Stock Market Research Papers

Stock Market Research Papers-80
Literally every single paper was either p-hacked, overfit, or a subsample of favourable data was selected (I guess ultimately they're all the same thing but still) OR a few may have had a smidge of Alpha but as soon as you add transaction costs it all disappears.Almost every instrument is mean-reverting on short timelines and trending on longer timelines.i.e.

Literally every single paper was either p-hacked, overfit, or a subsample of favourable data was selected (I guess ultimately they're all the same thing but still) OR a few may have had a smidge of Alpha but as soon as you add transaction costs it all disappears.Almost every instrument is mean-reverting on short timelines and trending on longer timelines.i.e.

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Keep playing the game and longer term impacts add up.

But do the fundamentals of an individual investment matter in the short term compared to the fundamentals of the market as a whole?

fundamentals matter rather litte Having a small impact is not the same a having zero impact.

Traders operate over longer timeframe even if they are holding an individual stock for minutes there is a limited pool of stocks.

So, every piece of data on the published balance sheet, plus maybe any reported board actions. My personal conclusion is that when people get a winning strategy they don’t publish. And after doing all the research myself AND trying to sell my algorithm.

I personally put my money where my mouth was for a few years:https://austingwalters.com/backtesting-our-100-yoy-profit-ge... This can disappear any time and the model I use may only be good in this environment. I think that’s the challenge with papers, you don’t honestly know when or if the strategy works. I honestly don’t think the industry knows what it’s doing either. I'm sure if they found one strategy that worked, after putting that much time into their research it would be really stupid to announce to the whole world that it works.Your standard models won’t be able to track that, because it’s usually something like a “black swan” event[1]. I think even a 50% loss one year wouldn’t be the end of the world.[1] https://en.m.wikipedia.org/wiki/Black_swan_theory Just a guess, but: if you come up with a successfull algorithm, you still need to have money that can be invested in order to use the algorithm.So maybe someone else with 100x more money to invest would pay more for the algorithm than you could earn from it in a lifetime.he confirms the momentum factor, which isn't surprising since there's more solid evidence for it than anything else, going back hundreds of years.He doesn't say what fundamental factors he looked at, so it's possible that value, size, and profitability/quality would hold up as well.Because, hooo, boy, your 20% Yo Y returns sound great, but may not be taking enough risk of a similar collapse into account.It does take those risks into account and I tested it on 2006-2008 previously.They'll isolate one factor, or a small related group, and see if it's predictive.Two simple factors that are well supported: on a risk-adjusted basis, stocks of small companies do better than big ones, and value stocks do better than growth stocks.I would suspect that the “longer term impacts add[ing] up” would just be market health.Day-trading randomly-picked stocks with random buys and sells is a Markov approximation of an index fund :)I know as little about this as you do; my own gathering is that “fundamentals” are any signal you can get from a public company’s mandated quarterly reporting.

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