2009/01/05 by Andreas Krause, Krause, Andreas
Decision Sciences · Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #FOS: Economics and business #Financial Markets and Investment Strategies #Portfolio Management (q-fin.PM) #Stock Market Forecasting Methods #q-fin.PM
paper · pdf · doi:10.48550/arxiv.0901.0447
12 pages with 9 figures
arxiv created 2009/01/05 · openalex publication_date 2009/01/05 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We propose a prediction model based on the minority game in which traders continuously evaluate a complete set of trading strategies with different memory lengths using the strategies' past performance. Based on the chosen trading strategy they determine their prediction of the movement for the following time period of a single asset. We find empirically using stocks from the S&P500 that our prediction model yields a high success rate of over 51.5% and produces higher returns than a buy-and-hold strategy. Even when taking into account trading costs we find that using the predictions will generate superior investment portfolios.