The Options Market Beat 97.6% of Participants in the M6 Financial Forecasting Contest
… and you can probably beat 97.6% of your model wielding business competitors if you think hard about the implications for data science pipelines.
As of today I have permission to make public my somewhat mischievous entry in the year-long M6 stock and ETF forecasting contest. The intent of my entry was to hijack the usual “model versus model” battle. I wanted to see a “market versus model” fight: one where the contest community faced off against a community of a very different kind.
Outline:
- The hijack
- Methodology for the options benchmark entry in more detail
- Results and interpretation: skill versus luck in M6
- Broader ramifications
Executive summary:
The contest was placed uncomfortably close to a powerful source of predictive power (the options market) and was ripped apart by tidal forces. That makes it a great experiment.
1. A Grand Cultural Battle
Modern terminology for applied mathematics and invented divisions (data science, statistics, machine learning, predictive modeling…) rather get in the way of a more important delineation in the smackdown I wanted to witness: one waged between cultures to some…