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The stock market is a complex adaptive system where the agents are constantly changing their strategies so that even if you were to find inefficiencies or patte
by leet_thow 7y ago
The stock market is a complex adaptive system where the agents are constantly changing their strategies so that even if you were to find inefficiencies or patterns, they are only ephemeral.
- alanbernstein 7y agoFrom the post: > The easiest way to test whether it was truly Alpha decay or just overfitting by the authors is just to reproduce the paper then go further back in time instead of further forwards. For the papers that I could reproduce, all of them failed regardless of whether you go back or forwards. :)
- deepnotderp 7y agoThis is why the truly successful quant groups like Renaissance continuously adjust their strategies and come up with new ones. Renaissance in particular has invested heavily into their data processing pipeline which enables them to have a significant advantage over the rest of the field.
- leet_thow 7y agoYes, if I remember correctly from an interview I saw with the founder he mentioned that the barrier to entry used to be high and that commodities markets 'used to' trend.