Intra-day Equity Price Prediction using Deep Learning as a Measure of Market Efficiency

Understand

In finance, the weak form of the Efficient Market Hypothesis asserts that historic stock price and volume data cannot inform predictions of future prices.

• In this paper we show that, to the contrary, future intra-day stock prices could be predicted effectively until 2009.
• We demonstrate this using two different profitable machine learning-based trading strategies.
• However, the effectiveness of both approaches diminish over time, and neither of them are profitable after 2009.