[2020년 제 5차] Charting By Machines
작성자 : 관리자
조회수 : 197
게시일 :
2020-12-11
We test the efficient markets hypothesis by using machine learning to forecast future
stock returns from historical price plots. These forecasts strongly predict the cross
section of future stock returns. The predictive power holds in most subperiods, is
strong among the largest 500 stocks, and is distinct from momentum and reversal.
The forecasting relation is highly non-linear and remarkably stable through time. Our
research design ensures that our findings are not a result of data snooping. We conclude
that the efficient markets hypothesis does not hold and that investment strategies based
on technical analysis and charting may have merit.
