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Yup, it might be picking up on a few clear negative signals like profit warnings and positive signals like mergers. It doesn't seem to be doing much better tha
by kokey 8y ago
Yup, it might be picking up on a few clear negative signals like profit warnings and positive signals like mergers. It doesn't seem to be doing much better than the old Bayesian classifiers on Reuters feeds do, though since it's more advanced it may potentially be better, but that's a big maybe.
- soVeryTired 8y agoA fuller analysis would show the time-series of total stock returns and mark the corresponding prediction. I've built these models professionally, and these are some questions I would expect to be asked: Did all the true 'low return' predictions happen during a bear market, or is there a good temporal mix between predictions? Did they all happen for the same company? If so, it it possible the report was revised after publication? What horizon are they measuring performance over? What happens if the change that horizon? What happens if they lag the prediction by a day? What happens if they use a finer granularity than high / medium / low?