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Many hedge funds have started to consume this type of data. There is a piece in WSJ that discusses how one fund, two sigma, uses cell phone tracking data, as w
by chollida1 11y ago
Many hedge funds have started to consume this type of data.
There is a piece in WSJ that discusses how one fund, two sigma, uses cell phone tracking data, as well as many other sources of data to build trading signals.
http://www.wsj.com/articles/how-computers-trawl-a-sea-of-data-for-stock-picks-1427941801 http://www.wsj.com/articles/how-computers-trawl-a-sea-of-dat...
In fact, I think the biggest funds are putting more effort into this type of big data exploration from funds than they are into trying to glean more information out of the time series data provided by the exchanges data feeds.
10 years ago, being able to scrape the web was a competitive advantage for funds, 5 years ago it was real time sentiment analysis of news reports.
Today, its being able to consume 100's of disparate data feeds and build alpha generating signals from it.
- Animats 11y agoAre they tracking the CEOs of companies in which they invest, or what? Tracking A, B, and C-level executives should be very profitable. Who meets with whom is valuable info. Especially when you also have their phone call metadata. The activity in advance of a merger should be quite visible. Tracking elected officials should reveal who influences whom, and who's bribing whom. It may be possible to detect bribery to the level of establishing probable cause for an investigation in that way.
- pyvpx 11y agomy initial thought was how many teens are patronizing $MALL_STORE or how many people are stopping at Chevron gas stations versus Shell. at least that's more demographic/general, in my opinion. what you suggest is bordering "creepy".
- WalterBright 11y agoPeter Lynch, of Magellan fame, wrote that he'd hang out in shopping malls looking at store traffic.
- donkeyd 11y agoJust bordering? Seems full on creepy to me.
- exelius 11y agoNo, it's more about understanding consumer sentiment about a product category or company based on mining consumer information in aggregate. For example, a hedge fund could know how many people went inside a Wal-Mart over the last few months based on cellular location data. If there's an unfavorable downturn in store traffic, the hedge fund can shift its investments based on information that Wal-Mart won't report for another few months. > Tracking elected officials should reveal who influences whom, and who's bribing whom. It may be possible to detect bribery to the level of establishing probable cause for an investigation in that way. The way political fundraising is done in the US, most bribes look like legitimate campaign finance money. In some states, it's even legal for a candidate to simply redirect whatever is in his campaign fund directly into his own bank account after the election. And even in states where that is illegal, 501(c)4 / SuperPACs allow politicians to do whatever they want with the money with no oversight. With laws like that, why even bother to investigate bribery?
- gohrt 11y agohttp://www.cnbc.com/id/38722872 http://www.cnbc.com/id/38722872 satellite recon of walmart parking lot usage, to estimate business trends
- exelius 11y agoYeah, I was using that as an example -- but I'm sure you can think of other things you could measure using bulk cell phone data that would give you insight into the future financial performance of a company -- often before the company itself knows.
- chollida1 11y agoI'm not privy to what Two Sigma do, but I'm guessing all the tracking data they have is anonymized, did I just make up a word?, and of a more general trend variety.
- dreamdu5t 11y agoI find this hard to believe: "consume 100's of disparate data feeds and build alpha generating signals from it". Can you point to an example?
- chollida1 11y agoWell there are 40 different exchanges with which to trade in the US alone, Canada adds another 10. So there are 50 different signals before you even start up your servers for the day. Since there is no one true currency market most HFT funds make their own currency signal from anywhere from 5 - 20 different feeds, lets call it 10 to bring our list of data feeds to 60 before we get into any futures and bond markets or to Europe and Asia. Consuming the above mentioned brings us close to 100 already. Add in feeds from - google trends - analytic s about consumer trends from say 5 different providers each covering say 5 demographics across 5 sectors - twitter data feeds aplenty, following 2-300 different hash tags representing stock #APPL - twitter following for news feeds, like AP, Reuters, etc to do sentament analysis. - don't forget your machine readable news feeds - now lets get into government data. FRED has 100's of data sets to parse to use as model inputs. See: https://research.stlouisfed.org/fred2/ https://research.stlouisfed.org/fred2/ What are we up to, 200-300 different signals and we haven't really broken a sweat yet. What sort of source would you like me to provide other than what I see on my computer screen and do for a living?
- shalmanese 11y agoI know of one company that takes photos of retail parking lots using nanosats and then sells that data to hedge funds. They're trying to put up more satellites so they can get even more photos per unit time.
- noja 11y agoWhat. The. F*ck? People are being tracked for trading advantage and that is not at all illegal? Not inside trading at all? How the hell did we get _here_?
- dschiptsov 11y ago> Today, its being able to consume 100's of disparate data feeds and build alpha generating signals from it. How do they validate that this has any connection to reality? Or those who had budgets to spend doesn't ask such silly questions?
- consz 11y agoThere are a number of traditional statistical methods for validation that can be used to answer this type of question. These sorts of firms have some of the largest private clusters in the world, they are certainly capable to and do answer this question before trading.
- dschiptsov 11y agoSure. I could answer to this meme by another meme - most of statistics based studies are wrong in all possible way - biased data set, misapplied methods, wishful thinking, untestifiability.
- consz 11y agoSo what's your point? Sure, you can mess up your test -- does that mean you shouldn't trade? Does that mean you shouldn't run validation tests at all?
- dschiptsov 11y agoMy point is that there are more faith and wishful thinking than science in all these "models". Moreover, the very nature of the markets are too complex to model, especially using such data sources. The result would be some naive description of reality, like pre-scientific religious cosmology, a wrong but sophisticated enough 'model' based on 'current consensus'.)
- consz 11y agoHave you worked in a variety of quant funds? What makes you think markets are too complex to model? What evidence do you have that the models used at successful shops are not sufficiently rigorous?
- dschiptsov 11y ago> Today, its being able to consume 100's of disparate data feeds and build alpha generating signals from it. How do they validate that this has any connection to reality? Or those who had budgets to spend doesn't ask such silly questions?