can you or can you not, predict the stocks with ANN's... haha, guess I won't be quitting my job any time soon. Not sure about "predicting" the stocks with ANNs, but how do you explain the Medallion Fund averaging about 30%/y (ballpark) without a single loss year since 1990 ? https://www.bloomberg.com/news/articles/2016-11-21/how-renaissance-s-medallion-fund-became-finance-s-blackest-box https://www.bloomberg.com/news/articles/2016-11-21/how-renai...
- brobinson 10y ago
  Or Virtu having a single losing day in a six year period? https://www.bloomberg.com/news/articles/2015-02-20/high-frequency-trader-virtu-extends-nearly-unblemished-streak https://www.bloomberg.com/news/articles/2015-02-20/high-freq... I wonder what the Sharpe Ratios of the trading systems these funds run are.
  - nomnombunty 10y ago
    Virtu does high frequency trading so it makes sense that they don't have many down days. Also HFT strategies can have ridiculous sharpe ratios of like 100
    - brobinson 10y ago
      >HFT strategies can have ridiculous sharpe ratios of like 100 Yeah, I've heard similar and it explains their basically linear equity curves...
    - makeset 10y ago
      True, although conventional metrics like Sharpe ratio or ROI are not very meaningful for HFT models, because they can't scale with any additional capital (you can safely assume they are scaled to the max). Their returns are extremely consistent, but also ultimately limited in magnitude. Rather than magical money-making machines who have cracked the "secret code" of financial markets, HFTs are essentially a fixed-cost utility service for reducing market inefficiency through improved price discovery.
- argonaut 10y ago
  Except these firms don't use LSTMs at their core. They do tons of feature engineering combined with statistical models and very simple machine learning models (think linear/logistic regression). Some firms will use more complicated black box models (which would include LSTMs), but only as one additional signal to combine with all their hand engineered features and financial models.
imaginenore 10y ago
You most certainly can, just not with such naïve approach. Jane Street is a company that does it, and they are quite open about their tech approach (just not about their specific models): https://www.youtube.com/watch?v=hKcOkWzj0_s https://www.youtube.com/watch?v=hKcOkWzj0_s Jane Street went from zero to trading $1 trillion in volume in just 15 years.

by ge96 10y ago

So... can you or can you not, predict the stocks with ANN's... haha, guess I won't be quitting my job any time soon. >A stock time series is unfortunately not a function that can be mapped.

hippich 10y ago

I would say that you certainly can not predict it. But given enough information (all stocks, news, etc) sufficiently complicated LSTM-like network might be able to beat you. But feasibility of building and computing it today - I have my serious doubts :)

ge96 10y ago
Yeah I don't know anything about this stuff at this point. fantasy Anyway thanks
devonkim 10y ago
To be fair, all you really need to do in most stock market use cases is to predict measurably better than the competition to be able to get something of business value, not necessarily really close to "perfect" or within so much accuracy.

1024core 10y ago

> So... can you or can you not, predict the stocks with ANN's... haha, guess I won't be quitting my job any time soon. Not sure about "predicting" the stocks with ANNs, but how do you explain the Medallion Fund averaging about 30%/y (ballpark) without a single loss year since 1990 ? https://www.bloomberg.com/news/articles/2016-11-21/how-renaissance-s-medallion-fund-became-finance-s-blackest-box https://www.bloomberg.com/news/articles/2016-11-21/how-renai...

brobinson 10y ago
Or Virtu having a single losing day in a six year period? https://www.bloomberg.com/news/articles/2015-02-20/high-frequency-trader-virtu-extends-nearly-unblemished-streak https://www.bloomberg.com/news/articles/2015-02-20/high-freq... I wonder what the Sharpe Ratios of the trading systems these funds run are.
- nomnombunty 10y ago
  Virtu does high frequency trading so it makes sense that they don't have many down days. Also HFT strategies can have ridiculous sharpe ratios of like 100
  - brobinson 10y ago
    >HFT strategies can have ridiculous sharpe ratios of like 100 Yeah, I've heard similar and it explains their basically linear equity curves...
  - makeset 10y ago
    True, although conventional metrics like Sharpe ratio or ROI are not very meaningful for HFT models, because they can't scale with any additional capital (you can safely assume they are scaled to the max). Their returns are extremely consistent, but also ultimately limited in magnitude. Rather than magical money-making machines who have cracked the "secret code" of financial markets, HFTs are essentially a fixed-cost utility service for reducing market inefficiency through improved price discovery.
argonaut 10y ago
Except these firms don't use LSTMs at their core. They do tons of feature engineering combined with statistical models and very simple machine learning models (think linear/logistic regression). Some firms will use more complicated black box models (which would include LSTMs), but only as one additional signal to combine with all their hand engineered features and financial models.

imaginenore 10y ago

You most certainly can, just not with such naïve approach. Jane Street is a company that does it, and they are quite open about their tech approach (just not about their specific models): https://www.youtube.com/watch?v=hKcOkWzj0_s https://www.youtube.com/watch?v=hKcOkWzj0_s Jane Street went from zero to trading $1 trillion in volume in just 15 years.