Question: has anyone managed to do this? (eg. do hedge funds do this, or do they combine algorithms with their own ideas and quasi-insider knowledge, plus massi

Question: has anyone managed to do this? (eg. do hedge funds do this, or do they combine algorithms with their own ideas and quasi-insider knowledge, plus massive amounts of timely data - inaccessible to an individual). My old supervisor (ACM fellow) comforted my failure to create AI by saying that lots of other clever people hadn't done it either. I have a feeling that you are attempting something more difficult that AI - ie, algorithmic inference without the data that your competitors have. Because of their better information, they will find a regularity (eg. 0.01% dip on Wednesdays) quicker than you - and trade it away. It would be awesome if you could do it though - forget the philosopher's stone aspect of gold-for-nothing, this would be a very cool intellectual achievement. Idea: focus on small markets/exchanges (unpopular metals, unpopular countries, even non-financial markets, like eBay) that don't attract the attention of big players. Easier to find arbitrage there; you can make some actual money, and then move onto a bigger market with your learnings, earnings, and confidence. Sort of a niche strategy. Personal Note: My AI research depressed me, and I (wisely) decided to shelve it. It's been incredibly more satisfying to work with others, to achieve doable goals, that benefit others. Fortunately, AI comes up in everything; and my current approach (of not doing AI directly) may well be the most effective way to approach the goal. It might be the same with you - both markets and inference are universal. EDIT So, Tantalus = low-hanging fruit + moving-goalposts http://en.wikipedia.org/wiki/Tantalus#Story_of_Tantalus http://en.wikipedia.org/wiki/Tantalus#Story_of_Tantalus