4 ms·

Does anyone know of any paper that describes a reproducible method of generating above normal returns in the mature western financial markets? Nope. Me neither.

by chvid 9y ago

proofofstake 9y ago
Do you consider cryptocurrency mature?
- chvid 9y ago
  Nope. But even for those types of market I doubt that there exists an academic paper describing a reproducible trading strategy/method with above normal returns.
  - proofofstake 9y ago
    https://pdfs.semanticscholar.org/db15/1836543d8a70db1dabef3dee43637a7cd29f.pdf https://pdfs.semanticscholar.org/db15/1836543d8a70db1dabef3d... "Bayesian regression and Bitcoin" > The strategy is able to nearly double the investment in less than 60 day period when run against real data trace. http://cs229.stanford.edu/proj2015/029_report.pdf http://cs229.stanford.edu/proj2015/029_report.pdf "Algorithmic Trading of Cryptocurrency Based on Twitter Sentiment Analysis" http://journals.plos.org/plosone/article?id=10.1371/journal.pone.0177630 http://journals.plos.org/plosone/article?id=10.1371/journal.... "When Bitcoin encounters information in an online forum: Using text mining to analyse user opinions and predict value fluctuation" https://pdfs.semanticscholar.org/e065/3631b4a476abf5276a264f6bbff40b132061.pdf https://pdfs.semanticscholar.org/e065/3631b4a476abf5276a264f... "Automated Bitcoin Trading via Machine Learning Algorithms"
    - chvid 9y ago
      "Based on this price prediction method, we devise a simple strategy for trading Bitcoin. The strategy is able to nearly double the investment in less than 60 day period when run against real data trace." From the paper "Bayesian regression and Bitcoin". I think are more relevant question is: This is clearly not the case in the real world - so why does it appear to be like that? But thanks for the links; I will enjoy reading through them.
      - proofofstake 9y ago
        Do you mean by "the real world" that Bitcoin price prediction does not work in the real world? Or that stock market prediction/strategies do not work in the real world?
MichaelDickens 9y ago
Two obvious ones: [1] Fama and French, 1992. The Cross-Section of Expected Stock Returns. http://faculty.som.yale.edu/zhiwuchen/Investments/Fama-92.pdf http://faculty.som.yale.edu/zhiwuchen/Investments/Fama-92.pd... [2] Jegadeesh and Titman, 1993. Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency . https://www.jstor.org/stable/2328882 https://www.jstor.org/stable/2328882 These don't use machine learning but they do answer your question.

Does anyone know of any paper that describes a reproducible method of generating above normal returns in the mature western financial markets? Nope. Me neither.

by chvid 9y ago

Does anyone know of any paper that describes a reproducible method of generating above normal returns in the mature western financial markets? Nope. Me neither.

proofofstake 9y ago

Do you consider cryptocurrency mature?

chvid 9y ago
Nope. But even for those types of market I doubt that there exists an academic paper describing a reproducible trading strategy/method with above normal returns.
- proofofstake 9y ago
  https://pdfs.semanticscholar.org/db15/1836543d8a70db1dabef3dee43637a7cd29f.pdf https://pdfs.semanticscholar.org/db15/1836543d8a70db1dabef3d... "Bayesian regression and Bitcoin" > The strategy is able to nearly double the investment in less than 60 day period when run against real data trace. http://cs229.stanford.edu/proj2015/029_report.pdf http://cs229.stanford.edu/proj2015/029_report.pdf "Algorithmic Trading of Cryptocurrency Based on Twitter Sentiment Analysis" http://journals.plos.org/plosone/article?id=10.1371/journal.pone.0177630 http://journals.plos.org/plosone/article?id=10.1371/journal.... "When Bitcoin encounters information in an online forum: Using text mining to analyse user opinions and predict value fluctuation" https://pdfs.semanticscholar.org/e065/3631b4a476abf5276a264f6bbff40b132061.pdf https://pdfs.semanticscholar.org/e065/3631b4a476abf5276a264f... "Automated Bitcoin Trading via Machine Learning Algorithms"
  - chvid 9y ago
    "Based on this price prediction method, we devise a simple strategy for trading Bitcoin. The strategy is able to nearly double the investment in less than 60 day period when run against real data trace." From the paper "Bayesian regression and Bitcoin". I think are more relevant question is: This is clearly not the case in the real world - so why does it appear to be like that? But thanks for the links; I will enjoy reading through them.
    - proofofstake 9y ago
      Do you mean by "the real world" that Bitcoin price prediction does not work in the real world? Or that stock market prediction/strategies do not work in the real world?

MichaelDickens 9y ago

Two obvious ones: [1] Fama and French, 1992. The Cross-Section of Expected Stock Returns. http://faculty.som.yale.edu/zhiwuchen/Investments/Fama-92.pdf http://faculty.som.yale.edu/zhiwuchen/Investments/Fama-92.pd... [2] Jegadeesh and Titman, 1993. Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency . https://www.jstor.org/stable/2328882 https://www.jstor.org/stable/2328882 These don't use machine learning but they do answer your question.