Machine Learning Stock Sector Risk vs Classical Risk Sector Measures

September 18, 2023
Sergey Okun This article was written by Sergey Okun – Senior Financial Analyst, I Know First, Ph.D. in Economics.

Summary:

  • Rapid development and implementation of AI algorithms in the investing area required reconsidering the concept of risk.
  • The effectiveness of ML training and subsequent forecasting depends on the quality of training data.
  • XLE is the least risky sector for further sufficient learning and forecasting, despite its high volatility and required investment risk premium.

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Space of Chaos on the Stock Market

September 15, 2022
Sergey Okun This article was written by Sergey Okun – Senior Financial Analyst, I Know First, Ph.D. in Economics.

Summary:

  • The S&P 500 demonstrates a consistent long-term memory that enables us to implement machine learning methods for prediction purposes.
  • The S&P 500 has become more predictable since Covid-19 introduced itself in 2020.
  • Investors have begun to consider fewer factors than they did before 2020.

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Stock Market Forecast: Does the Stock Market Feature Memory?

April 28, 2022
This article was written by:

Sergey Okun Sergey Okun – Financial Analyst at I Know First, Ph.D. in Economics.

Alisa IartsevaAlisa Iartseva – Data analyst at I Know First.

Highlights:

  • The stock market has a long-term memory that allows us to make reliable predictions of the future based on previous behaviors and tendencies.
  • The S&P 500 has the highest Hurst exponent compared with the DAX 30, the CAC 40, and the FTSE 100.
  • The Hurst exponent rises with the extension of the step period length which decreases noise in a time series and increases predictability.

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