Hedge funds embrace machine learning up to a point

Re:Hedge funds embrace machine learning up to a point by TuringNYC on Friday December 08, 2017 @03:20PM (#15881690)

Funds would not share what they are doing because then others would do the same, narrow spreads and reduce profits for all participants. But you can get a good idea of what they might be working on by some of their workers' expertise. Notice how places like RenTech (https://en.wikipedia.org/wiki/Renaissance_Technologies and https://www.bloomberg.com/news/articles/2016-11-21/how-renai...), Two Sigma, and others hire loads of NLP and machine learning academics.

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Re:Hedge funds embrace machine learning up to a point by QML on Friday December 08, 2017 @05:02PM (#15882451)

Perhaps these newer hedge funds just want to give off the perception that they know what they’re doing — I’m more sure about a company like RenTech since they have been through a recession and market crash, and has still come up net positive. So how much of this is simply the market rising; how much of this is due to chance? If we can remove these confounding factors then we could maybe actually evaluate the efficiency of ML-based hedge funds (or regular ones).

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Re:Hedge funds embrace machine learning up to a point by ben_jones on Friday December 08, 2017 @05:09PM (#15882518)

"That's my quant".

[1]: https://www.youtube.com/watch?v=FoYC_8cutb0

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Re:Hedge funds embrace machine learning up to a point by hendzen on Saturday December 09, 2017 @01:23AM (#15884607)

Many quant funds are market neutral. For every dollar long they have a dollar short. Such funds aren’t necessarily benefiting from an upward rise in the market.

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Re:Hedge funds embrace machine learning up to a point by mrigor on Saturday December 09, 2017 @01:41AM (#15884627)

Are you referring to gamma hedging or another strategy?

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Re:Hedge funds embrace machine learning up to a point by zeusk on Saturday December 09, 2017 @05:32AM (#15885178)

It's called delta neutral afaik.

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Re:Hedge funds embrace machine learning up to a point by arcanus on Friday December 08, 2017 @06:55PM (#15883181)

Agreed. Both rentech and two Sigma were at NIPS this week. Probably a good indicator of where some of their interests are.

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Re:Hedge funds embrace machine learning up to a point by sseveran on Saturday December 09, 2017 @12:51AM (#15884523)

As were Cubist, Citadel, Winton, Optiver, Jump, MAN AHL, Voleon, DE Shaw, Hudson River and PDT. Not sure if I missed anyone.

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