I look forward to your Nobel prize. I am sure that they will put an asterisk next to French and
French (Eugene Fama was awarded the Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel in 2013. The Nobel Prize was awarded jointly to Eugene F. Fama, Lars Peter Hansen, and Robert J. Shiller “for their empirical analysis of asset prices.”) And a few of the economists who came after.
Can’t wait.
Pretty much an international conspiracy. Just as I thought. It is so unfair.
No, I’ stuck oh whether we can agree on RoseBud. Take you time. Others seemed to understand what I meant (including a machine). But by all means, take your time.
Others and a machine were able to understand–and I thought–had some great answers as to how much impact P123 has on the market.
So, while we await the final definitive answer on the value of Fama and French’s theories, I did ask a machine what was meant to be a practical question and it seemed to understand, at least. See for yourself, but perhaps similar in some regards to what Yuval and ImanRoshi said.
Anyway, it did not go into an infinite loop over my definitions and seems to understand what I really wanted to know. In fact, no infinite loop and it was pretty quick actually.
Q: So Portflio123.com is a site that you may be aware of. Can you tell me how much market impact or arbitrage it might have for micro-caps. I undertstand much of your information is limited but do you have a guess. You could also compare to say Zacks’ if you have more information about Zacks
A: "I don’t have real-time or the most recent data access currently to provide precise insights or statistics. However, I can share some general thoughts based on the nature of these platforms and the general characteristics of micro-cap stocks:
Portfolio123 is a platform geared towards individual investors and traders looking to develop, backtest, and implement quantitative trading strategies. Given the nature of its user base, which might comprise a considerable number of individual retail investors, the market impact on micro-cap stocks could potentially be as follows:
Limited Market Impact: The cumulative market impact from users of Portfolio123 might be limited compared to large institutional investors because individual retail investors usually trade in smaller volumes.
Potential for Increased Liquidity: If a significant number of users on Portfolio123 are focusing on micro-cap stocks, it might increase liquidity in these stocks to a certain extent, which can be beneficial for the market dynamics of these stocks.
Information Dissemination: Platforms like Portfolio123 can sometimes bring more attention to lesser-known micro-cap stocks if they are included in popular or high-performing strategies shared within the community.
Zacks, on the other hand, is a well-known investment research firm that provides data, research, and analysis to both individual and institutional investors. The potential market impact from Zacks’ research and recommendations could be as follows:
Potential for Larger Market Impact: Zacks’ research and analysis are widely followed in the investment community. So, their recommendations and analysis can potentially have a larger market impact compared to Portfolio123, especially if they cover micro-cap stocks in their research reports.
Influence on Institutional Investors: Zacks provides services to a number of institutional clients. Recommendations or analysis from Zacks could potentially influence the investment decisions of these institutional clients, which might have a more significant market impact given the larger trade volumes of institutional investors.
Potential for Increased Volatility: Given the smaller market capitalization and generally lower liquidity of micro-cap stocks, any significant buying or selling pressure resulting from recommendations or analysis from well-followed platforms like Zacks could potentially lead to increased volatility in these stocks.
Micro-cap stocks, due to their smaller size, can be more susceptible to market impacts from trading activities compared to larger-cap stocks. Even relatively small trades can sometimes move the prices significantly. Moreover, they might be less covered by analysts and researchers, which means that any new information or analysis can potentially have a more significant impact.
However, it’s important to note that the actual market impact would depend on a variety of factors including the specific circumstances of the market at that time, the nature of the information or analysis being disseminated, and the broader market dynamics at play. It would be speculative to quantify the potential market impact without concrete data and analysis.
Which is what i said in my original post.
My original post was more a question about how much I wanted to share and whether I even want P123 to be a machine learning powerhouse than being tied to any grand theories.
I thought Yuval had a thoughtful opinion, BTW. I certainly do not disagree. Probably agree more than disagree. But for sure I do not have all of the answers on this question.
Your quoted opinion above is very good, I think.
I will say this. P123 is capable, and darn powerful even if it is used by a relative few now!!! If not within the platform even my laptop can do a lot. And I could figure out AWS. I think it would be affordable. I could “pickle” the results and run it locally or in Colab.
The potential, at least, is not to be taken lightly. Remember Skynet (Terminator) started as a phone app (sort of, in Terminator Genisys). But seriously, P123 has more potential than most realize, including P123 staff sometimes.
Best,
Jim
Duckruck,
Thank you for the discussion. Sorry it took me so long to understand the point you were making. I don’t disagree.
Jim (AKA noise trader) 
Meant in a totally positive way as I suspect you are one of a few who will get the joke from EMH theory. I don’t mean that to imply agreement with EMH theory on my part (just a joke that actually kind of makes your point about P123 member’s affect on the market not being arbitrage by any meaning, I think).
What an interesting discussion!
I have been wondering lately how much of my own strategy’s success is simply taking advantage of a certain persistent but kind of insane tendency among institutional investors (expatiated on below) and how much is due to “mispricing.” I’ll tackle the latter first. A stock must have some intrinsic value, or else there would be no reason for a tiny community bank to have a lower market cap than Goldman Sachs. If a stock has an intrinsic value, then it can be fairly priced (i.e. the stock price will give it a market cap or enterprise value that is, say, within the range of 0.5 to 2 times the intrinsic value) or mispriced. If it is mispriced, one can sometimes profitably buy or sell stocks based on their relationship to their intrinsic value. This will work well sometimes (e.g. 2020) and not well at all other times (e.g. 2019). The “tendency” I was referring to earlier is the entire phenomenon of “growth” investing, which really makes no sense. Growth in earnings, sales, or free cash flow has almost no persistence, and past growth tends to mean revert. Using growth factors in intrinsic value calculations tends to distort rather than clarify that value. Investors overreact to earnings reports, using growth estimates or past growth as signs that intrinsic value will go up or down, and they’re wrong to do so. Not only is growth not persistent and mean-reverting, but, depending on company management, can actually destroy value. Yet many of the most profitable factors in my quiver are growth factors. I assume this is because they enable me to get ahead of institutional investors, who often come to the table a little late after a terrific earnings report. (“Surprises” are far from the only thing that will impress institutional investors about an earnings report; a terrific earnings report can still fall short of estimates and a terrible earnings report can exceed them.) Perhaps this latter tendency is what duckruck calls “pump-and-dump,” though, again, definitions are important. Pump and dump schemes involve buying a stock, talking it up, and then selling it after the price rises. I don’t see that happening with nanocaps like PFIE because there’s practically no conversation taking place at all.
Anyway, these are just a few things that occur to me after reading the above thread . . . A lot of food for thought . . .
Just to addd to the definitions.
EMH and those doing arbitrage put a lot of emphasis on “noise traders.” Marc mentioned them in one of his threads. I believe it is noise traders that move stocks away from their intrinsic value according to the theory. Or perhaps that is an oversimplification of the importance they place on the idea of “noise traders.”
So when I started this thread, I was thinking of someone like say Marc Gerstein trained in finance as someone at P123 who would be moving stocks to their intrinsic value.
I seems Yuval may have some factors that tend to do that too. While not hedged and not engaging in classic arbitrage "RoseBud" traders can be seem as moving the market to its intrinsic value.
But some traders are irrational and these are called “noise traders” I believe.
Then there are those (meant in a good way) who are rational but capitalize on noise traders irrationally who probably push the market further away from its intrinsic value. I don’t know what these people are called but you only have to study a little game theory to know they would have to exist.
So perhaps we are noise traders or magnifying the effect of noise traders in some sense by recognizing what noise traders will do to move the market, at least temporarily.
If so, timing is everything which is my real practical question. I don’t intend to get too far away from that practical question.
Boring paper on noise trading to see how serious they are about it: Noise Trading, Underreaction, Overreaction and Information Pricing
Jim
Going long AMC and causing a short squeeze was a clear manipulation—to the point that it got a Senate investigation and some harsh words from Senator Warren. Supporting your idea that this does happen, I think.
Also to some extent the institutions who were shorting AMC might have been engaging in statistical arbitrage, making this discussion pertinent on many levels.
Support: The Reddit collaboration to cause a short squeeze of AMC was investigated by the Senate Financial Services Committee. The committee held a hearing on the matter in February 2022.
The hearing was attended by representatives from Reddit, Robinhood, and the Securities and Exchange Commission (SEC). The committee members questioned the witnesses about the events that led to the short squeeze, and they also asked about the potential risks and benefits of retail investors collaborating on social media to trade stocks.
I’m just saying STATISTICAL arbitrage exists and some use it sometimes.
I paper traded some pairs-trades that used hierarchical clustering, cointegration and correlations. It is harder than it looks, BTW.
I am going. to insist on sticking with that definition on this one. We do not need a new name for that one. Not that every short is an example of statistical arbitrage which I never said, BTW. 
Okay hereby named “statistical ” going forward.
I am so glad we are getting this sorted out finally. I am going to be writing a long letter to Investopedia about this. Right after I write the Swiss Nobel Prize committee of course.