It is a common misconception that in order to make consistent profits as a trader, one needs to posses some extra information leading to an asset value estimation more accurate than that reflected by the current market price. While the idea makes intuitive sense and is also well substantiated by the widely popular Kelly criterion, we prove that it is generally possible to make systematic profits with a completely inferior price-predicting model. The key idea is to alter the training objective of the predictive models to explicitly decorrelate them from the market, enabling to exploit inconspicuous biases in market maker's pricing, and profit on the inherent advantage of the market taker. We introduce the problem setting throughout the diverse domains of stock trading and sports betting to provide insights into the common underlying properties of profitable predictive models, their connections to standard portfolio optimization strategies, and the, commonly overlooked, advantage of the market taker. Consequently, we prove desirability of the decorrelation objective across common market distributions, translate the concept into a practical machine learning setting, and demonstrate its viability with real world market data.
翻译:一种常见的错误概念是,为了作为交易商取得一贯利润,人们需要掌握一些额外信息,导致资产价值估计比当前市场价格反映的更准确。虽然这一理念具有直觉意义,并得到了广为人知的Kelly标准的充分证实,但我们证明,通常有可能以完全低劣的价格预测模式来取得系统性利润。关键的想法是改变预测模型的培训目标,以明确将其从市场中剥离出来,从而利用市场制造商定价的不明显偏差,利用市场收购商的内在优势来获取利润。我们在整个股票交易和体育赌博的不同领域提出问题,以深入了解有利可图的预测模型的共同基本特性、它们与标准组合优化战略的联系,以及通常被忽视的市场收购商的优势。因此,我们证明,在共同市场分布中,我们更需要把这一概念转化为实用的机器学习环境,并用真实的世界市场数据展示其可行性。