Join Early Retirement Today
Thread Tools Search this Thread Display Modes
Robot better than humans calling the market
Old 02-17-2016, 10:19 PM   #1
Thinks s/he gets paid by the post
gcgang's Avatar
Join Date: Sep 2012
Posts: 1,021
Robot better than humans calling the market

This Japanese Robot Calls the Market Better Than a Human - Bloomberg Business

Bloomberg article about Japanese guy w PhD in AI building a robot and correctly predicting market moves 30 days out 68% of the time.

What % would you get if you just predict "up"?

Missed the 15% down move in Jan. Doesn't seem that impressive.

Why is this a story?

In theory, there's no difference between theory and practice. In practice, there is. YB
gcgang is offline   Reply With Quote
Join the #1 Early Retirement and Financial Independence Forum Today - It's Totally Free!

Are you planning to be financially independent as early as possible so you can live life on your own terms? Discuss successful investing strategies, asset allocation models, tax strategies and other related topics in our online forum community. Our members range from young folks just starting their journey to financial independence, military retirees and even multimillionaires. No matter where you fit in you'll find that is a great community to join. Best of all it's totally FREE!

You are currently viewing our boards as a guest so you have limited access to our community. Please take the time to register and you will gain a lot of great new features including; the ability to participate in discussions, network with our members, see fewer ads, upload photographs, create a retirement blog, send private messages and so much, much more!

Old 02-17-2016, 10:59 PM   #2
Give me a museum and I'll fill it. (Picasso)
Give me a forum ...
NW-Bound's Avatar
Join Date: Jul 2008
Posts: 20,711
From the article:

The model makes a simple call -- whether the equity index will be higher or lower after 30 days -- and over almost four years it’s been right 68 percent of the time.
Don't know about the Nikkei, but the S&P 500 daily movement is up 53.6% and down 46.4% for the period of 1950-2015. So, 68% is indeed a bit better than average.

However, if the 32% that the model is wrong costs you more money than what it makes you when it is right, then it's still no good.

For example, suppose that in the 68% of the time when it is right the market only moves 1% or 2%, but in the remaining 32% when the model is wrong the market moves 10% or more in 30 days, it still costs you money.

"Old age is the most unexpected of all things that can happen to a man" -- Leon Trotsky
NW-Bound is offline   Reply With Quote
Old 02-18-2016, 05:48 AM   #3
Full time employment: Posting here.
jjquantz's Avatar
Join Date: Jan 2014
Location: Northern Virginia
Posts: 874
But because the daily movement is biased upward, the monthly movement will be biased upward even more strongly. I wouldn't be surprised if, historically, the S&P is up about 68% of the time month over month. A quick look at year over year data shows that it's up about 80% of the time on a yearly basis, so 68% sounds about right for the historical month over month movement. I've seen this referenced somewhere, but I can't remember where.
jjquantz is offline   Reply With Quote
Old 02-18-2016, 06:17 AM   #4
Give me a museum and I'll fill it. (Picasso)
Give me a forum ...
Join Date: Jun 2005
Posts: 8,944
68% is very close to the number reported in those Dollar-Cost-Averaging versus Lump-Sum studies. LS beats DCA about 68% of the time, but not by much.
LOL! is offline   Reply With Quote
Old 02-18-2016, 06:24 AM   #5
Thinks s/he gets paid by the post
photoguy's Avatar
Join Date: Jun 2010
Posts: 2,301
My guess is either that just predicting "up" all the time results in a 68% correct rate for the timeframe of data used, he massively overfit to the test set, or he made some other experimental error.

Sent from my iPad using Early Retirement Forum
photoguy is offline   Reply With Quote

Currently Active Users Viewing This Thread: 1 (0 members and 1 guests)
Thread Tools Search this Thread
Search this Thread:

Advanced Search
Display Modes

Posting Rules
You may not post new threads
You may not post replies
You may not post attachments
You may not edit your posts

BB code is On
Smilies are On
[IMG] code is On
HTML code is Off
Trackbacks are Off
Pingbacks are Off
Refbacks are Off

Similar Threads
Thread Thread Starter Forum Replies Last Post
Most of what your doctor does, a robot can do better MichaelB Health and Early Retirement 31 04-26-2014 04:51 AM
Humans Crave Violence Just Like Sex Wags Other topics 8 01-20-2008 09:59 AM
So what is wrong with humans. newguy88 Other topics 0 07-22-2007 06:43 AM
Financial Theory vs Flawed Humans mickeyd FIRE and Money 17 08-01-2006 10:33 AM
A remote control that works on humans. Nords Other topics 0 10-30-2005 09:17 AM


All times are GMT -6. The time now is 04:06 PM.
Powered by vBulletin® Version 3.8.8 Beta 1
Copyright ©2000 - 2018, vBulletin Solutions, Inc.