5 ms·

>> "...impossible..." https://en.wikipedia.org/wiki/Renaissance_Technologies https://en.wikipedia.org/wiki/Renaissance_Technologies "...famed for one of the b

by avn2109 10y ago

>> "...impossible..." https://en.wikipedia.org/wiki/Renaissance_Technologies https://en.wikipedia.org/wiki/Renaissance_Technologies "...famed for one of the best records in investing history, returning more than 35 percent annualized over a 20-year span..."

melling 10y ago
And they used algorithms: https://www.youtube.com/watch?v=QNznD9hMEh0 https://www.youtube.com/watch?v=QNznD9hMEh0
tormeh 10y ago
People have done it before. It has always turned out to be luck. Fantastic track record until they cease being lucky. So, cynicism and economic orthodoxy aside, that sounds like a really cool company. Has anyone tried just tossing a big dumb neural network on stock data and investigated whether it can make money? It sounds very obvious, but a quick googling returns little. But I guess the investment industry is pretty secretive by nature.
- auntienomen 10y ago
  RenTec makes too many bets for their track record to be just luck.
- hiddencost 10y ago
  > Has anyone tried just tossing a big dumb neural network on stock data and investigated whether it can make money? ... yes.
  - boulos 10y ago
    One of our Solutions Architects wrote this up for amusement: https://cloudplatform.googleblog.com/2016/03/TensorFlow-machine-learning-with-financial-data-on-Google-Cloud-Platform.html https://cloudplatform.googleblog.com/2016/03/TensorFlow-mach...
- groby_b 10y ago
  https://xkcd.com/1570/ https://xkcd.com/1570/
- hueving 10y ago
  Are you seriously asking if hedge funds that pay hundreds of thousands of dollars salary to top experts from all kinds of fields have investigated using machine learning?
  - tormeh 10y ago
    Obviously someone has, but I want to know the results.
    - tomp 10y ago
      You can't just "toss a NN to stock market data" and expect good results. There's too little historical data, you can't easily "generate" more data for the network to learn from, making it really easy to overfit. In other fields (e.g. computer vision) a lot of research has been focused on inventing techniques that prevent overfitting, thus enabling "learning" (i.e. generalization of patterns), such as dropout, convolutional neural networks, flipping/rotating images, etc. Very few of these techniques can be applied generally.
      - eivarv 10y ago
        Dropout can certainly be applied generally - it's useful as a regularization technique (especially in wide and deep networks) to combat overfitting in other fields than computer vision. CNNs can be used in other fields as well.
- ktRolster 10y ago
  It turns out to be rather difficult, because in most setups you see in the stock market, the market goes up roughly half the time, and down roughly half the time.
- tomp 10y ago
  You've no idea what you're talking about. Renaissance technology is a quantitative trading company, meaning they use computers to trade; they probably do thousands of trades per day, and consistently make a profit. There's approximately 0% chance that it's just luck. Now, you might say, they were lucky to stumble upon a strategy that works. You can also say that the strategy will stop working at some point (because of competition), so their "luck" will run out, and they might not get "lucky" in time to find a new strategy. But their past performance was most definitely not just "luck". Btw, in most other professions (e.g. the arts, technical inventions, sports) we call this kind of "luck", "skill".
Retric 10y ago
Which is still less than someone who bought dell stock at IPO and held for 9 years.
- bkanber 10y ago
  So? Dell's market cap at IPO was $80M. You can't just pick one good company to invest in. What would these funds do with the other, oh, $10Bn they need to invest?
  - Retric 10y ago
    These funds are not getting that kind of returns on 10B. Often you see "fund not seeking additional investment."
    - bkanber 10y ago
      That's my point. When you have so much money to invest you (are forced to) capture a more representative slice of the market and regress closer to the mean.
robotresearcher 10y ago
There are millions of investors. The chances of a few outliers getting a long streak of returns are pretty good, even if they picked stocks at random. It's impossible to tell in advance who those lucky parties will be. But their existence is very likely.

by avn2109 10y ago

melling 10y ago

And they used algorithms: https://www.youtube.com/watch?v=QNznD9hMEh0 https://www.youtube.com/watch?v=QNznD9hMEh0

tormeh 10y ago

People have done it before. It has always turned out to be luck. Fantastic track record until they cease being lucky. So, cynicism and economic orthodoxy aside, that sounds like a really cool company. Has anyone tried just tossing a big dumb neural network on stock data and investigated whether it can make money? It sounds very obvious, but a quick googling returns little. But I guess the investment industry is pretty secretive by nature.

auntienomen 10y ago
RenTec makes too many bets for their track record to be just luck.
hiddencost 10y ago
> Has anyone tried just tossing a big dumb neural network on stock data and investigated whether it can make money? ... yes.
- boulos 10y ago
  One of our Solutions Architects wrote this up for amusement: https://cloudplatform.googleblog.com/2016/03/TensorFlow-machine-learning-with-financial-data-on-Google-Cloud-Platform.html https://cloudplatform.googleblog.com/2016/03/TensorFlow-mach...
groby_b 10y ago
https://xkcd.com/1570/ https://xkcd.com/1570/
hueving 10y ago
Are you seriously asking if hedge funds that pay hundreds of thousands of dollars salary to top experts from all kinds of fields have investigated using machine learning?
- tormeh 10y ago
  Obviously someone has, but I want to know the results.
  - tomp 10y ago
    You can't just "toss a NN to stock market data" and expect good results. There's too little historical data, you can't easily "generate" more data for the network to learn from, making it really easy to overfit. In other fields (e.g. computer vision) a lot of research has been focused on inventing techniques that prevent overfitting, thus enabling "learning" (i.e. generalization of patterns), such as dropout, convolutional neural networks, flipping/rotating images, etc. Very few of these techniques can be applied generally.
    - eivarv 10y ago
      Dropout can certainly be applied generally - it's useful as a regularization technique (especially in wide and deep networks) to combat overfitting in other fields than computer vision. CNNs can be used in other fields as well.
ktRolster 10y ago
It turns out to be rather difficult, because in most setups you see in the stock market, the market goes up roughly half the time, and down roughly half the time.
tomp 10y ago
You've no idea what you're talking about. Renaissance technology is a quantitative trading company, meaning they use computers to trade; they probably do thousands of trades per day, and consistently make a profit. There's approximately 0% chance that it's just luck. Now, you might say, they were lucky to stumble upon a strategy that works. You can also say that the strategy will stop working at some point (because of competition), so their "luck" will run out, and they might not get "lucky" in time to find a new strategy. But their past performance was most definitely not just "luck". Btw, in most other professions (e.g. the arts, technical inventions, sports) we call this kind of "luck", "skill".

Retric 10y ago

Which is still less than someone who bought dell stock at IPO and held for 9 years.

bkanber 10y ago
So? Dell's market cap at IPO was $80M. You can't just pick one good company to invest in. What would these funds do with the other, oh, $10Bn they need to invest?
- Retric 10y ago
  These funds are not getting that kind of returns on 10B. Often you see "fund not seeking additional investment."
  - bkanber 10y ago
    That's my point. When you have so much money to invest you (are forced to) capture a more representative slice of the market and regress closer to the mean.

robotresearcher 10y ago

There are millions of investors. The chances of a few outliers getting a long streak of returns are pretty good, even if they picked stocks at random. It's impossible to tell in advance who those lucky parties will be. But their existence is very likely.