Blog Archives

The challenge facing artificial intelligence

John McCarthy (1927-2011) is considered by many to be one of the fathers of the field of artificial intelligence. He was the creator of the LISP programming language; and founder of the artificial intelligence laboratory at Stanford University. In this Thinking

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Knowledge engineering and expert systems in the financial markets

Between 1986 and 2002, I hosted the weekly television series, Thinking Allowed, interviewing leading figures about psychology, philosophy, science, health, and spirituality. In the interview that is excerpted below, I interviewed Edward Feigenbaum and his colleague Penny Nii. Feigenbaum was widely

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Profiting from changes to the Nasdaq 100 index

Yuanbin Xu (2012), writing his masters degree thesis at Brock University, in St. Catherines, Ontario, Canada, examined stock market reactions around the Nasdaq-100 index reconstitutions from 1997 to 2010. The Nasdaq-100 index changes have been performed in two ways: regular

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Identifying expert microblog forecasters

Bar-Haim and colleagues (2011) from the Hebrew University of Jerusalem downloaded tweets from the StockTwits.com website during two periods: from April 25, 2010, to November 1, 2011, and from December 14, 2010, to February 3, 2011. A total of 340,000

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The rise of the supercomputer

In this era of cloud computing, big data, server farms, and the smartphone in your pocket that’s vastly more powerful than a roomful of computers of previous generations, it can be easy to lose sight of the very definition of

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The adaptive markets hypothesis

There is a view, developed primarily by Andrew Lo (2004), at MIT, that financial markets are ecological systems in which different groups (“species”) compete for scarce resources. Called the adaptive markets hypothesis (AMH), it posits that markets will exhibit cycles

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Can this incredibly fluid, political situation be modeled mathematically?

It has only been a few minutes since my previous blog post that was based upon a news announcement, this morning, that the Republican House of Representatives planned to offer its own bill to end the government shut down and

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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