Research Article | Open Access | Download PDF
Volume 69 | Issue 9 | Year 2023 | Article Id. IJMTT-V69I9P502 | DOI : https://doi.org/10.14445/22315373/IJMTT-V69I9P502
An Automated Statistical Learning Trading Model, Based on a Prior Data Study of the U.S. Markets from 1929 to 2019
Timothy A. Smith, Lauren Meyer
| Received |
Revised |
Accepted |
Published |
| 13 Jul 2023 |
19 Aug 2023 |
04 Sep 2023 |
22 Sep 2023 |
Abstract
The phrase “one should not try to time the market” is some of the most valuable pieces of advice any new investor can hear, and while it is not desired to challenge that notion it is believed that portfolio rebalancing should be done when one sees danger on the horizon. In this paper, two main topics are discussed: Firstly, it is demonstrated through current data that the notion of 80/20 or 70/30 etc portfolio with the smaller portion being in bonds does carry risk to loss of principal in the bonds. Thus, an alternate investment instrument is proposed that yields the safety of a bond coupon, but also has potential for growth over time. Then, a mathematical model is presented to automate this method by the use of a statistical learning technique. The abstract theory of this method is presented in full detail, including a logical sketch of the algorithm utilized, but the exact algorithm is not presented as it is considered proprietary.
Keywords
Regression, Supervised machine-learning, Longitudinal, Macroeconomic, Trading model.
References
[1] Hendrik Bessembinder, "Wealth Creation in the US Public Stock Markets 1926-2019," The Journal of Investing, vol 30, no 3, pp. 47-61, 2021.
[CrossRef] [Google Scholar] [Publisher Link]
[2] Atreyee Sinha Chakraborty, "Innovation, Technology Transfer and North-South Trade," SSRG International Journal of Economics and Management Studies, vol. 3, no. 6, pp. 11-15, 2016.
[CrossRef] [Publisher Link]
[3] Ibuomo R. Tebepah, "Digital Signal Processing for Predicting Stock Prices Using IBM Cloud Watson Studio," SSRG International Journal of Computer Science and Engineering, vol. 7, no. 1, pp. 7-11, 2020.
[CrossRef] [Publisher Link]
[4] SHAWN TULLY, Just 5 stocks including Nvidia account for 96% of the SP 500's gains this year, Fortune, 2023. [Online]. Available: https://fortune.com/2023/05/30/nvidia-spx-index-stock-market-outlook/
[5] S&P 500 Market Cap, 2023. [Online]. Available: https://ycharts.com/indicators/sp_500_market_cap
[6] Faisal Khan, "Macroeconomic Factors and Stock Market Inefficiency: Role of Trading Effect," SSRG International Journal of Economics and Management Studies, vol. 7, no. 3, pp. 8-14, 2020.
[CrossRef] [Publisher Link]
[7] Rohit B R et al., "Stock Market Prediction using Machine Learning," SSRG International Journal of Communication and Media Science, vol. 7, no. 2, pp. 6-9, 2020.
[CrossRef] [Publisher Link]
[8] Timothy A. Smith, and Alcuin Rajan, "A Regression Model to Predict Stock Market Mega Movements and/or Volatility using both Macroeconomic Indicators & Fed Bank Variables," International Journal of Mathematical Trends and Technology, vol 49, no 3, pp. 165-167, 2017.
[CrossRef] [Publisher Link]
[9] Sanjoy Kumar Saha, Nilufar Easmin, and Partho Sarathi Laskar, "Gravity Model and Trade Flow of Selected 20 Countries," SSRG International Journal of Economics and Management Studies, vol. 5, no. 3, pp. 22-30, 2018.
[CrossRef] [Publisher Link]
[10] The United States Consumer & Producer Price Index and Unemployment Rate, Bureau of Labor statistics website, 2023. [Online]. Available: http://data.bls.gov/
[11] The United States Gross Domestic Product, Bureau of Economic Analysis website, 2023. [Online]. Available: https://www.bea.gov/data/gdp/gross-domestic-product
[12] Andalan Tri Ratnawati, "The Effect of Trading Volume Activities, Earning Per Share and Stock Returns on Market Value Added (Empirical Study on LQ45 Companies)," SSRG International Journal of Economics and Management Studies, vol. 8, no. 2, pp. 79-82, 2021.
[CrossRef] [Publisher Link]
[13] Thi Hoang Oanh Nguyen, "Preferential Trade Agreements: Development Trends and their Effects," SSRG International Journal of Economics and Management Studies, vol. 9, no. 4, pp. 1-16, 2022.
[CrossRef] [Publisher Link]
[14] The United States Money Measures, Board of Governors of the Federal System website, 2023. [Online]. Available: https://www.federalreserve.gov/releases/h6/current/default.htm
[15] The United States Federal Funds Rate, H.15 Selected Interest Rates, Board of Governors of the Federal System website, 2023. [Online]. Available: https://www.federalreserve.gov/releases/h15/
Citation :
Timothy A. Smith, Lauren Meyer, "An Automated Statistical Learning Trading Model, Based on a Prior Data Study of the U.S. Markets from 1929 to 2019," International Journal of Mathematics Trends and Technology (IJMTT), vol. 69, no. 9, pp. 8-12, 2023. Crossref, https://doi.org/10.14445/22315373/IJMTT-V69I9P502
PDF 
Abstract 
Keywords 
References 
Citation