Showing posts with label Kissell Research Group. Show all posts
Showing posts with label Kissell Research Group. Show all posts

Friday, April 26, 2013

Predicting the Stock Market using Big Data

In the paper Quantifying Trading Behavior in Financial Markets Using Google Trends researchers Tobias Preis, Helen Susannah Moat and H. Eugene Stanley have shown that an increase in activity of certain search terms from Google Trends correlates with a decline in stock prices in the Dow Jones Industrial Average (DJIA). The authors then compared investment strategies to show that the search activity isn't just a correlation, but can be used as a valid predictor of market activity.

This graph shows the DJIA on the left, and color codes 3 week periods in the graph according to search frequencies of the word debt. Note that red weeks, like late October of 2008 correspond with declines in the DJIA.  So when lot's of people were searching for the work debt, the stock market went down.

The word Debt was the best performing term in the study.  Notably , it performed better than terms like nyse ,nasdq, and dow jones.

The researchers then compared a Google Trends investment strategy to a basic Buy and Hold strategy and a random Dow Jones strategy.

The results were remarkable.  The Google Trends strategy far exceeded the other strategies.

Tuesday, April 9, 2013

Kissell Research Group Conference

It was a tremendous honor to be asked to speak at the inaugural conference of  Kissell Research Group in New  York.  Dr. Robert Kissell is highly respected in financial circles, so the room at The Harvard Club was packed.  I spoke about Smart Technology for Big Data .  The conference was a huge success and we were mentioned in the latest newsletter from Institutional Investor Journals called The Voices of Influence. The Publisher Allison Adams wrote
"To put it in perspective, I was recently invited to attend an event on algorithmic trading hosted by Kissell Research Group. The last presentation by Michael Blake was on Smart Technology for Big Data." ...more
 Dr Kissell's presentation on the I-Star Impact Model and Dr Roberto Malamut's talk on Quantitative Trading were the highlights of the day, so trust me , I was riding on their coattails.

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