Quantitative Investors have long been charged with an exhilarating challenge - to derive insight from data. To support this ardor, a plethora of traditional data and technology vendors have entrenched themselves as critical partners in our pursuit of Alpha.
Over the last decade, a new partner in the pursuit of “automated truth from data” has emerged. Billions of dollars in Venture Capital funding have created an ecosystem of “Big Data”, “Cognitive Intelligence”, “Cloud Technology”, etc. companies seeking to extract information from anything and everything (e.g. unstructured text, sensors, satellites, etc.). This “Data Revolution” began in California and is now blossoming globally.
As “Silicon Alley” brings financial technology to the mainstream, what new opportunities await the ambitious? What disruptions threaten the complacent? And which historical analogs best illuminate the path forward for Quantitative Investors in the “Data Economy”?
Empowering Quants in the Data Economy by Napoleon Hernandez at QuantCon 2016Quantopian
The proliferation of novel data sources has awoken quantitative investors to the promise of “Big Data”. Billions of venture capital funding has created an ecosystem of companies to help investors extract information out of unstructured text, sensors, etc. A “Vision for Quants in the Data Economy” is nice, but what does it take to turn that vision into reality? Join Data Capital Management as we discuss some of the breakthroughs by companies like Twitter, Google and Facebook that are empowering quantitative investors to extract alpha from “Big Data."
Beyond Semantic Analysis Utilizing Social Finance Data Sets to Improve Quanti...Quantopian
Leigh will present Moving Beyond Semantic Analysis and Sentiment - Deriving Alpha from Crowdsourced and other Social Finance Datasets. Leigh is the founder and CEO of Estimize. Prior to founding Estimize, Leigh ran Surfview Capital, a New York based quantitative investment management firm trading medium frequency momentum strategies. He was also an early member of the team at StockTwits where he worked on product and business development. Leigh got his start in the institutional finance world as a quantitative analyst with Geller Capital, a White Plains-based hedge fund. He holds a B.A. in political science and economics with an emphasis on war theory from Hunter College in New York City.
This presentation was part of QuantCon 2015 hosted by Quantopian. Visit us at: www.quantopian.com.
"Alpha from Alternative Data" by Emmett Kilduff, Founder and CEO of Eagle AlphaQuantopian
From QuantCon 2017: At J.P. Morgan's annual quantitative conference 93% of investors said alternative data will change the investment landscape.
In this presentation, Emmett will discuss the rapidly increasing adoption of alternative data, give a detailed overview of the 24 different types of alternative data, outline the applications of alternative data for quantitative funds, discuss interesting datasets that are available (including Asian datasets) and present case studies that evidence value in alternative datasets.
"Supply Chain Earnings Diffusion" by Josh Holcroft, Head of Quantitative Rese...Quantopian
Supply chains and network effects are becoming increasingly important and increasingly transparent in the global economy. However, conventional techniques are poorly equipped to handle relational data, and new techniques are required to decode the meaning of supply chain effects. We explore a novel technique for modelling and forecasting the diffusion of earnings revisions, known as a diffusion graph kernel support vector machine.
Crowdsource Earnings Predictions and the Quantopian Research PlatformQuantopian
In this presentation, we will show you examples on how to incorporate multiple sources of earning predictions into your algorithms and why the sources matter. You will also get a sneak peek of our new beta research environment - where you can use IPython notebooks to analyze curated datasets, algorithms, and backtest results.
Quantopian provides this presentation to help people write trading algorithms - it is not intended to provide investment advice.
More specifically, the material is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory or other services by Quantopian.
In addition, the content neither constitutes investment advice nor offers any opinion with respect to the suitability of any security or any specific investment. Quantopian makes no guarantees as to accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
Market Timing, Big Data, and Machine Learning by Xiao Qiao at QuantCon 2016Quantopian
Return predictability has been a controversial topic in finance for a long time. We show there is substantial predictive power in combining forecasting variables. We apply correlation screening to combine twenty variables that have been proposed in the return predictability literature, and demonstrate forecasting power at a six-month horizon. We illustrate the economic significance of return predictability through a simulation which takes positions in SPY proportional to the model forecast.
The simulated strategy yields annual returns more than twice that of the buy-and-hold strategy, with a Sharpe ratio four times as large. This application of big data ideas to return predictability serves to shift the sentiment associated with market timing.
Data Driven Product Management - ProductTank Boston Feb '14Quantopian
Practical Ideas and Tools PMs Can And Should Use to Make Decisions
Talk given at Boston ProductTank Meetup. http://www.meetup.com/ProductTank-Boston/events/165579612/
Empowering Quants in the Data Economy by Napoleon Hernandez at QuantCon 2016Quantopian
The proliferation of novel data sources has awoken quantitative investors to the promise of “Big Data”. Billions of venture capital funding has created an ecosystem of companies to help investors extract information out of unstructured text, sensors, etc. A “Vision for Quants in the Data Economy” is nice, but what does it take to turn that vision into reality? Join Data Capital Management as we discuss some of the breakthroughs by companies like Twitter, Google and Facebook that are empowering quantitative investors to extract alpha from “Big Data."
Beyond Semantic Analysis Utilizing Social Finance Data Sets to Improve Quanti...Quantopian
Leigh will present Moving Beyond Semantic Analysis and Sentiment - Deriving Alpha from Crowdsourced and other Social Finance Datasets. Leigh is the founder and CEO of Estimize. Prior to founding Estimize, Leigh ran Surfview Capital, a New York based quantitative investment management firm trading medium frequency momentum strategies. He was also an early member of the team at StockTwits where he worked on product and business development. Leigh got his start in the institutional finance world as a quantitative analyst with Geller Capital, a White Plains-based hedge fund. He holds a B.A. in political science and economics with an emphasis on war theory from Hunter College in New York City.
This presentation was part of QuantCon 2015 hosted by Quantopian. Visit us at: www.quantopian.com.
"Alpha from Alternative Data" by Emmett Kilduff, Founder and CEO of Eagle AlphaQuantopian
From QuantCon 2017: At J.P. Morgan's annual quantitative conference 93% of investors said alternative data will change the investment landscape.
In this presentation, Emmett will discuss the rapidly increasing adoption of alternative data, give a detailed overview of the 24 different types of alternative data, outline the applications of alternative data for quantitative funds, discuss interesting datasets that are available (including Asian datasets) and present case studies that evidence value in alternative datasets.
"Supply Chain Earnings Diffusion" by Josh Holcroft, Head of Quantitative Rese...Quantopian
Supply chains and network effects are becoming increasingly important and increasingly transparent in the global economy. However, conventional techniques are poorly equipped to handle relational data, and new techniques are required to decode the meaning of supply chain effects. We explore a novel technique for modelling and forecasting the diffusion of earnings revisions, known as a diffusion graph kernel support vector machine.
Crowdsource Earnings Predictions and the Quantopian Research PlatformQuantopian
In this presentation, we will show you examples on how to incorporate multiple sources of earning predictions into your algorithms and why the sources matter. You will also get a sneak peek of our new beta research environment - where you can use IPython notebooks to analyze curated datasets, algorithms, and backtest results.
Quantopian provides this presentation to help people write trading algorithms - it is not intended to provide investment advice.
More specifically, the material is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory or other services by Quantopian.
In addition, the content neither constitutes investment advice nor offers any opinion with respect to the suitability of any security or any specific investment. Quantopian makes no guarantees as to accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
Market Timing, Big Data, and Machine Learning by Xiao Qiao at QuantCon 2016Quantopian
Return predictability has been a controversial topic in finance for a long time. We show there is substantial predictive power in combining forecasting variables. We apply correlation screening to combine twenty variables that have been proposed in the return predictability literature, and demonstrate forecasting power at a six-month horizon. We illustrate the economic significance of return predictability through a simulation which takes positions in SPY proportional to the model forecast.
The simulated strategy yields annual returns more than twice that of the buy-and-hold strategy, with a Sharpe ratio four times as large. This application of big data ideas to return predictability serves to shift the sentiment associated with market timing.
Data Driven Product Management - ProductTank Boston Feb '14Quantopian
Practical Ideas and Tools PMs Can And Should Use to Make Decisions
Talk given at Boston ProductTank Meetup. http://www.meetup.com/ProductTank-Boston/events/165579612/
Using Domain Expertise to Improve Text Analysis, Evan Schnidman, Founder and ...Quantopian
It is widely acknowledged that text analysis offers a view into a massive world of unstructured data. This data offers a goldmine of tradable information ranging from corporate regulatory filings to central bank communications. But, like other areas of “big data,” this material is virtually useless without narrowing the focus. This talk will examine the ways in which deep domain expertise can help refine text analysis data into a powerful investing tool.
This presentation was part of the QuantCon 2015 Conference hosted by Quantopian. Visit us at: www.quantopian.com.
"Fundamental Forecasts: Methods and Timing" by Vinesh Jha, CEO of ExtractAlphaQuantopian
From QuantCon 2017:
Fundamental and quantitative stock selection research has long focused on creating accurate forecasts of company fundamentals such as earnings and revenues. In this talk we examine why fundamental forecasts are powerful and survey some classic methods for generating these forecasts. Next we explore some newer methodologies which can be effective in generating more accurate fundamental forecasts, including new uses of traditional data as well as novel crowdsourced and online behavior databases. Finally, we present new research examining the temporal variation in efficacy of these forecasts with an eye towards understanding the market conditions in which an accurate fundamental forecast can be more or less profitable.
Should You Build Your Own Backtester? by Michael Halls-Moore at QuantCon 2016Quantopian
The huge uptake of Python and R as first-class programming languages within quantitative trading has lead to an abundance of backtesting libraries becoming widely available. It can take months, if not years, to develop a robust backtesting and trading infrastructure from scratch and many of the vendors (both commercial and open source) have a huge head start. Given such prevalence and maturity of the available software, as well as the time investment needed for development, is there any benefit to building your own?
In this talk, Mike will argue the advantages and disadvantages of building your own infrastructure, how to develop and improve your first backtesting system and how to make it robust to internal and external risk events. The talk will be of interest whether you are a retail quant trader managing your own capital or are forming a start-up quant fund with initial seed funding.
Overview of Quantopian: where we are and where we are headed.
Quantopian provides this presentation to help people write trading algorithms - it is not intended to provide investment advice.
More specifically, the material is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory or other services by Quantopian.
In addition, the content neither constitutes investment advice nor offers any opinion with respect to the suitability of any security or any specific investment. Quantopian makes no guarantees as to accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
Predictive and prescriptive analytics: Transform the finance function with gr...Grant Thornton LLP
As all businesses continue to collect, store and analyze more data than ever before, they face growing data challenges to support decision-making. Those who can leverage predictive and prescriptive analytics will differentiate themselves in the marketplace and gain a competitive advantage. In this report by Financial Executives Research Foundation Inc. and Grant Thornton LLP, we highlight insights from in-depth interviews with senior-level executives. These organizations use advanced analytics in their businesses to gain significant profit improvements. See more at - http://gt-us.co/1vv2KU9
What we do; predictive and prescriptive analyticsWeibull AS
Prescriptive Analytics goes beyond descriptive, diagnostic and predictive analytics; by being able to recommend specific courses of action and show the likely outcome of each decision.
Predictive analytics will tell what probably will happen, but will leave it up to the client to figure out what to do with it.
Prescriptive analytics will also tell what probably will happen, but in addition: when it probably will happen and why it likely will happen, thus how to take advantage of this predictive future. Since there are always more than one course of action prescriptive analytics have to include: predicted consequences of actions, assessment of the value of the consequences and suggestions of the actions giving highest equity value for the company.
"Enhancing Statistical Significance of Backtests" by Dr. Ernest Chan, Managin...Quantopian
Insufficient historical data is a major hurdle in building a trading model free from data snooping bias. Dr. Chan's talk will discuss several techniques, some borrowed from machine learning, that can alleviate overfitting and enhance the statistical significance of a backtest.
Presented at Bethesda Data Science Meetup October 2019
Chris Conlan shares his perspective on when and how data science methods ought to be applied in financial services organizations.
Book presentation: Excess Returns: a comparative study of the methods of the ...Frederik Vanhaverbeke
This is a pdf presentation of the book Excess Returns: a comparative study of the methods of the world's greatest investors. The presentation explains the various topics that are discussed in the book and show plenty of practical examples to understand the main points. It challenges the Efficient Market Hypothesis by showing some extraordinary track records in the investment world. It explains where top investors look for bargains. It shows how they perform a due diligence and how they value stocks. A separate section is devoted to the way top investors buy and sell various types of stocks, and how they buy and sell over stock market cycles. It also explains the various psychological aspects that top investors deem essential to beat the market.
"Trading Strategies That Are Designed Not Fitted" by Robert Carver, Independe...Quantopian
Engineers design stuff. Why do Quants prefer to fit? In this talk, Robert will explain what designing a trading system actually involves, explore why designing might be better than fitting, and introduce some of the tools you could use. He will also take you through the design process for an example trading strategy.
Finally, he will discuss how we can have the best of both worlds: strategies that are well designed and also fitted to the data.
The Evolution of Data and New Opportunities for AnalyticsSAS Canada
BIG DATA IS EVERYWHERE!
Today we produce around five Exabyte every two days … and this is accelerating.
The intelligent devices, what we call the internet of things, promise to be the next big explosion.
Explore evolution of data and new opportunities for analytics.
www.sas.com
Building a Data Culture at Your Organization - Dawn of the Data Age Lecture S...Luciano Pesci, PhD
90% of all the data in existence was generated in the last 2 years and the pace is accelerating (really fast). Yet this data seems to be drowning organizations and 80% of all data projects are currently failing. This means that organizations who successfully use their data are in possession of a major competitive advantage. But it won't last, and eventually, everyone will be expected to have broad data literacy, just like the need to know how to type or making copies.
This Lecture Will:
-TEACH YOU THE STATE OF DATA TODAY WITH EXAMPLES OF FAILURE & SUCCESS
-EXPLAIN THE 4 DIFFERENT TYPES OF DATA SCIENTISTS AND THEIR TOOLS
-OUTLINE EFFECTIVE DATA SCIENCE TEAMS, ALONG WITH THEIR COST
-SHOW YOU HOW TO BUILD A DATA CULTURE AT YOUR ORGANIZATION
You can watch this webinar here: https://youtu.be/KMMvChAYV2g
Statistics - The Missing Link Between Technical Analysis and Algorithmic Trad...Quantopian
Trading leveraged derivatives using only technical analysis or speculative analysis can lead to windfall losses for even the most disciplined trader and investor. Statistics are often an ignored area of work when it comes to derivatives trading. Our talk shall focus upon how volatility can be used for dynamically adjusting the stop losses. It will talk about how correlation is an essential method to diversify the class of derivatives being traded or hedged. It will focus on co-integration as a key method to distinguish a mean reverting time series to a non-mean reverting time series. It will touch upon other essential time series econometrics like OU process, VRT as well as statistical tools like PCA, ARCH, GARCH etc. which are essential for derivatives pricing and forecasting the volatility.
Combining the Best Stock Selection Factors by Patrick O'Shaughnessy at QuantC...Quantopian
Patrick will explore how to combine the value factor with other stock selection factors to build a superior stock selection strategy. He will discuss unique ways of using momentum, share buybacks, and quality factors to improve on a simple value screen. He will discuss portfolio concentration, rebalancing, and risk management. He will also explain why the best versions of these strategies are only possible for smaller firms and investors.
Using Domain Expertise to Improve Text Analysis, Evan Schnidman, Founder and ...Quantopian
It is widely acknowledged that text analysis offers a view into a massive world of unstructured data. This data offers a goldmine of tradable information ranging from corporate regulatory filings to central bank communications. But, like other areas of “big data,” this material is virtually useless without narrowing the focus. This talk will examine the ways in which deep domain expertise can help refine text analysis data into a powerful investing tool.
This presentation was part of the QuantCon 2015 Conference hosted by Quantopian. Visit us at: www.quantopian.com.
"Fundamental Forecasts: Methods and Timing" by Vinesh Jha, CEO of ExtractAlphaQuantopian
From QuantCon 2017:
Fundamental and quantitative stock selection research has long focused on creating accurate forecasts of company fundamentals such as earnings and revenues. In this talk we examine why fundamental forecasts are powerful and survey some classic methods for generating these forecasts. Next we explore some newer methodologies which can be effective in generating more accurate fundamental forecasts, including new uses of traditional data as well as novel crowdsourced and online behavior databases. Finally, we present new research examining the temporal variation in efficacy of these forecasts with an eye towards understanding the market conditions in which an accurate fundamental forecast can be more or less profitable.
Should You Build Your Own Backtester? by Michael Halls-Moore at QuantCon 2016Quantopian
The huge uptake of Python and R as first-class programming languages within quantitative trading has lead to an abundance of backtesting libraries becoming widely available. It can take months, if not years, to develop a robust backtesting and trading infrastructure from scratch and many of the vendors (both commercial and open source) have a huge head start. Given such prevalence and maturity of the available software, as well as the time investment needed for development, is there any benefit to building your own?
In this talk, Mike will argue the advantages and disadvantages of building your own infrastructure, how to develop and improve your first backtesting system and how to make it robust to internal and external risk events. The talk will be of interest whether you are a retail quant trader managing your own capital or are forming a start-up quant fund with initial seed funding.
Overview of Quantopian: where we are and where we are headed.
Quantopian provides this presentation to help people write trading algorithms - it is not intended to provide investment advice.
More specifically, the material is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory or other services by Quantopian.
In addition, the content neither constitutes investment advice nor offers any opinion with respect to the suitability of any security or any specific investment. Quantopian makes no guarantees as to accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
Predictive and prescriptive analytics: Transform the finance function with gr...Grant Thornton LLP
As all businesses continue to collect, store and analyze more data than ever before, they face growing data challenges to support decision-making. Those who can leverage predictive and prescriptive analytics will differentiate themselves in the marketplace and gain a competitive advantage. In this report by Financial Executives Research Foundation Inc. and Grant Thornton LLP, we highlight insights from in-depth interviews with senior-level executives. These organizations use advanced analytics in their businesses to gain significant profit improvements. See more at - http://gt-us.co/1vv2KU9
What we do; predictive and prescriptive analyticsWeibull AS
Prescriptive Analytics goes beyond descriptive, diagnostic and predictive analytics; by being able to recommend specific courses of action and show the likely outcome of each decision.
Predictive analytics will tell what probably will happen, but will leave it up to the client to figure out what to do with it.
Prescriptive analytics will also tell what probably will happen, but in addition: when it probably will happen and why it likely will happen, thus how to take advantage of this predictive future. Since there are always more than one course of action prescriptive analytics have to include: predicted consequences of actions, assessment of the value of the consequences and suggestions of the actions giving highest equity value for the company.
"Enhancing Statistical Significance of Backtests" by Dr. Ernest Chan, Managin...Quantopian
Insufficient historical data is a major hurdle in building a trading model free from data snooping bias. Dr. Chan's talk will discuss several techniques, some borrowed from machine learning, that can alleviate overfitting and enhance the statistical significance of a backtest.
Presented at Bethesda Data Science Meetup October 2019
Chris Conlan shares his perspective on when and how data science methods ought to be applied in financial services organizations.
Book presentation: Excess Returns: a comparative study of the methods of the ...Frederik Vanhaverbeke
This is a pdf presentation of the book Excess Returns: a comparative study of the methods of the world's greatest investors. The presentation explains the various topics that are discussed in the book and show plenty of practical examples to understand the main points. It challenges the Efficient Market Hypothesis by showing some extraordinary track records in the investment world. It explains where top investors look for bargains. It shows how they perform a due diligence and how they value stocks. A separate section is devoted to the way top investors buy and sell various types of stocks, and how they buy and sell over stock market cycles. It also explains the various psychological aspects that top investors deem essential to beat the market.
"Trading Strategies That Are Designed Not Fitted" by Robert Carver, Independe...Quantopian
Engineers design stuff. Why do Quants prefer to fit? In this talk, Robert will explain what designing a trading system actually involves, explore why designing might be better than fitting, and introduce some of the tools you could use. He will also take you through the design process for an example trading strategy.
Finally, he will discuss how we can have the best of both worlds: strategies that are well designed and also fitted to the data.
The Evolution of Data and New Opportunities for AnalyticsSAS Canada
BIG DATA IS EVERYWHERE!
Today we produce around five Exabyte every two days … and this is accelerating.
The intelligent devices, what we call the internet of things, promise to be the next big explosion.
Explore evolution of data and new opportunities for analytics.
www.sas.com
Building a Data Culture at Your Organization - Dawn of the Data Age Lecture S...Luciano Pesci, PhD
90% of all the data in existence was generated in the last 2 years and the pace is accelerating (really fast). Yet this data seems to be drowning organizations and 80% of all data projects are currently failing. This means that organizations who successfully use their data are in possession of a major competitive advantage. But it won't last, and eventually, everyone will be expected to have broad data literacy, just like the need to know how to type or making copies.
This Lecture Will:
-TEACH YOU THE STATE OF DATA TODAY WITH EXAMPLES OF FAILURE & SUCCESS
-EXPLAIN THE 4 DIFFERENT TYPES OF DATA SCIENTISTS AND THEIR TOOLS
-OUTLINE EFFECTIVE DATA SCIENCE TEAMS, ALONG WITH THEIR COST
-SHOW YOU HOW TO BUILD A DATA CULTURE AT YOUR ORGANIZATION
You can watch this webinar here: https://youtu.be/KMMvChAYV2g
Statistics - The Missing Link Between Technical Analysis and Algorithmic Trad...Quantopian
Trading leveraged derivatives using only technical analysis or speculative analysis can lead to windfall losses for even the most disciplined trader and investor. Statistics are often an ignored area of work when it comes to derivatives trading. Our talk shall focus upon how volatility can be used for dynamically adjusting the stop losses. It will talk about how correlation is an essential method to diversify the class of derivatives being traded or hedged. It will focus on co-integration as a key method to distinguish a mean reverting time series to a non-mean reverting time series. It will touch upon other essential time series econometrics like OU process, VRT as well as statistical tools like PCA, ARCH, GARCH etc. which are essential for derivatives pricing and forecasting the volatility.
Combining the Best Stock Selection Factors by Patrick O'Shaughnessy at QuantC...Quantopian
Patrick will explore how to combine the value factor with other stock selection factors to build a superior stock selection strategy. He will discuss unique ways of using momentum, share buybacks, and quality factors to improve on a simple value screen. He will discuss portfolio concentration, rebalancing, and risk management. He will also explain why the best versions of these strategies are only possible for smaller firms and investors.
Dual Momentum Investing by Gary Antonacci QuantCon 2016Quantopian
Gary will begin by reviewing the most common investment vehicles throughout history while explaining their advantages and disadvantages. He will then show how momentum can help accentuate the positives and eliminate the negatives. Using easily understood examples and historical research findings, Gary will show how relative strength momentum can enhance investment return, while trend-following absolute momentum can dramatically decrease bear market exposure. Finally, Gary will show how you can implement and easily maintain your very own dual momentum portfolio using the best assets classes.
From Backtesting to Live Trading by Vesna Straser at QuantCon 2016Quantopian
Dr. Vesna Straser will discuss the differences in expected slippage between live trading, simulation trading and backtesting. Typically in backtesting signal generation and order fill assumptions are simplified to obtain strategy performance data faster. For example, many commercial back testing software providers will work with sampled data such as minute open or close price points and assume that the signal is triggered at the close of one bar and filled at the close price of the next bar, per the assumed slippage model. Simulation trading, however, will typically run on tick trading data (live or replayed) potentially resulting in quite different dynamics versus back testing. Orders are filled per fill assumptions that may vary significantly between different providers. In live trading, orders are triggered and executed immediately under real market conditions and order type. Depending on the trading strategy, live trading results can differ dramatically from back-testing and/or simulation trading. Vesna will outline the issues, analytics to track, factors to consider and how to account for them to achieve “realistic” back-testing results.
Self-Directed Investing by Akhil Lodha, Co-founder of Sliced Investing, and M...Quantopian
In an ideal world an investor has access to a range of investment opportunities that allow her to create a Balanced portfolio based on her risk/return objectives. Unfortunately we don't live an in ideal world and a lot of the investment opportunities have only been available to the Institutional Investor. That trend has started to change as technology and innovation by startups like AngelList, Wealthfront, and Sliced Investing, among others are lowering the barrier to access and allowing more individuals to create a balanced portfolio that meets their investment objectives. In this talk we'll focus on the need for a balanced portfolio, the investing tools for the 'new-age' investor and the future of individual investing.
Quantopian provides this presentation to help people write trading algorithms - it is not intended to provide investment advice.
More specifically, the material is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory or other services by Quantopian.
In addition, the content neither constitutes investment advice nor offers any opinion with respect to the suitability of any security or any specific investment. Quantopian makes no guarantees as to accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
A Guided Tour of Machine Learning for Traders by Tucker Balch at QuantCon 2016Quantopian
You’ve probably heard about Machine Learning and you likely know it is of emerging importance for trading and investing. Unfortunately it is a deeply technical field and the complexity and jargon get in the way of broader use and understanding. There are literally hundreds of learning algorithms that each solve a slightly different problem. Which algorithms really matter for investing? In this presentation, Professor Balch will help declutter the ML jungle. He’ll introduce a few of the most important ML algorithms and show how they can be applied to the challenges of trading.
Trade Like a Chimp: Unleash Your Inner Primate by Andreas Clenow at QuantCon ...Quantopian
It is a long established fact that a reasonably well behaved chimp throwing darts at a list of stocks can outperform most professional asset managers. It is less known why this is the case. While there would be obvious advantages with hiring chimps over hedge fund traders, such as lower salaries and calmer tempers, there are also a few practical obstacles to such hiring practices. For those asset management firms unable to retain the services of a cooperative primate, a random number generator may serve as a reasonable approximation of their skills.
The fact of the matter is that even a random number generator can, and will, outperform practically all mutual funds. Such random strategies may seem like a joke, and perhaps they are, but if a joke can outperform industry professionals we have to stop and ask some hard questions.
When designing investment strategies, it can be very useful to have an understanding of random strategies, how they work and what kind of results they are likely to yield. Given that random strategies perform quite well over time, they can act as a valid benchmark. After all, if your own investment approach fails to outperform a random strategy, you may as well outsource your quant modeling to the Bronx Zoo.
Peculiarities of Volatilities by Ernest Chan at QuantCon 2016Quantopian
Ernie will explore some interesting features of both realized and implied volatilities that are useful to traders. These include the term structure of volatility, simple methods of volatility prediction, and what volatility and its siblings can tell us about future returns.
The Sustainable Active Investing Framework: Simple, but Not Easy by Wesley Gr...Quantopian
To some, the debate of passive versus active investing is akin to Eagles vs. Cowboys or Coke vs. Pepsi. In short, once our preference for one style over the other is established is can become so overwhelming that it becomes a proven fact or incontrovertible reality in our minds.
We cannot overemphasize that alpha in the market is no cakewalk. More importantly, being smart, having superior stockpicking skills, or amassing an army of PhDs to crunch data is only half of the equation. Even with those tools, you are still only one shark in a tank filled with other sharks. All sharks are smart, all sharks have a MBA or PhD from a fancy school, and all the sharks know how to analyze a company. Maintaining an edge in these shark infested waters is no small feat, and one that only a handful (e.g., we can count them in one hand) of investors has successfully accomplished.
In order too achieve sustainable success as an active investing, one needs both skill and an understanding of human psychology and market incentives (behavioral finance). We start our journey where mine began: as an aspiring PhD student studying under Eugene Fama at the University of Chicago. Let the adventure begin...
Crowd-sourced Alpha: The Search for the Holy Grail of InvestingQuantopian
It has been said that diversification is the only free lunch. Join Dr. Jess Stauth, vice president of quant strategy at Quantopian, and learn about the criteria we are using to select crowd-sourced algorithms with uncorrelated returns streams to achieve consistent market outperformance.
Quantopian provides this presentation to help people write trading algorithms - it is not intended to provide investment advice.
More specifically, the material is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory or other services by Quantopian.
In addition, the content neither constitutes investment advice nor offers any opinion with respect to the suitability of any security or any specific investment. Quantopian makes no guarantees as to accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
Overview of big data and what type of global listed companies will be benefit from the big data revolution. Presented to Perth's Global Investing Club in February 2016.
"I’ve never seen a bad backtest” — Dimitris Melas, head of research at MSCI. Quantitative Analysts rely heavily on backtests as a means of validating their trading strategies. All too often, strategies look great in simulation but fail to live up to their promise in live trading. There are a number of reasons for these failures, some of which are beyond the control of a quant developer. But other failures are caused by common but insidious mistakes. In this talk I’ll review a list of 10 pitfalls in strategy development and testing that can result in optimistic backtests. I’ll also present methods for detecting and avoiding them. This talk will be of interest to quant developers and also non-quants who are interested to know what to look out for when presented with remarkably successful backtests.
This presentation was part of the QuantCon 2015 Conference hosted by Quantopian. Visit us at: www.quantopian.com.
The Mobile Revolution and the Future of Modern Data Collection by Joe Reising...Quantopian
Orchestrating the collection and refinement of large-scale geospatial, economic and human development data -- data which form critical inputs for businesses, investors, policy-makers, regulators and strategists looking to get a timely and accurate read for what’s happening right now on the ground -- is slow, difficult, and expensive. In many countries, such data pipelines don’t exist yet at all. The proliferation of internet-enabled smartphones, with users spanning from globe from Mississippi to Mozambique, is rapidly changing our capabilities in this sector -- and Premise is upending the model by blending modern technology with human intelligence to map reality on the ground faster and more precisely than ever before. In this talk, Premise CTO Joe Reisinger will talk about the evolution of modern data collection on a global scale, why the new frontier of mobile technology is the conduit for the future of business and economics, and the role of alternative economic data as it relates to collection of official government statistics.
This presentation was part of the QuantCon 2015 Conference hosted by Quantopian. Visit us at: www.quantopian.com.
The Genesis of an Order Type by Dan Aisen, Co-founder and Quantitative Develo...Quantopian
For the past several years, exchange and dark pool order types have been one of the hot topics in the US equity markets, as characterized by WSJ exposes and record SEC fines. Rather than piling on with more negativity, this talk will walk through the process of developing a new order type, from the discovery of a market structure inefficiency to the research of potential solutions, and finally, the deployment and evaluation of the result. This talk will explore how exchanges and dark pools can impact the stock market through thoughtful order type design.
This presentation was part of the QuantCon 2015 Conference hosted by Quantopian. Visit us at: www.quantopian.com.
Finding Alpha from Stock Buyback Announcements in the Quantopian Research Pla...Quantopian
Stock buybacks are at record levels and several studies have established windows of alpha opportunity around stock buyback announcements. In this talk EventVestor founder Anju Marempudi and Quantopian client engineer Seong Lee will discuss buyback trends, analyzing share buybacks data for insights, conducting an event study to measure excess returns around buyback announcements, and finally building a trading algorithm with back-testing using the Quantopian Research platform.
This presentation was part of the QuantCon 2015 Conference hosted by Quantopian. Visit us at: www.quantopian.com.
Quantopian provides this presentation to help people write trading algorithms - it is not intended to provide investment advice.
More specifically, the material is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory or other services by Quantopian.
In addition, the content neither constitutes investment advice nor offers any opinion with respect to the suitability of any security or any specific investment. Quantopian makes no guarantees as to accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
Beware of Low Frequency Data by Ernie Chan, Managing Member, QTS Capital Mana...Quantopian
It is commonly believed that low frequency strategies require only low frequency data for backtesting. We will show that using low frequency data can lead to dangerously inflated backtest results even for low frequency strategies. Examples will be drawn from a closed end fund strategy, a long-short stock strategy, and a futures strategy.
This presentation was part of the QuantCon 2015 Conference hosted by Quantopian. Visit us at: www.quantopian.com.
Backtesting Engine for Trading Strategiesbzinchenko
Quant Trade Backtesting engine is the universal standalone software suitable to test performance of any recorded sequence of trades. It allows for independent evaluation of trading performance, calculation of trading statistics and visual representation of trading performance charts.
Welcome to QuantCon 2015 by John “Fawce” Fawcett, Founder and CEO of QuantopianQuantopian
Hello,
Welcome to QuantCon 2015! It has been an exciting year at Quantopian, and hosting the first annual QuantCon event here in Manhattan, is a great way to kick off 2015.
When I founded Quantopian, my goal was to build a platform that brings together quants, hackers, data scientists, finance professionals, and students all in one vibrant online community. Today, that community has grown to over 34,000 people and continues to grow faster than ever. I couldn’t be more excited to bring over 200 of those community members together today in person!
Our schedule today features talks and workshops from a wide variety of experts in the fields of computer science, machine learning, algorithmic trading, market structure, and new economy data. I am a huge fan of every speaker in this lineup and encourage you to take advantage of the diversity of their expertise and to think about new ways to approach your investment strategy goals.
Thank you for joining us today and being a part of a truly unique movement in the financial investment space. I also want to thank all of our speakers, sponsors, and staff for their generous contributions to make this day a success. I look forward to hearing from you during and after the event about your experiences.
I am already thinking about how we can top this meeting next year!
Thank you,
John “Fawce” Fawcett
This presentation was part of the QuantCon 2015 Conference hosted by Quantopian. Visit us at: www.quantopian.com.
Case Studies in Creating Quant Models from Large Scale Unstructured Text by S...Quantopian
SEC filings provide a window into the health of the company and are immensely important for investors. Historically, the only feasible way to read and interpret filings has been manually, where domain experts interpret filings and provide guidance to public. However, advances in big data technologies and Natural Language processing have enabled its automation. Sameena will discuss how her team created predictive models from text in filings and social media.
This presentation was part of QuantCon 2015 hosted by Quantopian. Visit us at: www.quantopian.com.
Modeling Transaction Costs for Algorithmic StrategiesQuantopian
Discussion of this presentation, and custom slippage model for you to test with, can be found at https://www.quantopian.com/posts/custom-slippage-modeling-transaction-costs-for-algorithmic-strategies
If you're interested in learning more about modeling transaction costs, we've scheduled a webinar with Tom for June 26 at 2PM EDT. The webinar will be a Q&A based on this presentation. Bring your modeling questions to the webinar, and Tom will answer any questions you have. Please RSVP at https://attendee.gotowebinar.com/register/3673417022478449920 .
In this presentation, Paul Ballew, D&B's Chief Data and Analytics Officer, explains the three levels of insight needed to gain an informed perspective for smarter decisions involving big data.
The New Enterprise is adopting
new tools and technology that
utilize data, mobilize their
workforce, and increase
collaboration throughout the
organization. In this new report, SVB Analytics examines the underlying industry sectors supporting this new business environment and offers data on venture funding, revenue models and valuations.
Financial Markets Data & Analytics Led TransformationGianpaolo Zampol
How big data, advanced analytics and cognitive computing is disrupting traditional business and operating models in financial markets? New competitors, powered by social, mobile, analytics, and cloud computing, are making new business models emerging rapidly. Wealth Management, Corporate Banking and Transaction Banking & Payments are significant sources of growth in Financial Markets. How take advantage from those new technologies to face this new scenario?
Research Presentation: How Numbers are Powering the Next Era of MarketingMediaPost
The data that Google, Bing and Yahoo leverage turns “dumb” messages into highly targeted digital advertising. These are some of the best examples we have had of actually leveraging "big data" concepts in the marketplace. Now, the rest of marketing is utilizing the same concepts and transforming how we measure brands, engage with consumers and drive innovation. Paul Barrett of Accenture Interactive will report on the fusion of data-driven marketing with the rich streams of data arising from private, public and paid sources to predict the changes that marketers should expect in the coming years.
PRESENTER
Paul Barrett, Senior Manager - Big Data Practice, Accenture Interactive
Emerging Technologies - The Future Of Finance (CIMA Feb 2019)Michael Sadler
A presentation by IBM on the topic of "The Future Of Finance" examining emerging trends, and how accountants can to prepare for the transition from "running the numbers" to being value-adding partners to the business.
Leading enterprise-scale big data business outcomesGuy Pearce
A talk specially prepared for McMaster University. There is more benefit to thinking about big data as a paradigm rather than as a technology, as it helps shape these projects in the context of resolving some of the enterprise's greatest challenges, including its competitive positioning. This approach integrates the operating model, the business model and the strategy in the solution, which improves the ability of the project to actually deliver its intended value. I support this position with a case study that created audited financial value for a major global bank.
Big Data & Analytics (Conceptual and Practical Introduction)Yaman Hajja, Ph.D.
A 3-day interactive workshop for startups involve in Big Data & Analytics in Asia. Introduction to Big Data & Analytics concepts, and case studies in R Programming, Excel, Web APIs, and many more.
DOI: 10.13140/RG.2.2.10638.36162
The Data Economy: 2016 Horizonwatch Trend BriefBill Chamberlin
The slides provide a quick overview of the Data Economy trend. The slides provide summary information, a list of trends to watch and links to additional resources
Big & Fast Data: The Democratization of InformationCapgemini
Moving from the Enterprise Data Warehouse to the Business Data Lake
Is it possible that ubiquitous analytics represents the next phase of the information age? New business models are emerging, enabled by big data that business leaders are eager to adopt in order to gain advantage and mitigate disruption from start-ups and parallel industries. The winners are likely to be those that master a cultural shift as well as a technology evolution.
Our view is this will be realized through the alignment of a business-centric big data strategy, combined with democratization of the analytical tools, platforms and data lakes that will enable business stakeholders to create, industrialize and integrate insights into their business processes.
Innovative approaches are needed to free up data from silos whilst encouraging both the sharing and the continuous improvement of insights across the business. While it will be evolution for some, revolution for others; the risk of status quo is not just the loss of opportunity but also a widening gap between business and the internal technology functions.
https://www.capgemini.com/thought-leadership/big-fast-data-the-democratization-of-information
Why Everything You Know About bigdata Is A LieSunil Ranka
As a big data technologist, you can bet that you have heard it all: every crazy claim, myth, and outright lie about what big data is and what it isn't that you can imagine, and probably a few that you can't.If your company has a big data initiative or is considering one, you should be aware of these false statements and the reasons why they are wrong.
Being open (source) in the traditionally secretive field of quant finance.Quantopian
The field of quantitative finance is intensely competitive and maniacally secretive as a rule. The tendency toward secrecy is perhaps unsurprising given that the smallest of competitive advantages can translate to substantial profits. Indeed, over the past decade a growing list of legal prosecutions for alleged code theft or misuse have underscored how high the stakes can be for developers looking to leverage and contribute to open source projects. Notable exceptions to this approach include work from Wes McKinney and Travis Oliphant, whose work on open source projects like pandas and numpy, which have gained widespread adoption. In this talk we will review some of the costs and benefits of engaging with open source as a “two way street” and frame the modern quant workflow as a mosaic of open sourced, third party, and proprietary components.
Stauth common pitfalls_stock_market_modeling_pqtc_fall2018Quantopian
Data Modeling the Stock Market Today - Common Pitfalls to Avoid
The lure of creating models to predict the stock market has drawn talent from fields beyond finance and economics, reaching into disciplines such as physics, computational chemistry, applied mathematics, electrical engineering and perhaps most recently statistics and what we now refer to as data science. The attraction is clear - the stock market (and the economy/internet at large) throws off massive and ever increasing reams of data from garden variety time-series to complex structured data sets like quarterly financials, to unstructured data sets like conference call transcripts, news articles and of course — tweets! While all this data holds promise - it also holds traps and blind alleys that can be deceptively tricky to avoid. In this session we’ll review some of the common (but not easy!) pitfalls to avoid in creating models for predicting stock returns; overfitting & exploding model complexity, non-stationary processes, time-travel illusions, under-estimation of real-world costs, and as many more as we have time to cover.
"Three Dimensional Time: Working with Alternative Data" by Kathryn Glowinski,...Quantopian
From QuantCon 2017: Lookahead bias and stale data when used in an algorithm are generally categorized as "incorrect data". In fact, the issue does not lie with the data itself, but instead is an issue of perspective. This talk will examine how data is typically viewed through the lens of time, and why, on the whole, that approach is wrong.
At Quantopian, we've tried several ways of handling data with regards to time, and we'll talk about lessons learned along the way. We'll also discuss what multidimensionality means for financial data specifically, and how we can apply this to get better results in backtesting.
Additionally, we'll touch on how to apply multidimensionality to more general data, and why it's important for anyone working with applied data to take this approach.
"Portfolio Optimisation When You Don’t Know the Future (or the Past)" by Rob...Quantopian
We generally assume the past is a good guide to the future, but well do we even know the past? What effect does this uncertainty when estimating inputs have on the notoriously unstable algorithms for portfolio optimization?
I explore this issue, look at some commonly used solutions, and also introduce some alternative methods.
"Quant Trading for a Living – Lessons from a Life in the Trenches" by Andreas...Quantopian
It takes hard work, skill and time to develop robust trading models, but that is just the beginning of the journey. The question then is what you can do with it, and how to go about building a career in quant finance.
If your plan is to move beyond hobby trading and build a career in in the professional quant trading field, the work is not over once you have a great model.
This presentation will discuss how to leverage your trading models into building a successful career in quant trading. We will look at the various options available, and their respective merits and faults. Whether you want to trade your own money for a living, find a job in the industry or build your own business, your model design will have to be adapted to your aim. We will discuss what type of models and results there is a market for, how to go about finding investors for your trading, and how the real economics of the business look.
“Real Time Machine Learning Architecture and Sentiment Analysis Applied to Fi...Quantopian
From QuantCon Singapore 2017: The vast proliferation of data related to the financial industry introduces both new opportunities and challenges to quantitative investors. These challenges are often due to the nature of big data and include: volume, variety, and velocity.
In this talk, Dr. Cheng will take the audience on a tour of the “big-data production line” in InfoTrie and show how the financial news collected from various and customizable sources are transformed into quantitative signals in a real-time manner. The talk will touch on various kind of topics like sentiment analysis, entity detection, topic classification, and big-data tools.
“Market Insights Through the Lens of a Risk Model” by Olivier d'Assier, Head ...Quantopian
From QuantCon Singapore 2017: In this presentation, Olivier d’Assier, Managing Director of APAC Applied Research, will discuss the major drivers of the change in risk year-to-date and how the risk environment is affecting investor’s portfolios. This talk will look at global markets with a focus on the Asian region and how it compares to others with regards to its risk footprint.
"Maximize Alpha with Systematic Factor Testing" by Cheng Peng, Software Engin...Quantopian
Factor modeling and style premia are historically well documented and extensively researched in generating abnormal returns. Despite the large amount of research around factors, there is less clarity around effectively capturing and extracting this alpha from a given universe. In this presentation, Cheng will demonstrate different techniques for combining multiple factors, and the rationale behind maximizing alpha while maintaining scalability.
"How to Run a Quantitative Trading Business in China with Python" by Xiaoyou ...Quantopian
From QuantCon 2017: Running a quantitative trading business in China used to be very difficult and require strong IT skills, however it's getting much easier nowadays, when traders with no professional IT training can also do all the tasks in quantitative trading using Python.
In this sharing session, Xiaoyou will share his experience in using Python for data collection, strategy development and automated trading. He will also introduce some related open source projects including TuShare, quantOS, vn.py and so on.
"From Alpha Discovery to Portfolio Construction: Pitfalls and Solutions" by D...Quantopian
From QuantCon 2017: Implementation is the efficient translation of alpha research into portfolios. It includes portfolio construction and trading. It is a vital step in the quant equity workflow, as poor implementation can ruin even the best alpha ideas. Two crucial challenges must be solved: how to construct a portfolio that most efficiently captures a given alpha signal; and, in the presence of multiple signals, how to optimally combine them into a single composite alpha factor.
This talk addresses these challenges, examines common pitfalls in the implementation of quantitative strategies and good practices to avoid them. A common theme is striking the right balance between factor signal purity and investability. We look at how factor models and optimisation techniques help professional investors answer three key questions:
· What risks should your risk model be cognisant of?
· What objective function should you use?
· What effect do investability constraints have on your portfolio?
"Deep Reinforcement Learning for Optimal Order Placement in a Limit Order Boo...Quantopian
From QuantCon 2017: Financial trading is essentially a search problem. The buy-side agent needs to find a counterpart sell-side agent willing to trade the financial asset at the set quantity and price.
Ilija will present a deep reinforcement learning algorithm for optimizing the execution of limit-order actions to find an optimal order placement. The reinforcement learning agent utilizes historical limit-order data to learn an optimal compromise between fast order completion but with higher costs and slow, riskier order completion but with lower costs.
The talk will continue with the challenges of applying reinforcement learning to optimal trading and their potential solutions. Finally, Ilija will share the system architecture and discuss future work.
"Building Diversified Portfolios that Outperform Out-of-Sample" by Dr. Marcos...Quantopian
Hierarchical Risk Parity (HRP) portfolios address three major concerns of quadratic optimizers in general and Markowitz’s CLA in particular: Instability, concentration and underperformance. HRP applies modern mathematics (graph theory and machine learning techniques) to build a diversified portfolio based on the information contained in the covariance matrix. However, unlike quadratic optimizers, HRP does not require the invertibility of the covariance matrix. In fact, HRP can compute a portfolio on an ill-degenerated or even a singular covariance matrix, an impossible feat for quadratic optimizers. Monte Carlo experiments show that HRP delivers lower out-of-sample variance than CLA, even though minimum-variance is CLA’s optimization objective. HRP also produces less risky portfolios out-of-sample compared to traditional risk parity methods.
Read the corresponding white paper here: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2713516
"From Insufficient Economic data to Economic Big Data – How Trade Data is red...Quantopian
Over the last 10 years, the world of economics has been playing a catching up game and many economists have been struggling to explain their theories. The world has adopted technology in nearly every aspect of life, from phones to cars; however, good, reliable and quality data in economics is still elusive.
There is over reliance on macroeconomic principles in comparison to the quality of data available. Macro-economic figures move markets, only to get revised one, two or three times in the following months. Some fields of economic study are exceptions, such as analysing trade data. Trade data, with the support of technology, has become readily available and can now be analysed in depth, providing actual numbers indicating the health and state of economies.
Trade data, which is export and import information of all the goods and services from one country to another, can be seen as an inseparable marker of real economic activity. It can be used to predict various market indicators exhibiting high correlations, from currencies to commodities to equities to macroeconomic data, with varying degree of certainties. Trade data, at an in-depth level, acts like a compilation of millions of real life mathematical functions.
This presentation explores this new economic area of trade data as a quantitative tool, its intense big data analysis and its applications in trading markets.
"A Framework-Based Approach to Building Quantitative Trading Systems" by Dr. ...Quantopian
Contrary to popular wisdom the difference between a retail quant trader and a professional portfolio manager is not in "having better trade entry and exit rules". Rather it is the difference in how each approaches the concepts of portfolio optimisation and risk management.
Both of these topics are synonymous with heavy math, which can be off-putting for beginner retail systematic traders. Hence, it can be extremely daunting for those without institutional experience to know how to turn a set of trading rules into a robust portfolio and risk management system.
In this talk, Mike will discuss how to take a typical retail quant strategy and place it in a professional quantitative trading framework, with proper position sizing and risk assessment, without resorting to pages of formulas or the need to have a PhD in statistics!
"Deep Q-Learning for Trading" by Dr. Tucker Balch, Professor of Interactive C...Quantopian
Reinforcement Learning (RL) has been around for a long time, but it has not attracted much attention over the last decade. Until, that is, a group of Google researchers showed how RL can be used to train a computer to play video games at far above human capabilities.
Besides video games, the RL problem is also well aligned to solve trading problems as well (e.g., work by Dr. Michael Kearns). In this talk, Tucker will provide a gentle introduction to Q-Learning, one of the leading RL methods.
He will also show how Q-Learning can be integrated with artificial neural network learners and how such a system can be used to learn and execute a trading strategy. This is joint work with David Byrd at Georgia Tech.
"Quantum Hierarchical Risk Parity - A Quantum-Inspired Approach to Portfolio ...Quantopian
Maxwell will present the methodologies and results behind the algorithm that has been developed by 1QBit, named Quantum Hierarchical Risk Parity, or QHRP.
This is an extension of the work done by Marcos Lopez de Prado on
Hierarchical Risk Parity in his paper "Building Diversified Portfolios that Outperform Out-of-Sample."
QHRP tackles the problem of minimizing the risk of a portfolio of assets using a quantum-inspired approach. Although the ideas surrounding this go back to Markowitz’s mean-variance portfolio optimization of 1952’s Portfolio Selection, we have applied recent quantum-ready machine learning tools to the problem to demonstrate strong performance in terms of a variety of risk measures and lower susceptibility to inaccuracies in the input data.
The quantum-ready approach to portfolio optimization is based on
an optimization problem that can be solved using a quantum annealer. The algorithm utilizes a hierarchical clustering tree that is based on the covariance matrix of the asset returns. The results of real market data used to benchmark this approach against other common portfolio optimization methods will be shared in this presentation.
View the White Paper: https://bit.ly/2k5xTxW.
"Snake Oil, Swamp Land, and Factor-Based Investing" by Gary Antonacci, author...Quantopian
BlackRock forecasts smart beta investing oriented toward size, value, quality, momentum, and low volatility to reach $1 trillion by 2020 and $2.4 trillion by 2025. Gary’s talk will show that this growth may not be justified due to these factors' lack of robustness, consistency, persistence, intuitiveness, and investability. Gary will also show that the success attributed to these factors would be better directed toward macro momentum and the short interest ratio.
Abhay Bhutada Leads Poonawalla Fincorp To Record Low NPA And Unprecedented Gr...Vighnesh Shashtri
Under the leadership of Abhay Bhutada, Poonawalla Fincorp has achieved record-low Non-Performing Assets (NPA) and witnessed unprecedented growth. Bhutada's strategic vision and effective management have significantly enhanced the company's financial health, showcasing a robust performance in the financial sector. This achievement underscores the company's resilience and ability to thrive in a competitive market, setting a new benchmark for operational excellence in the industry.
What price will pi network be listed on exchangesDOT TECH
The rate at which pi will be listed is practically unknown. But due to speculations surrounding it the predicted rate is tends to be from 30$ — 50$.
So if you are interested in selling your pi network coins at a high rate tho. Or you can't wait till the mainnet launch in 2026. You can easily trade your pi coins with a merchant.
A merchant is someone who buys pi coins from miners and resell them to Investors looking forward to hold massive quantities till mainnet launch.
I will leave the what's app number of my personal pi vendor to trade with.
+12349014282
Understanding how timely GST payments influence a lender's decision to approve loans, this topic explores the correlation between GST compliance and creditworthiness. It highlights how consistent GST payments can enhance a business's financial credibility, potentially leading to higher chances of loan approval.
Financial Assets: Debit vs Equity Securities.pptxWrito-Finance
financial assets represent claim for future benefit or cash. Financial assets are formed by establishing contracts between participants. These financial assets are used for collection of huge amounts of money for business purposes.
Two major Types: Debt Securities and Equity Securities.
Debt Securities are Also known as fixed-income securities or instruments. The type of assets is formed by establishing contracts between investor and issuer of the asset.
• The first type of Debit securities is BONDS. Bonds are issued by corporations and government (both local and national government).
• The second important type of Debit security is NOTES. Apart from similarities associated with notes and bonds, notes have shorter term maturity.
• The 3rd important type of Debit security is TRESURY BILLS. These securities have short-term ranging from three months, six months, and one year. Issuer of such securities are governments.
• Above discussed debit securities are mostly issued by governments and corporations. CERTIFICATE OF DEPOSITS CDs are issued by Banks and Financial Institutions. Risk factor associated with CDs gets reduced when issued by reputable institutions or Banks.
Following are the risk attached with debt securities: Credit risk, interest rate risk and currency risk
There are no fixed maturity dates in such securities, and asset’s value is determined by company’s performance. There are two major types of equity securities: common stock and preferred stock.
Common Stock: These are simple equity securities and bear no complexities which the preferred stock bears. Holders of such securities or instrument have the voting rights when it comes to select the company’s board of director or the business decisions to be made.
Preferred Stock: Preferred stocks are sometime referred to as hybrid securities, because it contains elements of both debit security and equity security. Preferred stock confers ownership rights to security holder that is why it is equity instrument
<a href="https://www.writofinance.com/equity-securities-features-types-risk/" >Equity securities </a> as a whole is used for capital funding for companies. Companies have multiple expenses to cover. Potential growth of company is required in competitive market. So, these securities are used for capital generation, and then uses it for company’s growth.
Concluding remarks
Both are employed in business. Businesses are often established through debit securities, then what is the need for equity securities. Companies have to cover multiple expenses and expansion of business. They can also use equity instruments for repayment of debits. So, there are multiple uses for securities. As an investor, you need tools for analysis. Investment decisions are made by carefully analyzing the market. For better analysis of the stock market, investors often employ financial analysis of companies.
Yes of course, you can easily start mining pi network coin today and sell to legit pi vendors in the United States.
Here the what'sapp contact of my personal vendor.
+12349014282
#pi network #pi coins #legit #passive income
#US
1. Elemental Economics - Introduction to mining.pdfNeal Brewster
After this first you should: Understand the nature of mining; have an awareness of the industry’s boundaries, corporate structure and size; appreciation the complex motivations and objectives of the industries’ various participants; know how mineral reserves are defined and estimated, and how they evolve over time.
when will pi network coin be available on crypto exchange.DOT TECH
There is no set date for when Pi coins will enter the market.
However, the developers are working hard to get them released as soon as possible.
Once they are available, users will be able to exchange other cryptocurrencies for Pi coins on designated exchanges.
But for now the only way to sell your pi coins is through verified pi vendor.
Here is the what'sapp contact of my personal pi vendor
+12349014282
^%$Zone1:+971)581248768’][* Legit & Safe #Abortion #Pills #For #Sale In #Duba...mayaclinic18
Whatsapp (+971581248768) Buy Abortion Pills In Dubai/ Qatar/Kuwait/Doha/Abu Dhabi/Alain/RAK City/Satwa/Al Ain/Abortion Pills For Sale In Qatar, Doha. Abu az Zuluf. Abu Thaylah. Ad Dawhah al Jadidah. Al Arish, Al Bida ash Sharqiyah, Al Ghanim, Al Ghuwariyah, Qatari, Abu Dhabi, Dubai.. WHATSAPP +971)581248768 Abortion Pills / Cytotec Tablets Available in Dubai, Sharjah, Abudhabi, Ajman, Alain, Fujeira, Ras Al Khaima, Umm Al Quwain., UAE, buy cytotec in Dubai– Where I can buy abortion pills in Dubai,+971582071918where I can buy abortion pills in Abudhabi +971)581248768 , where I can buy abortion pills in Sharjah,+97158207191 8where I can buy abortion pills in Ajman, +971)581248768 where I can buy abortion pills in Umm al Quwain +971)581248768 , where I can buy abortion pills in Fujairah +971)581248768 , where I can buy abortion pills in Ras al Khaimah +971)581248768 , where I can buy abortion pills in Alain+971)581248768 , where I can buy abortion pills in UAE +971)581248768 we are providing cytotec 200mg abortion pill in dubai, uae.Medication abortion offers an alternative to Surgical Abortion for women in the early weeks of pregnancy. Zone1:+971)581248768’][* Legit & Safe #Abortion #Pills #For #Sale In #Dubai Abu Dhabi Sharjah Deira Ajman Fujairah Ras Al Khaimah%^^%$Zone1:+971)581248768’][* Legit & Safe #Abortion #Pills #For #Sale In #Dubai Abu Dhabi Sharjah Deira Ajman Fujairah Ras Al Khaimah%^^%$Zone1:+971)581248768’][* Legit & Safe #Abortion #Pills #For #Sale In #Dubai Abu Dhabi Sharjah Deira Ajman Fujairah Ras Al Khaimah%^^%$Zone1:+971)581248768’][* Legit & Safe #Abortion #Pills #For #Sale In #Dubai Abu Dhabi Sharjah Deira Ajman Fujairah Ras Al Khaimah%^^%$Zone1:+971)581248768’][* Legit & Safe #Abortion #Pills #For #Sale In #Dubai Abu Dhabi Sharjah Deira Ajman Fujairah Ras Al Khaimah%^^%$Zone1:+971)581248768’][* Legit & Safe #Abortion #Pills #For #Sale In #Dubai Abu Dhabi Sharjah Deira Ajman Fujairah Ras Al Khaimah%^^%$Zone1:+971)581248768’][* Legit & Safe #Abortion #Pills #For #Sale In #Dubai Abu Dhabi Sharjah Deira Ajman Fujairah Ras Al Khaimah%^^%$Zone1:+971)581248768’][* Legit & Safe #Abortion #Pills #For #Sale In #Dubai Abu Dhabi Sharjah Deira Ajman Fujairah Ras Al Khaimah%^^%$Zone1:+971)581248768’][* Legit & Safe #Abortion #Pills #For #Sale In #Dubai Abu Dhabi Sharjah Deira Ajman Fujairah Ras Al Khaimah%^^%$Zone1:+971)581248768’][* Legit & Safe #Abortion #Pills #For #Sale In #Dubai Abu Dhabi Sharjah Deira Ajman Fujairah Ras Al Khaimah%^^%$Zone1:+971)581248768’][* Legit & Safe #Abortion #Pills #For #Sale In #Dubai Abu Dhabi Sharjah Deira Ajman Fujairah Ras Al Khaimah%^^%$Zone1:+971)581248768’][* Legit & Safe #Abortion #Pills #For #Sale In #Dubai Abu Dhabi Sharjah Deira Ajman Fujairah Ras Al Khaimah%^^%$Zone1:+971)581248768’][* Legit & Safe #Abortion #Pills #For #Sale In #Dubai Abu Dhabi Sharjah Deira Ajman Fujairah Ras Al Khaimah%^^%$Zone1:+971)581248768’][* Legit & Safe #Abortion #Pills #For #Sale In #Dubai Abu Dhabi Sharjah Deira Ajman
What website can I sell pi coins securely.DOT TECH
Currently there are no website or exchange that allow buying or selling of pi coins..
But you can still easily sell pi coins, by reselling it to exchanges/crypto whales interested in holding thousands of pi coins before the mainnet launch.
Who is a pi merchant?
A pi merchant is someone who buys pi coins from miners and resell to these crypto whales and holders of pi..
This is because pi network is not doing any pre-sale. The only way exchanges can get pi is by buying from miners and pi merchants stands in between the miners and the exchanges.
How can I sell my pi coins?
Selling pi coins is really easy, but first you need to migrate to mainnet wallet before you can do that. I will leave the what'sapp contact of my personal pi merchant to trade with.
+12349014282
A Vision for Quantitative Investing in the Data Economy by Michael Beal at QuantCon 2016
1. T H E F U T U R E O F I N V E S T I N G I N T H E D ATA E C O N O M Y
0
2. TABLE OF CONTEN TS
Extremely Confidential. Not for Public Distribution. | DATA CAPITAL MANAGEMENT | 1
QuantCon 2016
Saturday, April 9, 2016
Michael M. Beal
Got API?
dcm@datacapitalmanagement.com
THE FUTURE OF INVESTING IN THE DATA ECONOMY
3. LESSONS FROM THE INDUSTRI AL REVOLUTI ON
Extremely Confidential. Not for Public Distribution. | DATA CAPITAL MANAGEMENT | 2
Suggestions for Start-ups in the Data Economy
• Standardize industry taxonomies
• Be the best at depth of information for a given vertical
• Take responsibility for the veracity of information
• Focus on speed of delivery
• Focus on historical consistency
• Make adjustments visible to upstream users
• Focus on permissible data use rights
• Don’t be all things to all people
Got API?
dcm@datacapitalmanagement.com
Our goal is to help drive a standard for other players in our ecosystem to coalesce around
• This approach helps avoid the “tragedy of the commons” and maximize collective ROI
• We are set up to be “early customers” of new technologies / beta releases
• We drive a culture of focused and targeted feedback
For those with self-interests congruent to ours; let’s help each other
4. TABLE OF CONTEN TS
Extremely Confidential. Not for Public Distribution. | DATA CAPITAL MANAGEMENT | 3
DATA CAPITAL MANAGEMENT OVERVIEW
WHAT IS THE DATA ECONOMY?
WHAT NEW CHALLENGES DOES THE DATA ECONOMY CREATE FOR INVESTORS?
THE FUTURE OF QUANTITATIVE INVESTING IN THE DATA ECONOMY
LESSONS FROM THE INDUSTRIAL REVOLUTION
5. Data Capital Management (“DCM”), is a news-aware systematic hedge
fund. DCM specializes in strategies that make use of novel sources of
information (news, images, social networks data, weather, etc.) as well
as state of the art machine learning analytics to generate differentiated
and uncorrelated investment returns.
We are a team of PhDs and MBAs, with degrees in computer science,
engineering, mathematics and business management, with expertise in
quantitative research and risk management at global investment banks,
fundamental analysis at leading investment funds and cutting edge
technologies in big data companies.
DCM’s proprietary trading system delivers uncorrelated, market-neutral
returns in liquid public markets through a portfolio of fully-systematic
advanced strategies.
Extremely Confidential. Not for Public Distribution. | DATA CAPITAL MANAGEMENT | 4
INTRODUC TIO N TO DATA CAPITAL MANAGE ME N T
6. Extremely Confidential. Not for Public Distribution. | DATA CAPITAL MANAGEMENT | 5
DCM NEWS -AWAR E INVESTMEN T PHILOSOPHY
Fundamental Analysis
The analysis of company business
drivers and macroeconomic factors
-25
Analysis of
3,000+ listed
stocks & ETFs
in real time
Real Time Analysis at Large Scale and
Automatic Trade Execution
Quantitative Analysis
The analysis of security price and
trading volume statistics
Novel Data Sources Analysis
Cutting edge machine-learning
algorithms to analyze novel data
sources such as news, images, etc.
DCM combines the rules of fundamental investing, quantitative analysis, and trading
signals derived from novel data sources and machine learning algorithms to identify
alpha catalysts to changes in security prices
Parallel Cognitive Computing
7. PRICES REAC T QUICKER THAN PEOPLE
Extremely Confidential. Not for Public Distribution. | DATA CAPITAL MANAGEMENT | 6
DCM’s proprietary technology enables a faster response to changing prices and unexpected news announcements.
Source: Interactive Brokers price data.
For illustrative purposes only. Back test results are not indicative of future returns. Strategies are
preliminary and are not necessarily those that will be deployed in the market.
Source: Bloomberg news, Interactive Brokers price data.
For illustrative purposes only. Back test results are not indicative of future returns. Strategies are
preliminary and are not necessarily those that will be deployed in the market.
10.3%
-12.3%
-13.8%
-20.0%
-15.0%
-10.0%
-5.0%
0.0%
5.0%
10.0%
15.0%
Oil (WTI) Chipotle
(CMG)
Staples
(SPLS)
For Illustrative Purposes Only. Back test results are not indicative of future returns. Strategies are preliminary and are not necessarily those that will be deployed in the market.
• 8.27.15: Venezuela
seeks OPEC emergency
meeting on oil prices
• 11.20.15: Oregon
agency probes E. coli
cases linked to Chipotle
• 12.7.15: Staples-Office
Depot Deal in Doubt as
FTC Moves to Block
A
B
C
A B C
1-day price returns following unexpected news events
8. INVESTMEN T PHILOSOPHY
Extremely Confidential. Not for Public Distribution. | DATA CAPITAL MANAGEMENT | 7
DCM combines the rules of fundamental investing, quantitative analysis, and trading signals derived from novel data sources and
machine learning algorithms to identify short-term-alpha catalysts to changes in security prices
• Temporal
• Cross-sectional
• Short-term stat-arb
• Rebalancing
• Momentum
• Momentum Reversals
• Machine Learning Predictive
• Corporate Earnings
• Central Bank
• Cross-asset arbitrage
• M&A arbitrage
• News based
News-aware
investing enables
greater adaptive
diversification to
varying market
conditions through
an ability to switch
between investment
models based on
“market psychology”
Mean Reversion
Trend Following (Momentum)
Event Based
StrategyCategories
Traditional portfolio theory
Price Volume
Technical
Execution
Flow
Consumer
Net Exports
Government News Satellite Sensors
SpeechesWeather
Earnings & Margins
Valuations & Growth
Data Categories
Price / Volume Macro Economics Fundamental Novel Data
Etc.
News-aware investing
Commodities
9. TABLE OF CONTEN TS
Extremely Confidential. Not for Public Distribution. | DATA CAPITAL MANAGEMENT | 8
DATA CAPITAL MANAGEMENT OVERVIEW
WHAT IS THE DATA ECONOMY?
WHAT NEW CHALLENGES DOES THE DATA ECONOMY CREATE FOR INVESTORS?
THE FUTURE OF QUANTITATIVE INVESTING IN THE DATA ECONOMY
LESSONS FROM THE INDUSTRIAL REVOLUTION
10. WHAT IS THE DATA ECONOMY?
Extremely Confidential. Not for Public Distribution. | DATA CAPITAL MANAGEMENT | 9
The Data Economy is the economy in
which individuals, institutions and
corporations commercialize their
Intellectual Property assets and
services in the form of web-based APIs
to third parties with the goal of
monetizing Positive Data Externalities
through the creation of new information-
based assets
Source: google images
For illustrative purposes only. Back test results are not indicative of future returns.
11. WHAT IS THE DATA ECONOMY?
Extremely Confidential. Not for Public Distribution. | DATA CAPITAL MANAGEMENT | 10
The Next Industrial
Revolution:
An Economy Based on
the Creation and
Exchange of Data
12. TABLE OF CONTEN TS
Extremely Confidential. Not for Public Distribution. | DATA CAPITAL MANAGEMENT | 11
DATA CAPITAL MANAGEMENT OVERVIEW
WHAT IS THE DATA ECONOMY?
WHAT NEW CHALLENGES DOES THE DATA ECONOMY CREATE FOR INVESTORS?
THE FUTURE OF QUANTITATIVE INVESTING IN THE DATA ECONOMY
LESSONS FROM THE INDUSTRIAL REVOLUTION
13. NEW DATA ECONOMY CHALLEN GES FOR TRADI TI ON AL INVESTORS
Extremely Confidential. Not for Public Distribution. | DATA CAPITAL MANAGEMENT | 12
The new investment world requires an increased ability to handle breadth depth and
complication of relationships….
(1)Breadth: Identification of most relevant data feeds and information sources (news, images,
social networks data, macroeconomic data, etc.) and linking them to all the Entities
(companies, currencies, commodities) they impact. Real-time analysis of massive amounts
of heterogeneous data and predicting their impact on related Entities.
(2)Depth: 360° Entity Relationships Graph modeling relationships between vast number of
related entities (e.g. customer-supplier relationships) and their dependencies. Real-time
monitoring of changes on an entity level and predicting the impact on related entities.
(3)Speed: Identify, Analyze and execute long/short strategies based on new information (e.g.
change in relevant data, or change on an entity level) in under 5 seconds.
(4) Experience: Ability to understand macro and micro regimes and their likely impact on
company cash flows and investment returns
14. While data has increased
in value; the relative
importance of any given
data point on its own has
decreased
NEW DATA ECONOMY CHALLEN GES FOR TRADI TI ON AL INVESTORS
Extremely Confidential. Not for Public Distribution. | DATA CAPITAL MANAGEMENT | 13
Breadth Depth Speed of Data has exploded
Source: DCM Analytics
For illustrative purposes only. Back test results are not indicative of future returns.
15. Extremely Confidential. Not for Public Distribution. | DATA CAPITAL MANAGEMENT | 14
NEW DATA ECONOMY CHALLEN GES FOR TRADI TI ON AL INVESTORS
Company networks have gotten more complex; making defined SQL queries
increasingly painful…
Source: google images
For illustrative purposes only. Back test results are not indicative of future returns.
16. Extremely Confidential. Not for Public Distribution. | DATA CAPITAL MANAGEMENT | 15
NEW DATA ECONOMY CHALLEN GES FOR TRADI TI ON AL INVESTORS
… A machine learning approach is required to understand complex entity relationships
Source: google images
For illustrative purposes only. Back test results are not indicative of future returns.
17. NEW DATA ECONOMY CHALLEN GES FOR TRADI TI ON AL INVESTORS
Extremely Confidential. Not for Public Distribution. | DATA CAPITAL MANAGEMENT | 16
… Yet as humans gain experience, processing power decreases
Source: google images
For illustrative purposes only. Back test results are not indicative of future returns.
18. NEW DATA ECONOMY CHALLEN GES FOR TRADI TI ON AL INVESTORS
Extremely Confidential. Not for Public Distribution. | DATA CAPITAL MANAGEMENT | 17
In a world driven by trend seeking algorithms, are fundamental long/short investors prepared for
the data economy?
We have come regretfully to the
conclusion that the current
algorithmically driven market
environment is one which is
increasingly incompatible with
our fundamental, research
orientated, investment process
– Nevsky Capital
Source: google images
For illustrative purposes only. Back test results are not indicative of future returns.
19. TABLE OF CONTEN TS
Extremely Confidential. Not for Public Distribution. | DATA CAPITAL MANAGEMENT | 18
DATA CAPITAL MANAGEMENT OVERVIEW
WHAT IS THE DATA ECONOMY?
WHAT NEW CHALLENGES DOES THE DATA ECONOMY CREATE FOR INVESTORS?
THE FUTURE OF QUANTITATIVE INVESTING IN THE DATA ECONOMY
LESSONS FROM THE INDUSTRIAL REVOLUTION
20. | DATA CAPITAL MANAGEMENT | 19
In essence all professional investment managers share the same process to make decisions
DATA ACQUISITION ANALYSIS DECISION
Breadth: Data is data; novel
data sources including news,
images, social networks,
macroeconomic feeds, etc. are
linked to price movements in
securities, currencies,
commodities, etc.
Depth: Analyzes, prioritizes
and monitors big-data input
and its impact using systematic
and quantitative metrics
Speed: Real-time, rules-based
extraction and interpretation of
information based on event
triggers from over 20,000
leading global newswires,
online newspapers,
aggregators,
and blogs in under 5 seconds
VOLUME &
VARIETY
VERACITY VELOCITY
FUTURE OF QUANTI TATIVE INVESTING IN THE DATA ECONOMY
21. Extremely Confidential. Not for Public Distribution. | DATA CAPITAL MANAGEMENT | 20
• Parallel Processing
• In-memory compute
• Elastic Resource Management
• On-Demand load provisioning
Advances from the west coast have enabled machines to scale horizontally and linearly
Source: DCM Analytics; Google images
For illustrative purposes only. Back test results are not indicative of future returns.
FUTURE OF QUANTI TATIVE INVESTING IN THE DATA ECONOMY
22. Extremely Confidential. Not for Public Distribution. | DATA CAPITAL MANAGEMENT | 21
Cognitive Computing is in the early stages; the capital markets afford a fertile ground for
rapid learning
Source: IBM, DCM and google images
For illustrative purposes only. Back test results are not indicative of future returns.
FUTURE OF QUANTI TATIVE INVESTING IN THE DATA ECONOMY
-25
Analysis of
3,000+ listed
stocks & ETFs
in real time
23. Extremely Confidential. Not for Public Distribution. | DATA CAPITAL MANAGEMENT | 22
Machine learning is impacting all industries; in the process algorythms are learning
generalized and industry-specific knowledge
FUTURE OF QUANTI TATIVE INVESTING IN THE DATA ECONOMY
24. FUTURE OF QUANTI TATIVE INVESTING IN THE DATA ECONOMY
Extremely Confidential. Not for Public Distribution. | DATA CAPITAL MANAGEMENT | 23
Consistent approach to analyzing company value through its use of predictive modeling and rules-based execution. Real-time
adjustments to portfolio risks and strategy weightings are made in response to specific trading environments.
MACHINE-LEARNING ALGORITHMS
Dynamically adapt portfolio allocations
among mean reversion, momentum, and
event-driven strategies to capitalize on specific
market conditions
Combine advanced self-learning models and
proven risk management to diversify the
portfolio and produce superior uncorrelated
risk-adjusted returns
Model market context, company-specific inputs,
and risk factor analysis for rules-based portfolio
allocation among strategies
NEW DATA SOURCES
Breadth: Ability to identify non-obvious
correlation factors from novel data sources
including news, images, social networks,
macroeconomic feeds, etc. and link to price
movements in securities, currencies,
commodities, etc.
Depth: Analyzes, prioritizes and monitors big-
data input and its impact using systematic and
quantitative metrics
Speed: Real-time, rules-based extraction and
interpretation of information based on event
triggers from over 20,000 leading global
newswires, online newspapers, aggregators,
and blogs in under 5 seconds
CUTTING-EDGE TECHNOLOGY
Accommodate big data feeds and multi-factor
risk systems with fast, scalable infrastructure
and code
Employ sophisticated systems to codify
fundamental statistics for 3,000 US exchange-
traded companies and ETFs
Utilize advanced artificial intelligence algorithms
to predict idiosyncratic shocks, market
sentiment, and cycle duration
25. TABLE OF CONTEN TS
Extremely Confidential. Not for Public Distribution. | DATA CAPITAL MANAGEMENT | 24
DATA CAPITAL MANAGEMENT OVERVIEW
WHAT IS THE DATA ECONOMY?
WHAT NEW CHALLENGES DOES THE DATA ECONOMY CREATE FOR INVESTORS?
THE FUTURE OF QUANTITATIVE INVESTING IN THE DATA ECONOMY
LESSONS FROM THE INDUSTRIAL REVOLUTION
26. LESSONS FROM THE INDUSTRI AL REVOLUTI ON
Extremely Confidential. Not for Public Distribution. | DATA CAPITAL MANAGEMENT | 25
James Pierpont Morgan
Suggestions for FinTech start-ups in the Data Economy
• Standardize industry taxonomies
• Be the best at depth of information for a given vertical
• Take responsibility for the veracity of information
• Focus on speed of delivery
• Focus on historical consistency
• Make adjustments visible to upstream users
• Focus on permissible data use rights
• Don’t be all things to all people
Source: google images
27. LESSONS FROM THE INDUSTRI AL REVOLUTI ON
Extremely Confidential. Not for Public Distribution. | DATA CAPITAL MANAGEMENT | 26
Standardize Industry Taxonomies
Source: google images; Wikipedia
For illustrative purposes only. Back test results are not indicative of future returns.
An International Securities Identification Number
(ISIN) uniquely identifies a security. Its structure is
defined in ISO 6166. Securities for which ISINs are
issued include bonds, commercial paper, stocks
and warrants.
U.S. Railway System 1830 - 1850 Ford plant Dearborn Michigan; 1928
28. Extremely Confidential. Not for Public Distribution. | DATA CAPITAL MANAGEMENT | 27
0
20
40
60
80
100
120
140
160
$95
$100
$105
$110
$115
$120
$125
Millions
AAPL
Volume Close
AAPL Price and Volume 1/12/15 – 2/5/15
AAPL News Volume and Sentiment 1/26/15 – 1/29/15
1/26/15 1/28/15 1/29/151/27/15
Sentiment Score Alone is Not Sufficient
LESSONS FROM THE INDUSTRI AL REVOLUTI ON
Be the Best at Depth of information for a given vertical
Source: DCM Analytics’ Google Images
For illustrative purposes only. Back test results are not indicative of future returns.
• Sentiment score alone is insufficient for
unsupervised systematic execution:
• ~200 identified articles in universe
• ~40% neutral
• ~40% positive
• ~20% negative
James Pierpont Morgan
29. LESSONS FROM THE INDUSTRI AL REVOLUTI ON
Extremely Confidential. Not for Public Distribution. | DATA CAPITAL MANAGEMENT | 28
Take Responsibility for your Veracity
Source: Google Images
For illustrative purposes only. Back test results are not indicative of future returns.
Eads Bridge June 14th 1874Does your product do what you say it does?
Andrew Carnegie first used steel because he was in the bridge building business. Up until
the “elephant parade” of June 14th 1874, bridges were made of Iron and could not
successfully cross the Mississippi River and thus connect the East Coast to the West
Coast. Following this success, he transformed America and powered the Industrial
Revolution…. Not by bridges; but through steel
30. LESSONS FROM THE INDUSTRI AL REVOLUTI ON
Extremely Confidential. Not for Public Distribution. | DATA CAPITAL MANAGEMENT | 29
Suggestions for Start-ups in the Data Economy
• Standardize industry taxonomies
• Be the best at depth of information for a given vertical
• Take responsibility for the veracity of information
• Focus on speed of delivery
• Focus on historical consistency
• Make adjustments visible to upstream users
• Focus on permissible data use rights
• Don’t be all things to all people
Got API?
dcm@datacapitalmanagement.com
Our goal is to help drive a standard for other players in our ecosystem to coalesce around
• This approach helps avoid the “tragedy of the commons” and maximize collective ROI
• We are set up to be “early customers” of new technologies / beta releases
• We drive a culture of focused and targeted feedback
For those with self-interests congruent to ours; let’s help each other