在M6预测竞赛结果中揭示参与和一致性的影响

IF 7.1 2区经济学 Q1 ECONOMICS

International Journal of Forecasting Pub Date : 2025-05-14 DOI:10.1016/j.ijforecast.2025.04.002

Anastasios Kaltsounis, Evangelos Theodorou, Evangelos Spiliotis, Vassilios Assimakopoulos

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引用次数: 0

摘要

M6竞赛评估了一年内的投资表现，促进了有效市场假说的辩论。本文通过揭示团队参与和绩效一致性对最终结果的影响，提供了对比赛结果的进一步见解。首先，我们确定了三种不同类型的参与，并调查了它们与投资组合效率的关系，同时也对重新提交过程所隐含的学习效应进行了有用的观察。然后，我们分析团队的月度绩效，并确定它是否与他们的全球绩效一致，还是受到极端情况的显著影响。我们的研究结果表明，在进行有利可图的投资时，一致性比参与度更重要。然而，我们发现在许多情况下，定期的投资组合更新和运气都提供了优势。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Unraveling the effect of engagement and consistency in the results of the M6 forecasting competition

The M6 competition evaluated investment performance over a period of one year, contributing to the efficient market hypothesis debate. This paper provides further insights into the outcomes of the competition by unraveling the effect that team engagement and performance consistency had on the final results. First, we identify three different types of engagement and investigate their relationship with portfolio efficiency, also making useful observations about the learning effect implied by a re-submission process. Then, we analyze the monthly performance of the teams and determine whether it aligned with their global performance or was affected significantly by extreme instances. Our results suggest that consistency is more important than engagement for making profitable investments. Nevertheless, we identify many cases where both regular portfolio updates and luck provided an advantage.

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来源期刊

International Journal of Forecasting Multiple-

CiteScore

17.10

自引率

11.40%

发文量

189

审稿时长

77 days

期刊介绍： The International Journal of Forecasting is a leading journal in its field that publishes high quality refereed papers. It aims to bridge the gap between theory and practice, making forecasting useful and relevant for decision and policy makers. The journal places strong emphasis on empirical studies, evaluation activities, implementation research, and improving the practice of forecasting. It welcomes various points of view and encourages debate to find solutions to field-related problems. The journal is the official publication of the International Institute of Forecasters (IIF) and is indexed in Sociological Abstracts, Journal of Economic Literature, Statistical Theory and Method Abstracts, INSPEC, Current Contents, UMI Data Courier, RePEc, Academic Journal Guide, CIS, IAOR, and Social Sciences Citation Index.