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gordongus
Renaissance Technologies

Interesting article on Renaissance Technologies: http://finance.yahoo.com/news/inside-moneymak...e-no-other-050104225.html

Some insight into their philosophy:

"By studying cloud cover data, they found a correlation between sunny days and rising markets from New York to Tokyo. “It turns out that when it’s cloudy in Paris, the French market is less likely to go up than when it’s sunny in Paris,” he said."

Nov 21, 2016 12:48:58 PM       
Jrinne
Re: Renaissance Technologies

I saw that too. I even had a post with a link but couldn't figure out what point I wanted to make.

I guess if I did try to make a point it would be that they have 300 employees with 90 Ph.D.s. Anyone at P123 claiming that they have all of the answers should be a little humbled. Probably to the point that they should not say they know what doesn't work even if they have found something that does work.

Jim

From time to time you will encounter Luddites, who are beyond redemption.
--de Prado, Marcos López on the topic of machine learning for financial applications

Nov 21, 2016 12:59:12 PM       
Sterling
Re: Renaissance Technologies

I get the feeling the weather indicator was given to throw people off the scent. 300 employees and 90 PhDs may sound impressive but if you think about it there is probably comparable if not greater brainpower using this site.

Nov 22, 2016 1:39:26 PM       
Chipper6
Re: Renaissance Technologies

I get the feeling the weather indicator was given to throw people off the scent. 300 employees and 90 PhDs may sound impressive but if you think about it there is probably comparable if not greater brainpower using this site.
Sterling, maybe, but they have far more data to work with. I watched an interview with Simons and he said that they collect data by the gigabyte like it's going out of style.

Nov 23, 2016 12:35:18 AM       
Edit 1 times, last edit by Chipper6 at Nov 23, 2016 6:23:28 AM
strader1
Re: Renaissance Technologies

All:

My memory is that they collect roughly a terabyte/day of data. That may sound like a lot but most of it is probably tick data. Simons, and the people around him are smart, no doubt about it, but that doesn't mean I can't make significant money from the markets.

Bill

Nov 23, 2016 2:20:28 AM       
Jrinne
Re: Renaissance Technologies

Bill,

Just want to say that I'm absolutely convince that you can make money in the market. As others have said: P123 rocks!

One of the things I like about the article is that it is documented public proof that it can be done. No one has to believe an anecdotal story from one of our users. It absolutely can be done. And we have some advantages at P123—being able to invest in smaller-cap stocks and fewer problems with moving the market.

Perhaps, it is amazing that the Medallion Fund can do it with that much money. They must be limited to larger-cap stocks. Presumably they invest in Paris (if they are keeping track of the weather there). Maybe this is to diversify but this may also be to manage their liquidity problems.

One could speculate forever about which scales up more quickly: the benefit of additional pieces of less and less significant data or the problems with liquidity. But I'm guessing they released the data about the weather in Paris because it isn't useful it a ranking system (or multivariate regression).

Your post comparing the users of P123 to the employees of the Medallion Fund gave me a nightmare. Last night I woke up in cold-sweat having dreamed that all of us at P123 had to pool our money and resources and agree on our models and investments. What a nightmare! Assuming that the Medallion Fund works this way—that alone is an accomplishment. But it is probably better to be at P123 with complete control of our investments.

Jim

From time to time you will encounter Luddites, who are beyond redemption.
--de Prado, Marcos López on the topic of machine learning for financial applications

Nov 23, 2016 8:00:34 AM       
Edit 5 times, last edit by Jrinne at Nov 23, 2016 9:22:31 AM
InmanRoshi
Re: Renaissance Technologies

I get the feeling the weather indicator was given to throw people off the scent. 300 employees and 90 PhDs may sound impressive but if you think about it there is probably comparable if not greater brainpower using this site.


One difference is they're likely working in a more collective, collaborative and open knowledge sharing environment working for the overall performance of the fund. So on that note, if anyone would like to be more like Renaissance and set your most productive Ports public, feel free to do so ;)

Nov 23, 2016 9:07:43 AM       
gordongus
Re: Renaissance Technologies

One of the reasons I linked the article: it reminded me of when, some years ago, I worked for a small quant advisor. I remember vividly the day I spouted off something about the importance of cash flow measures versus reported earnings, and the absolute glare of disdain the CIO gave me - "You think you're the first person who thought of that?" he said. A little later in the meeting, he said, "If you find a correlation between the price of potatoes and the stock market, you'd better pay close attention to the price of potatoes." I thought he was joking, but he was absolutely serious. To him, and therefore the philosophy of the firm, all data we collected was just data. We threw math at it and traded what stuck. Incidentally, I was the least smart person there. To this day, I still don't know why they hired me.

The Ph.D's they listed are astrophysicists and language specialists, not economists. They are used to looking at data and then drawing conclusions. This isn't to say that this is the only way to do things, it's just the philosophy of their firm.

My guess would be that they make the majority of their money off high-frequency trading. It's the only way their draw down could be so low, if was the article says is true.

Nov 23, 2016 11:28:16 AM       
Jrinne
Re: Renaissance Technologies

I was the least smart person there. To this day, I still don't know why they hired me.

I'll consider believing you on this. But first I will have to know if the quant advisor who hired you is still in business. And I suppose it would be helpful knowing how the price of potatoes is doing.

It takes a true astrophysicist to know the level of significance necessary to use price indicators like this as a signal. Fortunately for us, most astrophysics are well……astrophysicists.

At least you had the sense to sign up with P123—instead of say ProfitsPi (almost purely technical and were not PIT) where I used to be.

But I do wish D.E. Shaw would go back to Columbia University. Actually, D.E. Shaw and Co. is now managed by a 6 member executive committee which once included Lawrence Summers. But you get my point—it really can be done by some.

Jim

From time to time you will encounter Luddites, who are beyond redemption.
--de Prado, Marcos López on the topic of machine learning for financial applications

Nov 23, 2016 12:14:05 PM       
Edit 6 times, last edit by Jrinne at Nov 23, 2016 1:25:18 PM
gordongus
Re: Renaissance Technologies

I worked there around 17 years ago. The firm isn't in business anymore, though the guys I keep in touch with still are. The CIO has long since retired. I should also say we did use Vestek to run fundamental based stock selection strategies. I use P123 and Tradestation.

Nov 23, 2016 12:34:21 PM       
Edit 2 times, last edit by gordongus at Nov 23, 2016 12:48:31 PM
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