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Market prediction is one of the hardest areas for machine learning/statistics/AI to prove their value. What the system can do is monitor more inputs than a sing
by T_S_ 16y ago
Market prediction is one of the hardest areas for machine learning/statistics/AI to prove their value. What the system can do is monitor more inputs than a single trader, so the screening process can be scaled up--provided you have relevant inputs. With more signals becoming available electronically it is possible to automatically incorporate non-market prices into trading decisions. All this will require lots of non-ML engineering to supply the data (just like Google search). When monthly-issued government economic statistic stop moving the market you'll know we are there.
- HSO 16y agoThe reason for this may be that the market is made up of interacting learning machines (if you subsume humans among them). Thus, every algorithm introduced changes the basis on whcih the algorithm was selected. Talk about moving targets...
- T_S_ 16y agoI agree, and the word I would use is competing machines. Every time me (or my algo) bid up a security price I remove that "cheapness" signal from a competitor, increasing the noise they have to deal with and vice versa. ML hates noisy data. Returns are very noisy. ML has a much easier time with data generated from situations that are lacking competition, such as data from any process inside a company, e.g. consumer behavior. These are problems that want to be solved.