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RenTec was covered in much depth at the Acquired podcast. Basically algorithms from signal processing applied to huge volumes of historical and current data to

by jexp 2y ago

RenTec was covered in much depth at the Acquired podcast. Basically algorithms from signal processing applied to huge volumes of historical and current data to determine buy and sell signals. Originally developed for national defense. Very secretive all external partners were bought out. Only hundred or so people benefited in the billions per person. Including Robert Mercer of Trump campaign financing and Cambridge Analytica fame. Very interesting but also disheartening episode about smart people only caring about getting richer. https://www.acquired.fm/episodes/renaissance-technologies https://www.acquired.fm/episodes/renaissance-technologies

richrichie 2y ago
[flagged]
- shrubble 2y ago
  To educate a man in mind and not in morals is to educate a menace to society. -- Teddy Roosevelt (I'm speaking generally and not saying that Jim Simon was bad)
  - secondcoming 2y ago
    You don’t know what people do with their money so how can you claim they lack morals?
    - cess11 2y ago
      If they get the money in an immoral way, then we can disregard what they do with it afterwards.
- cess11 2y ago
  The social mechanic is basically that some people accumulate wealth extracted from the value produced by other people's labour. Is it ethical to use other people in that way? What kind of person can live a life like that?
yobbo 2y ago
The are various models from textbooks now that seem (or are presented as) too naive to be applied to financial markets, and too slow (eg gradient descent/expectation maximisation) on 1980s computers with "big data". And then, the academic perspective is that prices should be modelled as random walks, though you may talk/learn about things such as "trend" and volatility. Suggesting that hidden variables/states/transitions can be learned from historical data is usually considered pseudo-scientific. Meanwhile it so obviously worked for RenTec, with relatively miniscule computing capacity, for decades. Repeating the academic perspective just seems disgenuine. If prices are not random walks, then financial markets are actually games.
- Xcelerate 2y ago
  > And then, the academic perspective is that prices should be modelled as random walks, though you may talk/learn about things such as "trend" and volatility. The math involved in finance and economics always seems way behind that of other fields. The problem is that the other fields with more advanced math are so deep in theory that the people working in those areas are often either unaware of the potential real world applications of their work, or they are simply not interested in it (I’ve noticed there seems to be little overlap between the type of personality inclined to explore abstract theories as its own reward and the type of personality that prefers to apply existing knowledge to a real world problem). > Suggesting that hidden variables/states/transitions can be learned from historical data is usually considered pseudo-scientific. I mean, there’s a definitive answer to the question of stock market predictability. Unfortunately, it’s also uncomputable: if the conditional Kolmogorov complexity of a stock price time series given relevant auxiliary data is less than the size of the time series data (roughly speaking), then the stock price is predictable to some degree. Otherwise, it’s not. I would be extremely skeptical if anyone claimed that stock price is truly Kolmogorov-random. However, I also think no single trading group’s algorithms (and data) are sufficiently more advanced than any other group’s to the point where algorithmic arbitrage is obvious to the market (or maintainable over a sufficiently long time period). I would not be surprised though if a sudden ML breakthrough destabilizes the entire market at some point in the near future when one group does in fact realize a step function improvement in their algorithms.
menshiki 2y ago
One of my favorite episodes of Acquired. Truly inspiring.
belter 2y ago
I think its safe to say that whatever RenTec is doing, they are not predicting the market...Since they sold 1M shares of NVDA at $699.... https://hedgefollow.com/funds/Renaissance+Technologies/Performance-History https://hedgefollow.com/funds/Renaissance+Technologies/Perfo... https://hedgefollow.com/funds/Renaissance+Technologies https://hedgefollow.com/funds/Renaissance+Technologies When I see prestidigitator performance I can't explain, I just don't go directly to assume it's real magic... Here are 20 funds with a cumulative performance better than RenTec for the last three years...Did they also crack the market? https://hedgefollow.com/top-hedge-funds.php https://hedgefollow.com/top-hedge-funds.php
- llamaimperative 2y ago
  For three years? Is that a serious comparison? And yeah, it’s not remotely surprising they’ve made trades like selling NVDA at $700. Judging a fish by its ability to fly etc. RenTech doesn’t work by picking stocks based on industrial trends or anything — as far as we know that sort of stuff is literally not even an input.
  - belter 2y ago
    Good enough to prove they can't predict the market...
    - llamaimperative 2y ago
      “Predict the market” is an insufficiently defined phrase to argue over. Strictly speaking, of course they cannot “predict the market.” You’re describing a time machine or a crystal ball, and no, they don’t have either. What they can do, as demonstrated consistently since approximately their founding, is eek out tiny, repeatable edges on the market and exploit them at rather large scale in a variety of market conditions for dramatically longer periods than anyone else. That is in practice the most consistently-slightly-correct market prediction anyone has ever achieved.
      - belter 2y ago
TrackerFF 2y ago
Sometimes I think - what if all the smartest people that work on purely commercial things, had rather spent their time on solving problems in medicine, etc. Of course, some will argue that A) These people wouldn't have been equally motivated to work on such problem, compared to the ones that make them wealthy. B) Some of the investment folks are contributing to the actual sciences, by fronting them with money. But, still, I can't help but to think what a brain drain the finance industry is. You take some of the smartest and most motivated people out there, and make them spend all their energy on vacuuming pennies off the market, or identifying commercially successful companies.
- TheOtherHobbes 2y ago
  It's been an utter cultural disaster. We've missed out on so much original science and progress because these smart idiots threw away their talents on building machines to game the casino, when they could have made game-changing contributions to fundamental original research. Imagine if Shannon, Turing, Von Neumann, Einstein, and Dirac had done this. Yes, they put some money back, but not nearly enough to compensate for the damage. The real disaster has been normalising this kind of "success" as the best of all possible achievements, when in fact it's spectacularly cheap and unambitious compared to the goals of previous generations. If anyone thinks I'm overstating the heresy here, remember - a financialised economy is optimised for short-term gain, not long-term development. The flip side of "investment" is an economy where hundreds of millions are bankrupted by health insurance, where rents are unaffordable (never mind property), where workers are treated like spreadsheet assets and not like people, where fraud is endemic, where many people are putting off having kids because they literally can't afford them, where planes fall out of the sky, and where the entire machine regularly demands government bailouts because it's stuck in a manic depressive cycle of overconfidence and opportunism followed by collapse. That's not even looking at the incredibly toxic political effects.
  - logicchains 2y ago
    >We've missed out on so much original science and progress because these smart idiots threw away their talents on building machines to game the casino, when they could have made game-changing contributions to fundamental original research. The vast majority of people who succeed in finance are very ambitious; if finance wasn't an option they'd just have found some other way to make money, not suffer as a peon doing fundamental research for mediocre pay in a lab somewhere. Just be glad they didn't go into politics where their ambition could have done even more damage.
boppo1 2y ago
>disheartening episode about smart people only caring about getting richer. Didn't Simons donate prolifically to math education?
ASalazarMX 2y ago
> Basically algorithms from signal processing applied to huge volumes of historical and current data to determine buy and sell signals. Oh, so that's why the incessant Twitter crypto scam ads about "THE STRONGEST SIGNALS", it was an already established term that I didn't know about.

by jexp 2y ago

richrichie 2y ago

[flagged]

shrubble 2y ago
To educate a man in mind and not in morals is to educate a menace to society. -- Teddy Roosevelt (I'm speaking generally and not saying that Jim Simon was bad)
- secondcoming 2y ago
  You don’t know what people do with their money so how can you claim they lack morals?
  - cess11 2y ago
    If they get the money in an immoral way, then we can disregard what they do with it afterwards.
cess11 2y ago
The social mechanic is basically that some people accumulate wealth extracted from the value produced by other people's labour. Is it ethical to use other people in that way? What kind of person can live a life like that?

yobbo 2y ago

The are various models from textbooks now that seem (or are presented as) too naive to be applied to financial markets, and too slow (eg gradient descent/expectation maximisation) on 1980s computers with "big data". And then, the academic perspective is that prices should be modelled as random walks, though you may talk/learn about things such as "trend" and volatility. Suggesting that hidden variables/states/transitions can be learned from historical data is usually considered pseudo-scientific. Meanwhile it so obviously worked for RenTec, with relatively miniscule computing capacity, for decades. Repeating the academic perspective just seems disgenuine. If prices are not random walks, then financial markets are actually games.

Xcelerate 2y ago
> And then, the academic perspective is that prices should be modelled as random walks, though you may talk/learn about things such as "trend" and volatility. The math involved in finance and economics always seems way behind that of other fields. The problem is that the other fields with more advanced math are so deep in theory that the people working in those areas are often either unaware of the potential real world applications of their work, or they are simply not interested in it (I’ve noticed there seems to be little overlap between the type of personality inclined to explore abstract theories as its own reward and the type of personality that prefers to apply existing knowledge to a real world problem). > Suggesting that hidden variables/states/transitions can be learned from historical data is usually considered pseudo-scientific. I mean, there’s a definitive answer to the question of stock market predictability. Unfortunately, it’s also uncomputable: if the conditional Kolmogorov complexity of a stock price time series given relevant auxiliary data is less than the size of the time series data (roughly speaking), then the stock price is predictable to some degree. Otherwise, it’s not. I would be extremely skeptical if anyone claimed that stock price is truly Kolmogorov-random. However, I also think no single trading group’s algorithms (and data) are sufficiently more advanced than any other group’s to the point where algorithmic arbitrage is obvious to the market (or maintainable over a sufficiently long time period). I would not be surprised though if a sudden ML breakthrough destabilizes the entire market at some point in the near future when one group does in fact realize a step function improvement in their algorithms.

menshiki 2y ago

One of my favorite episodes of Acquired. Truly inspiring.

belter 2y ago

I think its safe to say that whatever RenTec is doing, they are not predicting the market...Since they sold 1M shares of NVDA at $699.... https://hedgefollow.com/funds/Renaissance+Technologies/Performance-History https://hedgefollow.com/funds/Renaissance+Technologies/Perfo... https://hedgefollow.com/funds/Renaissance+Technologies https://hedgefollow.com/funds/Renaissance+Technologies When I see prestidigitator performance I can't explain, I just don't go directly to assume it's real magic... Here are 20 funds with a cumulative performance better than RenTec for the last three years...Did they also crack the market? https://hedgefollow.com/top-hedge-funds.php https://hedgefollow.com/top-hedge-funds.php

llamaimperative 2y ago
For three years? Is that a serious comparison? And yeah, it’s not remotely surprising they’ve made trades like selling NVDA at $700. Judging a fish by its ability to fly etc. RenTech doesn’t work by picking stocks based on industrial trends or anything — as far as we know that sort of stuff is literally not even an input.
- belter 2y ago
  Good enough to prove they can't predict the market...
  - llamaimperative 2y ago
    “Predict the market” is an insufficiently defined phrase to argue over. Strictly speaking, of course they cannot “predict the market.” You’re describing a time machine or a crystal ball, and no, they don’t have either. What they can do, as demonstrated consistently since approximately their founding, is eek out tiny, repeatable edges on the market and exploit them at rather large scale in a variety of market conditions for dramatically longer periods than anyone else. That is in practice the most consistently-slightly-correct market prediction anyone has ever achieved.
    - belter 2y ago

TrackerFF 2y ago

Sometimes I think - what if all the smartest people that work on purely commercial things, had rather spent their time on solving problems in medicine, etc. Of course, some will argue that A) These people wouldn't have been equally motivated to work on such problem, compared to the ones that make them wealthy. B) Some of the investment folks are contributing to the actual sciences, by fronting them with money. But, still, I can't help but to think what a brain drain the finance industry is. You take some of the smartest and most motivated people out there, and make them spend all their energy on vacuuming pennies off the market, or identifying commercially successful companies.

TheOtherHobbes 2y ago
It's been an utter cultural disaster. We've missed out on so much original science and progress because these smart idiots threw away their talents on building machines to game the casino, when they could have made game-changing contributions to fundamental original research. Imagine if Shannon, Turing, Von Neumann, Einstein, and Dirac had done this. Yes, they put some money back, but not nearly enough to compensate for the damage. The real disaster has been normalising this kind of "success" as the best of all possible achievements, when in fact it's spectacularly cheap and unambitious compared to the goals of previous generations. If anyone thinks I'm overstating the heresy here, remember - a financialised economy is optimised for short-term gain, not long-term development. The flip side of "investment" is an economy where hundreds of millions are bankrupted by health insurance, where rents are unaffordable (never mind property), where workers are treated like spreadsheet assets and not like people, where fraud is endemic, where many people are putting off having kids because they literally can't afford them, where planes fall out of the sky, and where the entire machine regularly demands government bailouts because it's stuck in a manic depressive cycle of overconfidence and opportunism followed by collapse. That's not even looking at the incredibly toxic political effects.
- logicchains 2y ago
  >We've missed out on so much original science and progress because these smart idiots threw away their talents on building machines to game the casino, when they could have made game-changing contributions to fundamental original research. The vast majority of people who succeed in finance are very ambitious; if finance wasn't an option they'd just have found some other way to make money, not suffer as a peon doing fundamental research for mediocre pay in a lab somewhere. Just be glad they didn't go into politics where their ambition could have done even more damage.

boppo1 2y ago

>disheartening episode about smart people only caring about getting richer. Didn't Simons donate prolifically to math education?

ASalazarMX 2y ago

> Basically algorithms from signal processing applied to huge volumes of historical and current data to determine buy and sell signals. Oh, so that's why the incessant Twitter crypto scam ads about "THE STRONGEST SIGNALS", it was an already established term that I didn't know about.