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The University of Southampton
Centre for Risk Research

Risk PhD student receives publication award

Published: 14 June 2016
Machine Learning

Ming-Wei Hsu, a PhD student in the Centre for Risk Research, recently received the Southampton Business School’s PGR Publication Award for his paper ‘Bridging the Divide in Financial Market Forecasting: Machine Learners vs. Financial Economists’ which was accepted for publication in the journal Experts Systems with Applications (ABS 3*).

In the paper, Ming-Wei explained that recent machine learning studies report high accuracy in predicting price changes in financial markets, which is something considered impossible by the advocates of ‘the efficient market hypothesis’ (a theory that suggests it is impossible to "beat the market" because stock prices always reflect all available information). His study aimed to explore the reasons for the disagreement between empirical evidence in the machine learning literature and the view of financial economists. To explore this disagreement, Ming-Wei ran an extensive forecasting simulation, based on data from thirty-four financial indices, and found that the accuracy of machine learning techniques was significantly influenced by methodological factors, such as the maturity of the market, the forecasting method and the forecasting horizon. However, his research did confirm that advanced forecasting methods can be used to predict price changes in some financial markets.

The aim of Southampton Business School’s PGR Publication Award Scheme is to encourage postgraduate research students to publish their work in high-quality academic journals. The scheme provides awards of up to £1,000 for a paper accepted in a peer-reviewed scientific journal (subject to eligibility and evaluation criteria) and there is no limit to the number of applications that can be made by one student.

In response to receiving the award, Ming-Wei Hsu said "I am extremely delighted to have received this award. The incentives are given to PhD students who secure publications in SBS and this is one of the distinctive features of the SBS's PhD Programme. I believe such recognitions and rewards are a central feature of the vibrant research culture at SBS and in the Centre for Risk Research."

Ming-Wei Hsu’s PhD research is supervised by Professor Stefan Lessmann, Professor Johnnie Johnson, Professor Ming-Chien Sung and Dr Tiejun Ma.

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