Even with terabytes stored in servers and observations over multiple decades, there’s actually very little data at our disposal in finance. Michael gives a fantastic presentation revealing the reasons why financial modeling is so hard—harder even than self-driving cars and diagnosing cancer.
Ed Rzeszowski (Blackrock) leads a panel exploring a variety of timely questions facing practitioners of quantitative investing strategies. The panel includes Michael Brandt (QMS Capital Management), Ewan Kirk (GAM Cantab Systematic) and Joshua Coval (Laurel Canyon Partners).
Analyzing scenarios and answering “What happens if?” is a subtly complex problem. Ewan walks through the technical challenges of such an exercise, revealing what’s gained, and also the new questions introduced, by foretesting.
In a world where a lot is mispriced by a little and little is mispriced by a lot, how should managers respond? Josh sees an important, thought provoking and fundamental tradeoff in this question.
Jim Simons recently participated in three interviews hosted by MIT, covering mathematics, finance, and philanthropy. These are rare and lengthy conversations with one of the industry’s most interesting and private people. As much as I enjoyed the talks, the finance portion reaffirmed my belief that Renaissance’s Medallion fund probably doesn’t owe its success to magic. No methods or technologies they employ would individually shock or awe, and I’d wager there’s no silver bullet or big secret to what they do. Believing this doesn’t diminish what Medallion has achieved, I don’t think, at all.
Kathryn Kaminski, Chief Research Strategist and Portfolio Manager at AlphaSimplex, will be moderating a panel at our upcoming Time Summit on April 30th / May 1st, in Pinehurst, NC. This panel will be preceded by a presentation from David Dunning, social psychologist and professor of psychology at the University of Michigan, where he will showcase his work on hypocognition – “the lack of linguistic or cognitive representation for an object, category, or idea.” In other words, hypocognition characterizes behavior in the presence of unknown unknowns. The panel will focus on the implications of hypocognition and how this could be applied to investments and finance.
There was a piece in the Financial Times last week entitled “New crop data providers cash in on US shutdown” (paywall). It detailed how the US government shutdown impacted many areas of businesses from the National Transportation Safety Administration to the USDA. The USDA crop reports were interrupted for an extended period of time, leaving many agricultural traders in the dark on government reported stocks of soybeans, corn, wheat. Third party alternative data providers have stepped in to fill the gap, using their own process of data collection and predictive analysis to produce their own set of balances.
There was an opinion piece recently posted on Bloomberg titled “Why the Quants Aren’t Adding Up.” In it, Satyajit Das describes why the recent relative underperformance of quantitative strategies (by his measure) is indicative of fundamental problems inherent to the technique. It’s the best, most vivid example I’ve yet found of confusing process (the steps taken to make a decision) and approach (the tools chosen to implement process).
Starting in 2013 Domeyard did what today sounds impossible: build an investable HFT firm from scratch. The firm believes a meaningful part of its success is due to its highly flat managerial structure and diverse team. The unique culture allows them to attract talent in a highly competitive sector. In addition to establishing an appreciation for the technical challenges of HFT, Christina discusses talent acquisition and culture development as dimensions for competitive advantage.