Predicting mid-to-mid price change over ~100 ticks is table stakes for a big quant fund (and easy even without ML). If you can monetise the prediction after accounting for latency, commissions, bid/offer spread and slippage, *then* I’ll be interestedhttps://www.bloomberg.com/news/articles/2021-06-08/man-group-oxford-quants-say-their-ai-can-predict-stock-moves …
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Replying to @macrocephalopod
I need to read but the BBG quote was 80% accuracy over 30s ... Not sure what the predictor was but sounded fishy. Most of these papers end up being a bit fishy. Real life is hard.
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Replying to @mathtick
Quoting a % accuracy sounds like they were just predicting direction -- much easier than predicting returns because there are many small moves that are easy to predict as up/down using order book or whatever, but are totally unmonetizable.
8:11 AM - 9 Jun 2021
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