Yearly Archives: 2013

Nobel Prize U.S. winner warns of ‘bubbly’ global home prices

One of three American economists who won the 2013 economics Nobel prize on Monday for research into market prices and asset bubbles expressed alarm at the rapid rise in global housing prices. Robert Shiller, who shared the 8 million Swedish

Posted in Bubbles and Crashes Tagged with: , , , , , , , , , , , , , , , , , , , ,

Can value be extracted from company issued guidance?

CIMB Group is a major, Asian bank and brokerage headquartered in Kuala Lumpur, Malaysia. Branches exist in Australia, Brunei, Cambodia, Indonesia, Laos, Myanmar, Philippines, Singapore, Thailand, and Vietnam. CIMB analyst, Eben Van Wyk of Australia, is one of the researchers

Posted in Book One: Forty Trading Strategies Based On Scientific Findings About Analysts' Forecasts Tagged with: , , , , , , , , , , , , , , , , , , , ,

Scientific approaches to algorithmic trading, part 4 of 4

Jeffrey Mishlove interviews David Aronson. Aronson is author of Evidence Based Technical Analysis and Statistically Sound Machine Learning for Algorithmic Trading of Financial Instruments. Here Aronson describes different types of machine learning.

Posted in scientific understanding of financial markets Tagged with: , , , , , , , , , , , , , , , , , , , ,

The Alpha Interface cited in research report by Asian CIMB

CIMB Group is a major, Asian bank and brokerage headquartered in Kuala Lumpur, Malaysia. Branches exist in Australia, Brunei, Cambodia, Indonesia, Laos, Myanmar, Philippines, Singapore, Thailand, and Vietnam. CIMB analyst, Eben Van Wyk of Australia, is one of the researchers

Posted in Book One: Forty Trading Strategies Based On Scientific Findings About Analysts' Forecasts Tagged with: , , , , , , , , , , , , , , , , , , , ,

Scientific approaches to building trading systems, part 3 of 4

Jeffrey Mishlove interviews David Aronson. Aronson is author of Evidence Based Technical Analysis and Statistically Sound Machine Learning for Algorithmic Trading of Financial Instruments. Here Aronson focuses on the strengths and weaknesses of the Monte Carlo method for statistical validation

Posted in scientific understanding of financial markets Tagged with: , , , , , , , , , , , , , , , , , , , ,

Skepticism toward the possibility of scientific understanding of financial markets

Recently, I posed a question on several different LinkedIn discussion groups. The question was worded somewhat differently for each group, in order to maintain an alignment with the group focus. But, essentially, all of the question asked “When is studying

Posted in scientific understanding of financial markets Tagged with: , , , , , , , , , , , , , , , , , , , ,

Scientific approaches to building trading strategies, part 2 of 4

Jeffrey Mishlove interviews David Aronson. Aronson is author of Evidence Based Technical Analysis and Statistically Sound Machine Learning for Algorithmic Trading of Financial Instruments. Here Aronson describes some of the pitfalls and biases that effect traders and how the scientific

Posted in scientific understanding of financial markets Tagged with: , , , , , , , , , , , , , , , , , , , ,

Scientific approaches to building trading strategies, part 1 of 4

Jeffrey Mishlove interviews David Aronson. Aronson is author of Evidence Based Technical Analysis and Statistically Sound Machine Learning for Algorithmic Trading of Financial Instruments. Here Aronson describes how traders can benefit from the application of statistics and probability theory.

Posted in scientific understanding of financial markets Tagged with: , , , , , , , , , , , , , , , , , , , ,

Research using news-based indicators, part 4 of 4

In this final segment, Peter Hafez, Director of Quantitative Research for the data provider RavenPack, addresses the question of the potential diminishing utility of news-based indicators as more traders incorporate them in their trading arsenal.

Posted in Book Three: Twenty-Five Trading Strategies Based on Scientific Findings About Business and Financial News Tagged with: , , , , , , , , , , , , , , , , ,

Research on news-based indicators, part 3 of 4

In this segment, Peter Hafez describes particular details concerning empirical research studies that show how both stocks and currencies respond to news-based, sentiment indicators. Peter Hafez is Director of Quantitative Research for the data provider RavenPack. Jeffrey Mishlove, PhD, is

Posted in Book Three: Twenty-Five Trading Strategies Based on Scientific Findings About Business and Financial News Tagged with: , , , , , , , , , , , , , , , , ,

Book Three: Trading With The News

Learn about a news-based trading system that yielded a back-tested, average annualized, compounded return from 2000 to 2011 of 58.6%.

“Only once you’ve done your homework will you be able to understand how the stock market works and learn to distinguish between news and noise.” Maria Bartiromo, Use The News

Book Two: Technical Analysis

Learn about the "trend recalling" algorithm that yielded researchers a simulated annual return of greater than 400% in multiple tests.

“The scientific method is the only rational way to extract useful knowledge from market data and the only rational approach for determining which technical analysis methods have predictive power.”
David Aronson, Evidence Based Technical Analysis

Book One: Analysts’ Forecasts

Learn the strategy, based on analysts' revised forecasts, that yielded researchers an average of 1.13% - 2.19% profit per trade, for trades lasting one to two days?

Learn how certain analysts' recommendations, following brokerage hosted investment conferences, yielded profits of over 3% during a two-day holding period?

Learn how researchers found an average profitability of 1.78% for two-hour trades following an earnings announcement?

"This set of tools can help both ordinary and professional investors alike to re-think and re-vitalize their stock picking, timing and methods. A young, aspiring Warren Buffet could put this book to good use."
James P. Driscoll, PhD, investor

Statistically Sound Machine Learning for Algorithmic Trading of Financial Instruments by David Aronson (software included)

Evidence-Based Technical Analysis by David Aronson

Archive of Earlier Posts