[Colloquium] [masters-presentation] Jiang/MS Presentation/Jul 10, 2020

[Margaret Jaffey]

This is an announcement of Jingwen Jiang's MS Presentation.

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Date:  Friday, July 10, 2020

Time:  11:00 AM

Place:  remote zoom Join Zoom Meeting

M.S. Candidate:  Jingwen Jiang

M.S. Paper Title: (Re-)Imag(ine)ing Price Trends

Abstract:
We reconsider the idea of trend-based predictability using methods
that flexibly learn price patterns that are most predictive of future
returns, rather than testing hypothesized or pre-specified patterns
(e.g., momentum and reversal). Our raw predictor data are
images---stock-level price charts---from which we elicit the price
patterns that predict returns using machine learning image analysis
methods (CNN). The predictive patterns we identify are largely
distinct from trend signals commonly analyzed in the literature, give
more accurate return predictions, translate into more profitable
investment strategies, and are extraordinarily robust. They also
appear context-independent: Predictive patterns perform equally well
in different market and macroeconomic regimes, and patterns learned
from US stocks predict equally well in international markets.

Jingwen's advisors are Prof. Janos Simon and Prof. Dacheng Xiu

Login to the Computer Science Department website for details:
 https://newtraell.cs.uchicago.edu/phd/ms_announcements#jingwen

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Margaret P. Jaffey            margaret at cs.uchicago.edu
Department of Computer Science
Student Support Rep (JCL 350)              (773) 702-6011
The University of Chicago      http://www.cs.uchicago.edu
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