Predicting Stock Returns with Batched AROW
Abstract
We extend the AROW regression algorithm developed by Vaits and Crammer in [VC11] to handle synchronous mini-batch updates and apply it to stock return prediction. By design, the model should be more robust to noise and adapt better to non-stationarity compared to a simple rolling regression. We empirically show that the new model outperforms more classical approaches by backtesting a strategy on S\&P500 stocks.
- Publication:
-
arXiv e-prints
- Pub Date:
- March 2020
- DOI:
- 10.48550/arXiv.2003.03076
- arXiv:
- arXiv:2003.03076
- Bibcode:
- 2020arXiv200303076G
- Keywords:
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- Quantitative Finance - Computational Finance;
- Statistics - Machine Learning