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Renaissance Technologies
- initium 7y agoThis made me remember this interview with James Simons on Numberphile: https://www.youtube.com/watch?v=sB_OdGGA450 https://www.youtube.com/watch?v=sB_OdGGA450
- nikofeyn 7y agothe full length one is very good. it gives an understanding as to why simons has been so successful. https://youtu.be/QNznD9hMEh0 https://youtu.be/QNznD9hMEh0
- insiderthrow 7y agoEither really good math or really good insider trading.
- bhouston 7y agoIf you watch Billions it seems to be a combination of the two in some firms.
- throwawaymath 7y agoThe hedge fund featured in Billions is entirely unlike typical quant trading firms in culture and operation, let alone RenTech.
- bhouston 7y agoIt seemed that all hedge funds in Billions were trading in insider information. It does seem prevalent, but I am not personally in the industry at all: https://medium.com/@malwarwick_98471/insider-trading-in-the-hedge-fund-industry-a5ec5aae2d62 https://medium.com/@malwarwick_98471/insider-trading-in-the-... https://en.wikipedia.org/wiki/Steven_A._Cohen https://en.wikipedia.org/wiki/Steven_A._Cohen
- nabla9 7y agoYou can also see them trading on non-public information they get trough other channels. I think that's more normal. In real life you can't run a fund by finding insiders willing to commit crimes routinely. But you often can get the same information by other means by collecting intelligence. Observing traffic, the flow of materials, following people and finding who meets who.
- throwawaymath 7y agoYes^. RenTech and lots of other funds routinely source non-financial data to back out nonpublic information. It's not illegal and it's not unique to them. Examples are things like real estate documents, weather data, public activities of executives, satellite imagery, credit card transactions (Second Measure), DNS data, location data (Thasus, Foursquare), etc...
- tomp 7y ago> Observing traffic, the flow of materials, following people and finding who meets who. IANAL, but I’d imagine that then it’s no longer non-public information (at least in the US).
- deleted 7y ago[deleted]
- s_dev 7y agoHeres Numberphile interviewing James: https://www.youtube.com/watch?src_vid=gjVDqfUhXOY&v=QNznD9hMEh0 https://www.youtube.com/watch?src_vid=gjVDqfUhXOY&v=QNznD9hM... He's a MIT/Berkley Math professor.
- dhruvmittal 7y agoI met him a few times when I was a grad student at Stony Brook (Physics). I can't speak for his particular math skills, but he's in possession of an incredibly sharp mind. The Simons Center for Geometry and Physics has an art gallery and an associated lecture series, and James often shows up to participate in these events. Luckily, these events are free to enter for all graduate students. At one of these events, I'd commented that a particular piece reminded me of a crystalline structure I was interested in studying (as a li-ion cathode). James overheard me and came over to quiz me on some of my group's work. About 8 months later, I ran into him at another lecture. While he didn't remember my name, he asked how my hollandite simulations had turned out. This anecdote doesn't really prove anything, other than that Dr Simons is a pretty cool dude.
- nfRfqX5n 7y agothey talked about this on the Masters in Business podcast on Oct 30th. pretty interesting stuff.
- notlukesky 7y agohttps://www.bloomberg.com/opinion/articles/2019-11-01/ritholtz-s-masters-in-business-getting-jim-simons-to-talk https://www.bloomberg.com/opinion/articles/2019-11-01/rithol...
- npongratz 7y agoDirect download: https://traffic.bloomberg.fm/BLM3980613543.mp3 https://traffic.bloomberg.fm/BLM3980613543.mp3
- edward 7y agoRecently published book on this topic: The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution by Gregory Zuckerman
- mason55 7y agoA decent book about Jim Simons just came out last week https://www.amazon.com/Man-Who-Solved-Market-Revolution-ebook/dp/B07P1NNTSD https://www.amazon.com/Man-Who-Solved-Market-Revolution-eboo... I'm most of the way through it, it's an interesting read
- melling 7y agoThere was a book published last week on Jim Simons and Renaissance Technologies: https://www.amazon.com/Man-Who-Solved-Market-Revolution/dp/073521798X/ https://www.amazon.com/Man-Who-Solved-Market-Revolution/dp/0... The author was interviewed on the Masters in Businesss podcast: https://www.bloomberg.com/news/audio/2019-10-30/gregory-zuckerman-on-the-quant-revolution-podcast https://www.bloomberg.com/news/audio/2019-10-30/gregory-zuck... Simons is a serious mathematician: https://en.wikipedia.org/wiki/Jim_Simons_(mathematician) https://en.wikipedia.org/wiki/Jim_Simons_(mathematician) He won the Oswald Veblen Prize in 1976: https://en.wikipedia.org/wiki/Oswald_Veblen_Prize_in_Geometry https://en.wikipedia.org/wiki/Oswald_Veblen_Prize_in_Geometr...
- tgb 7y agoHe's still an active mathematician, too, for example a 2018 pre-print: https://arxiv.org/abs/1803.07129 https://arxiv.org/abs/1803.07129
- zozbot234 7y ago> This article is about the American hedge fund management company. For technical advancements during the European Renaissance period, see https://en.wikipedia.org/wiki/Renaissance_technology https://en.wikipedia.org/wiki/Renaissance_technology
- Aardwolf 7y agoThanks, something like that is what I expected and what piqued my interest from the title :)
- rb808 7y agoDo they still outperform? I can imagine 10 years ago they were ahead of everyone but now quant investing is everywhere I would be surprised if they have a big edge.
- HSO 7y ago10 years ago „quant“ investing was already everywhere
- smabie 7y agoI can't find any recent numbers but the last number I can find is 36% after fees of like 5%/45% in 2015. I would assume they are still killing it, but can't find any info.
- jdross 7y agoYes table in article and cropped here on Twitter, which might have spurred this post: https://twitter.com/justindross/status/1193737152997183488?s=20 https://twitter.com/justindross/status/1193737152997183488?s... Their returns have been as good or better in the last 10 years even after doubling the fund size
- hogFeast 7y agoI would read the recent book. Competition really started in the mid-1990s (and quant funds existed way before that point), and Renaissance actually picked up steam far later than everyone else (and had trouble raising capital because everyone thought the space was already tapped out). Btw, the point to investing isn't an absolute level of knowledge but relative knowledge. If you keep moving ahead because you are smarter then you will keep outperforming. The view of most investors, not just in quant, is: I went to X university, I am very smart, anyone who does better than me is cheating/insider trading/committing fraud/etc. But the majority of people won't outperform regardless of "intelligence". AHL has been doing quant for nearly four decades now, they only hire the elite, they even have their own quant finance institute at Oxford...results? Still shit because it isn't as easy as just hiring a ton of "intelligent" people. For some reason, smart people tend to believe that the real world is like university or government where success is achieved by other people thinking you are smart...it isn't like that. Obtaining results is the combination of many things (i.e. most quant firms churn and burn employees, most quant firms have trouble retaining staff, etc.).
- unchocked 7y agoA 66% annualized return over 30 years - from a completely opaque investment strategy. Extraordinary result for sure, how did he do it? Run by Robert Mercer, the money man who associated with prominent money launderers. Based on my priors, Occams Razor says Rentech is a laundromat, not a hedge fund.
- smabie 7y agoIt's not run by Robert Mercer. He's no longer a co-CEO. And if that's your conclusion, you should probably reexamine your priors.
- unchocked 7y agoRight, it's run by his designated successor, whose wealth comes from Mercer's "trading strategy".
- deepnotderp 7y agobecause they were on the same IBM speech/nlp team...
- rb808 7y ago66% CAGR is impossible. That would mean every million dollars you invested turns into $4 Trillion.
- rat_1234 7y agoWell, the thing is that they cap the size of the fund at $10B so it's not really a CAGR per se as the original capital isn't appreciating at that rate. It's just they have $10B invested and then they distribute $6.6B per year and that's it (i.e., the fund doesn't become $16.6B next year). Still take your point that it's an insane figure!
- deleted 7y ago[deleted]
- smabie 7y agoA great book about RenTec and Jim Simons came out recently: The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution. Everyone in the industry worships Simons and RenTec as practically god-like. What they've managed to do shouldn't really be possible and is out of this world. According to Wikipedia over a 20 year period between 1994 and 2014, RenTec realized an 71.9% annualized return in their internal Medallion fund. And before anyone says that's a fluke, let's calculate the probability of such a "fluke" using some simplifying assumptions: 1. S&P 500 returns are log-normally distributed with a log-return of 10% and volatility of 10% 2. RenTec made a mean annualized return of 71.9% over 20 years 3. The returns of RenTec are independent from year to year We get a P<1.64E-14. Therefore, I think we all can agree that we can reject the null hypothesis of RenTec having no alpha. And before someone says that it's a scam, there's no outside investors in the Medallion fund anymore, so if it is a scam, they would only be scamming their own employees. And if that was the case, I think we would know.
- pmoriarty 7y agoMy own suspicion is that they have access to some raw information that others don't have. An example of such information would be information gathered from insiders at other corporations or industrial espionage. It's more likely, in my view, that they've created a world-class industrial espionage outfit than that they've "solved the market" for decades where virtually everyone else has failed. On the other hand, if they really are cheating, I'm not sure why the US government (who doubtless has penetrated them with their own spies) has let them continue operating for all these years.
- smabie 7y agoI guess all the math and science PhDs they hire are actually undercover spies that finished their dissertations in order to provide a good cover?
- Inconel 7y agoWithout getting into the validity of the gp’s post, RenTec does seem to recruit from NSA/CCR, particularly in the early days. Again, not saying this lends credence to the gp’s post, just adding an interesting bit of info.
- anonu 7y agoNobody really knows how RenTech makes their money. There have been some interesting data points over time, mainly through lawsuits where interesting tidbits of info were divulged. There are indications that the main rentech fund is a combination of high leverage and some potentially risky tax plays through structured products.
- dredmorbius 7y agoCorrection: nobody who knows, if they've talked publicly, have been taken as seriously credible. Someone, I suspect, knows.
- cjken 7y agoWhile I understand there are moral and ethical complications with the vast sums of wealth and influence attached to RenTec, the tone in these comments is disappointing... There is no fraud at RenTec, and there is nothing magical about what they do. It's simply an amazing technical and scientific organization, operating with almost unthinkable efficiency and scale. I haven't read the book, but I'm pretty sure this isn't in it: I've been told by reliable sources that if you pick any one strategy (however you are able to separate/define that) from the Medallion portfolio and it will not be individually remarkable--probably less than a 1.0 Sharpe (net of trading costs, gross of fees). There are countless hedge funds with equally performant models and sub-strategies. What makes RenTec different is their ability to generate orthogonal strategies at a remarkable scale. They generate more ideas with less philosophical and empirical overlap than anyone else, by a wide margin. The software and theory required to do this for a fund as large as Medallion is absolutely as rare and valuable as their returns have proven. Wrote more about it here: https://www.bridgealternatives.com/medallion-isnt-magic-probably/ https://www.bridgealternatives.com/medallion-isnt-magic-prob...
- erikig 7y agoThanks for sharing this, I'm diving into the 3 videos that you highlighted: Part 1: Mathematics - https://www.youtube.com/watch?v=HVqxs0YBp4g https://www.youtube.com/watch?v=HVqxs0YBp4g Part 2: Finance - https://www.youtube.com/watch?v=srbQzrtfEvY https://www.youtube.com/watch?v=srbQzrtfEvY Part 3: Philanthropy - https://www.youtube.com/watch?v=w8o-qC8E5ic https://www.youtube.com/watch?v=w8o-qC8E5ic
- logjammin 7y agoThis is really interesting, and what I'm about to say makes me feel more bleeding-heart than I feel I am most days, but there's something deeply melancholy about the fact that this collection of the best intelligence our species has to offer, working together to achieve something utterly unheard of - so unheard of that many other smart people think there's something criminal going on - is exerting its collective effort to - when you put it in plain English - hack a casino. We're hurtling at an accelerating rate to ecological ruin, with millions (hundreds of millions?) of deaths a plausible outcome in the next 100 years, not to mention a fall in the standard of living for basically everyone, and our best and brightest are doing the Manhattan Project of cash. As a stupid person, I can't do much other than shrug - hell, I can't even say I wouldn't do the same as these brain-genius PhDs if I had their capabilities. But it still kinda sucks, is all.
- eternalny1 7y agoRenaissance Explores Settlement as IRS Seeks Billions in Taxes https://www.bloomberg.com/news/articles/2019-04-10/renaissance-explores-settlement-as-irs-seeks-billions-in-taxes https://www.bloomberg.com/news/articles/2019-04-10/renaissan...
- sampo 7y agoRelated HN discussion from 9 months ago: https://news.ycombinator.com/item?id=19063977 https://news.ycombinator.com/item?id=19063977
- Tycho 7y agoWho audits their returns? They have not had any outside investors for over a decade. I had not seen an update on their yearly performance for quite some time, and was surprised to see an updated table published in this book. So I'm curious, where did these numbers come from, and did RenTec confirm them, and did an independent party confirm them?
- philshem 7y agoI’m not a bot but I am always posting relevant and recent (2017) New Yorker articles that are worth reading: https://www.newyorker.com/magazine/2017/12/18/jim-simons-the-numbers-king https://www.newyorker.com/magazine/2017/12/18/jim-simons-the... And this interesting theme: > Foundations are not taxed, so much of the money that supports them is money that otherwise would have gone to the government. Scientific mega-donors answer to no one but themselves. Private institutes tend to have boards chosen by their founders, and are designed to further the founders’ wishes, even beyond their deaths. Rob Reich, a professor of political science at Stanford University and an expert on philanthropy, told me, “Private foundations are a plutocratic exercise of power that’s unaccountable, nontransparent, donor-directed, and generously tax-subsidized. This seems like a very peculiar institutional and organizational form to champion in a democratic society.”
- gibybo 7y agoNote that RenTec also runs two other funds that are larger than the Medallion Fund, but both under perform the index. On a completely unrelated note, if I were interested in creating a fund that appeared to have market beating returns for decades and I wasn't concerned about the legal consequences, here's one way I might do it: I would create fund A and B and seed them with some initial capital. For fund A, I would create a machine learning model that took in lots of opaque parameters and hire a team of very smart mathematicians and computer scientists to optimize this model to perform profitable trades. In order to easily generate alpha, I would subtlety feed in some parameters that were correlated to the future market moving actions of fund B. Since I also run fund B, I uniquely have this information. I would use the performance of fund A to woo outside investors into investing their money into fund B. In order to prevent fund A from overtaking fund B in asset value and thus diminishing the value of the subtle signals, I would close the fund to the public when it got sufficiently large and periodically distribute its assets to its investors. In order to avoid any of my employees from eventually figuring out what's going on and reporting me, I'd incentivize them to avoid looking too closely by requiring that they invest a large part of their income into the fund with a long vesting date. I'd also require them to sign a long term non-compete so that they cannot work anywhere else in the financial industry if they leave.
- deleted 7y ago[deleted]
- dxhdr 7y agoAren't SEC whistleblower awards setup to combat the scenario you're proposing? The first individual to defect would presumably earn vastly more money than continuing with the scheme.
- patentatt 7y agoThing is, it could happen semi-inadvertently even, such that there’s nothing to blow the whistle on. Basically, the incentives are aligned to support the above scenario. If the thinking going into the public funds is geared toward how “big money” works, and the small, private fund is designed to exploit features of “big money” moving around the market, and you get some cross-pollination of those hypothesis about what “big money” should do, the scenario described above emerges naturally. No grand conspiracy in a smoke-filled room is necessary.
- XnoiVeX 7y agoSo much negativity in this thread. We fear or doubt what we do not understand I guess.
- xgulfie 7y agoYou must have some nice ruby-tinted glasses to be able to put a positive spin on "secretive hedge fund with black-box trading algorithm hires scientists to makes rich people lots of money"
- nodesocket 7y agoI think you've been drinking too much of the Warren coolaid. If you are American, vilifying wealth and building companies is quite a silly endeavour. This blame game mentality is counterproductive and will only restrict and impede your own financial success.
- throw_this_one 7y agoI mean what is the end effect of this though? Basically some smart people get very rich. Due to zero-sum game, other people lose. No benefit is derived in the real economy. The only possible benefit is increased liquidity... which really isn't that beneficial past a point right? I don't see the benefit. If you have a different angle I'd be glad to hear it.
- bhupy 7y ago> Due to zero-sum game Wealth is not zero-sum, it's created. Real GDP (i.e. adjusted for inflation) in the world has increased from ~$3.4T to ~$110T since the 1900s.
- throw_this_one 7y agoYeah, but what does that have to do with trading? When you create something that physically benefits people/the world, you usually extract your own value (profit) by providing even more value and selling it. When you trade like this, what net value are you providing? It seems like they are just extracting value. Also, if all the smart minds were doing advanced trading in 1900, would the GDP have risen as much? Instead people were creating aircraft, fighting disease, creating the internet, etc.
- txt 7y agoI use to service pools back in high school on the north shore of long island. And I remember doing Simons house, unbelievable property. The house keepers house was 5x bigger then mine..and the pool was massive, right on the edge of a cliff overlooking the long island sound. Sry if its offtopic but this read made me think of it!
- JohnJamesRambo 7y agoI like anecdotes like this, thank you.
- abj 7y agoWow that sounds like a big housekeeper's house. Do you remember anything else interesting about the house? Maybe this will be the detail we need to finally crack what's behind all that alpha. My bet it's some Frankenstein advanced brain machine interface device using the combined consciousness of 10,000 cryogenically preserved heads in a secret cliffside bunker. /s
- trpc 7y agoJim Simons and David E. Shaw are legends who should have some HBO series about them. Both were researchers who left academia to beat the scumbags of wall streets in their own game with no finance background and they made unbelievably so much money in a very short of time that they would have been jailed or killed if they weren't in the US.
- objektif 7y agoI have seen more scumbags in academia than i have in WS btw.
- deepnotderp 7y agoSomeone's going to say this eventually, so it may as well be me. Rentech is not the only hyper successful fund. There are others, like TGS management (https://www.google.com/amp/s/www.cnbc.com/amp/2014/05/09/mystery-13-billion-philanthropists-revealed.html https://www.google.com/amp/s/www.cnbc.com/amp/2014/05/09/mys...) that are just as successful and who you've never heard of. What rentech has done is to have built an excellent data processing engine that automatically extracts signal from noise. Other, much more secretive, funds have done this too.
- throw_this_one 7y agoVery cool. Do you have any info/resources on how the signal extraction works?
- deepnotderp 7y agoSignal processing, information geometry and information theory mostly. You can read the papers rentech authors publish before they leave
- objektif 7y agoDo you have any examples?
- nikofeyn 7y agowhenever i heard of stuff like this, i think of ligo, the gravitational wave detectors. from what i understand, their signals are just huge amounts of noise, other signals, and then finally the actual signals (gravitational waves) that thy are looking for. but it so happens the gravitational waves is a miniscule amplitude compared to the other signals and noise. so what they do is model all the possible types of noise that is happening in the world, and then they have many models of the type of physical situations that can generate gravitational waves (like a black hole - black hole collision). so they do fancy dsp and filtering and do matches against expected events. my naive assumption and pure guess would be that a lot of trading schemes looking for patterns do this thing to. they model what shows up as noise and other signals and also model what determines value, and then look for the signals that point to or away from value. https://www.gw-openscience.org/GW150914data/LOSC_Event_tutorial_GW150914.html https://www.gw-openscience.org/GW150914data/LOSC_Event_tutor...
- sbu_throwaway 7y agoHere's some inside baseball: I recently graduated from Stony Brook University where Jim Simons chaired the math department in the 1960s. He left to start Renaissance Technologies which is located 1 mile down the street from campus. Their influence is everywhere. We have a Simons Center for Geometry and Physics ($150m building). I take classes in Frey Hall (Robert Frey used be managing director at Rentec). Our med school is literally the "Renaissance School of Medicine." Our athletic facility is the Walter J. Hawrys Campus Recreation & Wellness Center (named after Jim's father in law). etc. etc. Children of Renaissance employees come to campus on weekends to train for USAMO and play chess. I met Jim a couple of times at alumni events and what stood out is how humble and normal and down to earth he seemed. He is also a chain smoker and was lighting up indoors(!) but of course no one can say a word to him lol. He's been making >$1 billion a year for like the past 20 years. To put it in perspective: an average code monkey like me making $250k at a FAANG would have to work for FOUR THOUSAND YEARS to make how much he makes in a year. It's unreal.
- gwern 7y agoDon't forget the yachts in the Stony Brook marina! I always smiled as I passed the giant 'Matrix Rose'. No need to ask where the money for that one came from.
- rosege 7y agoJust googled the yacht - its pretty small for someone of his wealth. Check out the late Paul Allen's yacht Octopus or MY Eclipse for what some billionaires go for.
- moscovium 7y agoLet's see Paul Allen's yacht... ...look at that tasteful off-white coloring, the thickness of it. Oh my god -- it even has a water mark.
- gwern 7y agoAllen's Octopus was for research as well, remember. Simons funds plenty of giant expensive research things - just not in yacht form. I wouldn't expect something worthy of Larry Ellison from him.
- sjg007 7y agoI dunno, I would take reliable weather reports a year out and try to predict crop prices. I am assuming demand will be linear. Maybe you can do this within the US, maybe not.
- superfish 7y agoIt blows my mind how much RenTech does with some ~300 employees. I recently had a phone screen with them (no offer otherwise I wouldn’t be writing this) and all of my communication was with this MIT math PhD. No HR, just the PhD. Compare them with a Big N that has 10,000s of SWE’s. It’s a safe assumption that each engineer is individually less talented but even so, how do they iterate/experiment with such few employees?
- tasuki 7y ago> how do they iterate/experiment with such few employees? Faster!
- solveit 7y agoUpon hearing this, the student achieved enlightenment.
- mindentropy 7y ago> I recently had a phone screen with them (no offer otherwise I wouldn’t be writing this) and all of my communication was with this MIT math PhD. What were you applying for? A software position? If yes I am curious as to what programming questions did he ask.
- jjmod 7y agoWhat kinds of questions were asked during the interview process? I don't think I'll ever have the chance to work there, but I'm extremely curious about the vetting process for a place with such a notorious hiring bar.
- account73466 7y agoPerformance of the 100bln fund is given at https://whalewisdom.com/filer/renaissance-technologies-llc https://whalewisdom.com/filer/renaissance-technologies-llc
- spyder 7y agoA related promising company in this field is Numerai: https://numer.ai https://numer.ai Building a meta model from predictions submitted by the community (based on encrypted training data provided by Numerai). More info in their video below. Also Howard Morgan the Co-Founder of Renaissance Technologies too is talking about them and a group of investors led by him invested $1.5m in the company: https://www.youtube.com/watch?v=dhJnt0N497c https://www.youtube.com/watch?v=dhJnt0N497c Their performance is not public, the only hint you can find about it is in their recent video about some backtests (which doesn't mean it's their real-world performance): https://youtu.be/zeGx7gVgK0o?t=172 https://youtu.be/zeGx7gVgK0o?t=172
- chillee 7y agoI'm very skeptical about numer.ai. I participated in their contests for quite some time (made a significant chunk of change), but I have huge doubts that any of our predictions are actually useful to them, for a multitude of reasons.
- analogkid 7y agoThe tone of many comments here is disappointing. I'm really surprised at the number of people suggesting illegal activity. Why is it so hard to accept that someone did the math?
- analogkid 7y agoI should add that Renaissance Technologies is hiring! https://www.rentec.com/Careers.action https://www.rentec.com/Careers.action My group is looking for very strong Java/Kotlin developers.
- throwawaymath 7y agoI know this is not likely, but you should consider setting up an anonymous email in your HN profile to at least receive questions about the company as an employee. Not to answer anything proprietary or to give anything away under NDA, but so that people can speak candidly with someone not in HR without having to rely on HN comments. Denise is great, but I wouldn't say she's the best source to answer harmless but very important questions prospective Java programmers might have that you can answer, for example :) Here's an example question for you: do you want candidates to also have tax and accounting experience, or is deep Java/Kotlin enough? Something to consider.
- analogkid 7y agoIt's a small world. Denise used to sit outside my office until I moved moved to a new location. ;-) She has forwarded requests that people may occasionally send directly to me in the past and I generally try to respond. I prefer all communication be done through proper channels to avoid any "issues" that might arise. I have a son who is a CS major in college now. I completely understand how challenging (and borked) the hiring/interviewing process is now as I speak with him about the frustrations he experiences. Which is why I try to be approachable when people have queries.
- lfowles 7y ago
- leto_ii 7y agoI have to say, the first time I read about Renaissance I felt sadness at the thought that this much ability and such resources were put into essentially making money out of thin air, with very limited (if any) social benefits. I can't escape the feeling that the world would be a better place if maths and physics phd's would get to live a good life doing maths and physics, rather than being lured into quant finance.
- kasey_junk 7y agoHow do you feel about them working on nuclear bombs & working for the NSA? Cause for many years that was the standard way to live tr good life.
- dredmorbius 7y agoThat is not the only possible alternative employment, though many would sugest it's both an accurate statement regards the past, and an undesirable alternative. False dichotomy, regardless.
- Barrin92 7y agoworking on nuclear or military technology is double-edged as it is serves both national security interests and advances technological knowledge. Rentech is an absolute technology black box that will both take its money and knowledge into its grave with virtually no productive outcome for society at large. The NSA and US nuclear science at least drives innovation.
- ipsa 7y agoThe US economy (to which RenTech contributes with profits made on foreign markets) is a national security interest. Working to be very rich and then donating a large chunk of money to promote science - and maths education, also advances technological knowledge. Those depricated CRUD apps I wrote a few years back served neither. We'd all like our opponent Poker players to play with their cards open, but if they did, they'd never win. Have to accept that you don't get to see the cards of winning players (which includes military technology until declassified). I find this "Financial trading does not do any good for society" to be rather simplistic, romantic, and envious. The carpenter who turns wood into a chair is said to be producing value, but the investor who turned uncertainty into a profitable hardwood trade is not.
- champagnepapi 7y agoHere is a link to the book recently written about Jim Simons and RenTech https://www.goodreads.com/book/show/43889703-the-man-who-solved-the-market https://www.goodreads.com/book/show/43889703-the-man-who-sol...
- deleted 7y ago[deleted]
- naringas 7y agoDo they produce/create anything? or do they simply trade finacial assets in a way such that they accumulate profit? and by "simply trade" I really mean "trade in an incredibly sophisticated and clever way"
- tcgv 7y agoIn an interview I watched on youtube Jim Simons says their trades provide liquidity and efficiency to financial markets, as to say they are effectively contributing to the economy, and not just earning money.
- ipsa 7y agoSo, assuming nothing against the law, how would they do it legitly? I am guessing: - Treat the markets as a complex dynamical system and use the tools from statistical physics such as the Gibbs Ensemble, to derive internal states from input and output. - Treat the markets as an encryption algorithm and use the tools from cryptanalysis, such as differential cryptanalysis: Even when unable to decipher the full algorithm (total break), one may still derive details and a subset of system functionality. - They were probably the first to heavily use Hidden Markov Models (see Baum–Welch algorithm and the IBM speech recognition recruitment) and keep on the frontline with new machine learning algorithms (their deep learning revolution would have started 10-15 years before industry). - They'd have an extremely solid backtesting pipeline, where any new feature can be stress-tested for signal. Features could be very arcane (% of mentions of the currency on neighboring state television) and are constantly (re-)added and removed: concept drift and market competition would gradually weaken signals, but fresh signals are added to keep the performance. - All features are fed into a single final model (which may be an ensemble of many different forecasting techniques as to lower the variance). This model is very dynamic year-by-year (with just a few long-term signal features). - Finally, I suspect there are strategies that only become available when you have 1 billion under control. In a physics sense: That is a lot of energy / control theory experimentation budget. Normally, hedge funds would like to avoid feedback loops and their trades moving the markets, but I suspect there is a lot of money to be made when you can calculate in which direction the market would move when the system is deprived of - or infused with a jolt of energy. More hands-off: Buy for 1 billion in stock at market open, sell at market close. Buy signal will take a few hours to converge and result in a higher price, so you make a profit when you sell your portfolio to the very buyer's market you created, causing a drop in price to complete the loop. - The extreme returns for 2007/2008 could be due to the increase in volatility of the crisis (you can make more money when there is a lot of action, and competitors suffer from human herd bias / hysteria), but also, in part, due to them being the first to effectively exploit signals in growing social media platforms and search engines. A few years later it was public knowledge that gauging frequency and sentiment on Twitter was once a valuable signal. - The NSA/CIA type recruits would not work on industrial spying, but on cryptanalysis, (graph) data mining, OSINT, HUMINT, IMINT, and for the security of the firm (which probably runs a tighter security than the intelligence agencies of smaller countries).
- atlgator 7y agoI wish I was good enough to work for them. It must be fascinating.
- graycat 7y agoSimons hired "the best" people? On who Simons hired: IIRC there is an interview with Simons where he explains that he hired good mathematicians, etc. who had published interesting work or some such. In particular, he required no MBA or business degrees, experience with accounting, reading corporate annual reports, SEC filings, or business. So, my guess would be that at least for the early years of Simons's work, such people would not be very welcome in the rest of Wall Street and usually not considered the "best" or even good at all. Point: That he hired "the best" has to do with what criteria one is using for goodness! By the way, in this thread there is mention of Thorpe! So, yes, his Beat the Market had in the back that some argument was from "measure theory". So, before my Ph.D., I was working carefully through Royden, Real Analysis! I was getting through the two exercises on upper and lower semi-continuity when I went to grad school. Right away I took the 700 level course in analysis (measure theory and functional analysis) and probability. The prof was a star student of E. Cinlar, long head of Operations Research and Financial Engineering at Princeton. Got to meet him once! So, that background should be of interest on Wall Street? After some good efforts, not as far as I could tell although then I didn't yet know of Simons. It is true that the year I got my Ph.D. near DC, the ORSA (Operations Research Society of America) conference was there and I submitted a resume. I was 110% busy taking care of my (later fatally) sick wife so didn't go but some friends said that on some bulletin board I had lots of requests from Wall Street! Gee! At one time I interviewed at Morgan Stanley and mentioned my paper on multi-variate, distribution-free anomaly detection. A computer systems management guy was a little interested. Another guy wanted me to give him an outline of the paper; I did and mentioned that I'd like to work on applied math of trading -- his reaction seemed to be that neither he nor Morgan Stanley nor anyone on Wall Street would be interested in any such thing! Later a Bertsekas student from MIT gave me the rumor that Simons also liked hiring Russian mathematical physicists! Point: It seems to me from a distance that Wall Street has been slow to hire people like Simons did. On what Simons did: There's an old comment that a good casserole is like a good marriage -- only the people who made it really know what is in it. My guess is that this remark applies also to Simons! In particular I doubt that we should regard him as a quant much like the rest of Wall Street. Bluntly, I suspect that there's no telling what the heck Simons did: E.g., there's no law that he had to have much contact with the Markowitz work, the Sharpe work, the CAPM (capital asset pricing model), econometrics, classic time series analysis, the Thorpe work, the Black-Scholes work, the Martingale convergence theorem, the Doob decomposition, controlled Markov processes, stochastic differential equations, the Brownian motion solution to the Dirichlet problem -- he could have been doing things totally different! Heck, quite generally it's beyond super tough to be on the outside trying to know what's going on inside: E.g., I got interested in cooking, once took my wife to André Soltner's Lutèce, but never got a clue about how he did it! E.g., I made some progress with violin but never figured out how Heifetz did it! E.g., I made some progress in physics but never figured out how Einstein did it! E.g., I made some progress in math but really have no idea how Simons did it. It's a Robert Frost one?? -- "We dance round and round and suppose while the secret sits in the middle and knows."?? My approach to making money is not to try to get hired on Wall Street, out on Long Island, or near the commodity pits in Chicago or Kansas City but just to do my startup. There I don't have to know all the ways people got rich in business -- it's enough for me to find just ONE way! I don't have to know how all the cooking, music, physics, or math of the past was done -- it's enough for me to do some math for the problem I'm trying to solve. I don't have to know every computer operating system, programming language, memory management or concurrency algorithm -- it's enough for me to know enough computing to get the code running for my startup. Since I'm able to be a sole, solo founder, I don't have to convince people on Wall Street or Silicon Valley that I might make them money -- I just need to convince myself and then actually DO it! And if I'm successful, my crucial core original applied math secret sauce should remain secret! Point: I don't believe I can figure out how Simons did it!
- viewbase 7y agoBack in late 2017, RenTec made an unusual move of raising capital to capitalize on "market opportunities arising from Trump’s presidential victory": https://www.bloombergquint.com/business/renaissance-s-medallion-made-stunning-shift-after-trump-election https://www.bloombergquint.com/business/renaissance-s-medall... By Occam's razor, it is more likely that Robert Mercer made use of his close ties with Trump administration to gain insider knowledge, than RenTec consistently having superior quantitative analysis than their competitors in an extremely competitive and saturated industry.
- gesman 7y agoAccess to superior information under the disguise of math and science.
- kweinber 7y agoYou can’t separate Renaissance from Bob Mercer...the guy who helped fund Brexit, helped create Cambridge Analytica, the major founder of Breitbart news, and who got Trump elected mostly to avoid paying taxes. He and his firm did more than anyone I know to make the world a more unstable place.