Hypothesis
Nonparametric machine-learning models — neural networks and support vector machines with polynomial and RBF kernels — would forecast the direction of Korea's KOSPI 200 index, with Google Trends search data and ensembling improving accuracy.
What failed
The results were inconsistent with prior studies generally credited with high prediction performance: Google Trends terms were not effective predictors in these frameworks, and ensemble methods did not improve accuracy.
Broken assumption
Machine-learning models, search-trend features and ensembling can predict stock index direction as earlier studies claimed.
Why
The paper reports the hypothesis tests on these controversial points rather than a mechanism; the implication is that earlier reported performance does not hold up under its framework.
From the published paper: Pyo et al. PLoS ONE, 2017. ↗CC BY