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>Citadel and Two Sigma both have had large teams working on this for years. They are making a lot of money doing it but barriers to entry are very high. You nee
by dsfyu404ed 7y ago
>Citadel and Two Sigma both have had large teams working on this for years. They are making a lot of money doing it but barriers to entry are very high. You need to collect all the data in a way such that you can reconstruct how it looked at any point in time. The vendors can’t be trusted to not make retroactive corrections, so you have to collect it for years before it becomes useful. Doing that takes a lot of time and money.
As someone who works in this space I assure you the barriers to entry are not that high. If I were to sort the various lists of accounts alphabetically you'd see names like Citadel and Two Sigma flanked by hoards of tiny funds you've never heard of. Many of these funds you've never heard of are 5-10man businesses or teams within larger funds. Making money is much more of an algorithms problem than a resources problem.
- throwawaymath 7y agoCan also confirm this - the research team I used to work on was just three people. We worked directly with some 30 or so funds, successfully, including Citadel and Two Sigma.
- bananaquant 7y agoThis is fascinating. Have you been working for a bigger company back then or was it an independent gig?
- blevin 7y agoDid you find the work to be intellectually satisfying and creative, or was it somewhat rote in the sense of having to spend lots of energy on data hygiene?
- throwawaymath 7y agoI found it to be very intellectually satisfying and creative! But there were parts to the job which were also very boring, including cleaning data. Cleaning data took up probably about as much time as all the fun analysis and exploration.
- j88439h84 7y agoWhat software is used in the cleaning and analysis?
- hos234 7y agoBy hand one Excel cell at a time :) It's why they get paid well.
- throwawaymath 7y agoI never used Excel, except to present reports. Data warehousing and analysis all took place with SQL and an RDBMS.
- hendzen 7y agono disagreement that there is a huge long tail of small successful quant groups out there. However, specifically in the realm of sourcing and processing novel raw unstructured datasets and creating signals that other firms don't have, as far as I know the big firms (some others in addition to the 2 I mentioned) dominate this area, as its too expensive and time consuming for smaller groups to do.