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Quant funds have existed for a very long time. Rentech has been using neural nets, HMMs, speech and language processing in some capacity for decades
by deepnotderp 7y ago
Quant funds have existed for a very long time. Rentech has been using neural nets, HMMs, speech and language processing in some capacity for decades
- objektif 7y agoHow do you know what they actually use? I thought they are super secretive.
- deleted 7y ago[deleted]
- darawk 7y agoThings leak. And knowing which models someone uses aren't that important. The devil is in the details of all these things. Which datasets, what features to feed in, how to clean them, etc.
- deepnotderp 7y agoIt's actually my understanding that the core of Medallion is the data processing engine. The models themselves aren't that much more advanced than everybody else (iirc). Rather, financial data is extraordinarily noisy and often not i.i.d. and thus things like deep networks, applied alone, will drown in noise. The use of techniques from advanced statistical signal processing, information theory, conpressed sensing, information geometry, etc. allows the data processing engine to automatically and autonomously extract this signal from a sea of noise.
- darawk 7y agoYa, that's likely correct. It's all about how you transform the data you feed into the model, and which data you choose to look at, not to mention how you group companies together. That part is huge too. Once you've done all that correctly, off the shelf ML models will solve your problem just fine.
- deepnotderp 7y agoIt's my understanding that RenTech essentially takes in any data and lets the pipeline figure out what's important.
- jeffshek 7y agoOne founder of RenTech studied under Geoffrey Hinton (some call father of deep learning). This was before DL was known outside of Toronto. RenTech is also known for hiring/poaching almost everyone from a former IBM voice research team.
- deepnotderp 7y agoLeonard Baum of Baum-Welch/EM algorithm fame (for training HMMs) was one of the first recruits to rentech. They pretty much scooped up the entire IBM speech and language processing team (Mercer's 1980 paper is cited as eqn 1 in the GPT-2 paper). Robert Frey, formerly of rentech, confirmed their past use of NNs. These are all public. Beyond that I can't say :)
- mruts 7y agoHow do you know that? People in the industry haven't confirmed much of anything about them except they make a retarded amount of money.
- deepnotderp 7y agoCopy/paste my other comment: Leonard Baum of Baum-Welch/EM algorithm fame (for training HMMs) was one of the first recruits to rentech. They pretty much scooped up the entire IBM speech and language processing team (Mercer's 1980 paper is cited as eqn 1 in the GPT-2 paper). Robert Frey, formerly of rentech, confirmed their past use of NNs. These are all public. Beyond that I can't say :)