Huerta, Ramon; Corbacho, Fernando; Elkan, Charles - In: Algorithmic Finance 2 (2013) 1, pp. 45-58
This paper investigates the profitability of a trading strategy based on training a model to identify stocks with high or low predicted returns. A tail set is defined to be a group of stocks whose volatility-adjusted price change is in the highest or lowest quantile, for example the highest or...