Predicting Stock Returns with Batched AROW


الملخص بالإنكليزية

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.

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