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Machine learning for financial prediction

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Re: Machine learning for financial prediction

#21

Post by partisan »

Bromskloss wrote: post #18
nxzero wrote: post #16

Earlier quoted context omitted.

Few years back, SEC started being very agressive about finding entities making above average returns; my understanding is that if over a set amount of transactions you're making over 30% that you will get "knocked" and the auditors have zero reason not to leak the information. Best example I know is the Walmart parking lot satellite imagery analysis; happy to dig up a link.

I'd love a link as well as additional examples, if you can think of any.

Googling "walmart parking lot analysis" yielded the following as the first result.

http://www.cnbc.com/id/38722872

Re: Machine learning for financial prediction

#22

Post by Ftuuky »

kejaed wrote: post #19
cheez wrote: post #12

Earlier quoted context omitted.

This is exactly true. I had the pleasure of having a very short sit down with one of the world's most successful traders and he said this in not so many words. It was more subtle than inside information. He implied that he could actually influence the outcome and hurried me on from that point. Mind blown.

Sounds like Billions is not that far off...

Billions is more documentary than tv show.

Re: Machine learning for financial prediction

#23

Post by xivzgrev »

Anyone know where he got all the raw data to feed his algo? Clearly he used a lot of data and the two main sources of free info i know of are google finance and yahoo finance. At least with google finance i run into issues with their api if you execute too many calls simultaneously, a bunch end up not returning any data

Re: Machine learning for financial prediction

#24

Post by dsacco »

falsestprophet wrote: post #13
egwor wrote: post #11

Earlier quoted context omitted.

Using insider information is illegal. If you mean insider information then this is total nonsense. Sure, there are a few that do illegal things (and inevitably get caught since there is so much monitoring going on).

Exactly, when I heard drugs usage was a problem in some communities I too knew that was impossible because selling and using drugs is illegal. Sure, there are a few that do illegal things (and inevitably get caught since there is so much monitoring going on).

Your middlebrow dismissal doesn't work here because the parent didn't say it's not a problem or that it doesn't happen. The parent is refuting a point that successful traders exclusively become that way by trading on illegally obtained information.

Re: Machine learning for financial prediction

#25

Post by Bromskloss »

partisan wrote: post #21
Bromskloss wrote: post #18

Earlier quoted context omitted.

I'd love a link as well as additional examples, if you can think of any.

Googling "walmart parking lot analysis" yielded the following as the first result. http://www.cnbc.com/id/38722872

Thanks. It has no information about the technique being leaked by the SEC, though.

Re: Machine learning for financial prediction

#26

Post by SyneRyder »

aj7 wrote: post #8

Really successful traders spend their obtaining insider information, not massaging public data. It stands to reason that an ensemble of technical trading methods would regress towards the mean.

Some of it can be publicly available data that others just haven't thought to use. In another comment someone has mentioned the Walmart carpark satellite imagery example, where they could estimate trends in Walmart's sales by counting the number of cars in the carpark over time.

Nik Cubrilovic recently demonstrated how information leakage can be used to trade stocks, eg estimating the growth rate of the Adobe Creative Cloud customer base based on assigned customer ID numbers, before Adobe announced the figures themselves:

http://www.itnews.com.au/news/how-an-aussie-hacker-used-info...

Re: Machine learning for financial prediction

#27

Post by TDL »

xivzgrev wrote: post #23

Anyone know where he got all the raw data to feed his algo? Clearly he used a lot of data and the two main sources of free info i know of are google finance and yahoo finance. At least with google finance i run into issues with their api if you execute too many calls simultaneously, a bunch end up not returning any data

Not sure where he got his data, but you might want to try https://www.quandl.com/

They have a free, community, curated data set of ~3200 stocks.

Re: Machine learning for financial prediction

#28

Post by melling »

dpweb wrote: post #20

There are a few problems with turning your laptop into a money machine using data analysis. Remember the maxim, past performance is not a guarantee of future results. You can develop strategies based on past data that will beat the market, but, the nature of markets is to adapt to kill your edge. Markets adapt constantly and your edge stops working at an unknown point in time. It's unknowable when that WILL happen be…

"nature of markets is to adapt to kill your edge"

If you are a low volume, small time trader, the market isn't going to move as quickly to adapt to you. If you have $100,000, for example, and return 30% a year, you aren't on anyone's radar.

Re: Machine learning for financial prediction

#29

Post by auntienomen »

melling wrote: post #28
dpweb wrote: post #20

There are a few problems with turning your laptop into a money machine using data analysis. Remember the maxim, past performance is not a guarantee of future results. You can develop strategies based on past data that will beat the market, but, the nature of markets is to adapt to kill your edge. Markets adapt constantly and your edge stops working at an unknown point in time. It's unknowable when that WILL happen be…

"nature of markets is to adapt to kill your edge" If you are a low volume, small time trader, the market isn't going to move as quickly to adapt to you. If you have $100,000, for example, and return 30% a year, you aren't on anyone's radar.

Provided you're the only one trading your strategy, which is unlikely.

Re: Machine learning for financial prediction

#30

Post by melling »

auntienomen wrote: post #29
melling wrote: post #28

Earlier quoted context omitted.

"nature of markets is to adapt to kill your edge" If you are a low volume, small time trader, the market isn't going to move as quickly to adapt to you. If you have $100,000, for example, and return 30% a year, you aren't on anyone's radar.

Provided you're the only one trading your strategy, which is unlikely.

There are trading firms that have made fortunes letting the algorithms do the trading:

http://www.fool.com/investing/general/2014/02/09/this-man-ma...

https://en.m.wikipedia.org/wiki/Renaissance_Technologies

Yes, you have to adapt but these guys play with billions.

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