5 ms·
Here are a few insights on the rentech process from Nick Patterson, one of their senior statisticians there for a decade: [...I joined a hedged fund, Renaissan
by clausok 8y ago
Here are a few insights on the rentech process from Nick Patterson, one of their senior statisticians there for a decade:
[...I joined a hedged fund, Renaissance Technologies, I'll make a comment about that. It's funny that I think the most important thing to do on data analysis is to do the simple things right. So, here's a kind of non-secret about what we did at renaissance: in my opinion, our most important statistical tool was simple regression with one target and one independent variable. It's the simplest statistical model you can imagine. Any reasonably smart high school student could do it. Now we have some of the smartest people around, working in our hedge fund, we have string theorists we recruited from Harvard, and they're doing simple regression. Is this stupid and pointless? Should we be hiring stupider people and paying them less? And the answer is no. And the reason is nobody tells you what the variables you should be regressing [are]. What's the target. Should you do a nonlinear transform before you regress? What's the source? Should you clean your data? Do you notice when your results are obviously rubbish? And so on. And the smarter you are the less likely you are to make a stupid mistake. And that's why I think you often need smart people who appear to be doing something technically very easy, but actually usually not so easy.]
[[at] my hedge fund, which was not a very big company, we had 7 Phd's just cleaning data and organizing the databases]
http://www.thetalkingmachines.com/episodes/ai-safety-and-legacy-bletchley-park http://www.thetalkingmachines.com/episodes/ai-safety-and-leg...
quotes from ~30:06 & ~38:03
- scottlocklin 8y agoNice find. I met the dudes at one of their few spinoffs, Merfin/Edgestream. I didn't work for them, but it was abundantly obvious they pretty much used really simple tools with excellent risk management and execution.
- clausok 8y agoI've seen systematic portfolio managers who switched firms and then took a year or more to begin trading -- when they expected a maximum transition time of a couple months -- because they took for granted the tools and data infrastructure at the prior firm. Even tasks as mundane as handling ticker changes can have an unexpectedly large time cost when you're the one who has to handle them. That may be why there doesn't seem to be a large rentech diaspora, as opposed to Julian Robertson's tiger cubs, for example. One can't take the process with them and it's really hard to reinvent.
- throwawaymath 8y agoYep, you sound like you probably know this, but a few people left RenTech for another firm back in the day. They never got those returns off the ground at the new place.
- throwawaymath 8y agoEdgestream was founded by people out of RenTech? Really? I didn't know that.
- scottlocklin 8y agoMain one: https://littlesis.org/person/215249-Sandor_Straus# https://littlesis.org/person/215249-Sandor_Straus# Berlekamp kicked around the idea of starting a new fund as well. I knew a guy who interviewed with him.
- auntienomen 8y agoAnd here I've been assuming that you used to work for them...
- throwawaymath 8y agoNo, I'm familiar with Edgestream by name and reputation only. I've never really looked into the origins there. For what it's worth, I'm based out of Irvine, across the country :)
- auntienomen 8y agoAh, forgive me. Your comments fit the profile of someone I know socially who'd worked at Edgestream before leaving to do research in communications. Irvine leads to other presumptions, of course. That golden sunshine..
- throwawaymath 8y agoThat golden sunshine indeed.