
Deep Learning for Forecasting Stock Returns in the Cross-Section [pdf] - poster123
https://arxiv.org/ftp/arxiv/papers/1801/1801.01777.pdf
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Jeff_Brown
Economist here.

No matter how fancy your pattern detection algorithm is, it can't find
information that isn't there. If the patterns it's trying to detect are
generated by strategic agents (traders) who learn, the algorithm's predictions
aren't likely to be reliable for very long.

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mlevental
you're an economist and you don't understand that macroscopically phenomena
can be much different than in aggregate microscopically?

