Stock Market Research Papers

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] 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.Is your "winning" strategy so different from other social data / sentiment analysis approaches?

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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.

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.

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?All those have been studied pretty extensively in academia, in papers going back decades.The author took only a fairly random sampling of recent papers.Shouldn't it be easy for some large firm to replicate your approach and make the alpha disappear?Shouldn't it be easy for some large firm to replicate your approach and make the alpha disappear First, I don't think alpha ever fully disappears.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: 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.People are worried about sharpe ratios and all this BS stuff. My personal conclusion is that when people get a winning strategy they don’t publish. On the other hand, in the trading world where everyone is a competitor, you might want to deliberately introduce some confusion - but it looks like plenty of actors are doing this anyway.The reality is for these models you mitigate risk via temporary and ever changing methods. I hope that your personal implementation of your strategy takes into account 2008 ;).("Value" means the stock is cheap relative to some simple fundamental measure like the company's book value.)Please don't downvote this comment.There's a huge difference between short term trading and investing.


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