Graham Giller - Office of Chief Data Science Officer - J.P. Morgan
| June 16, 2016
A review of key issues in performing predictive analytics on data in a financial context.
Predictive analytics is defined in terms of extracting information about future conditional distributions of data, and the importance of a leverageable information advantage is discussed including the measurement of value with respect to benchmarks and the importance of properly modelling causality.
Differences between financial market contexts and retail contexts in terms of the nature of the analysis and the nature of the data is examined. It includes non-normality, heteroskedasticity, the large degree of correlation found within the data and the existence of power-laws and genuine outliers.
Graham ends by reviewing the actual differences in what we can and should do with data and which are the consequences of commodity storage and commodity computation in the big data era.
Presentation held at the RavenPack 4th Annual Research Symposium, New York, June 16th 2016.
Please use your business email. If you don't have one, please email us at email@example.com.
We will process your personal data with the purpose of managing your personal account on
RavenPack and offering our services. You can exercise your rights of access, rectification,
erasure, restriction of processing, data portability and objection by emailing us at firstname.lastname@example.org. For more information, you can
Your request has been recorded and a team member will be in touch soon.
RavenPack is introducing a multidimensional approach to news analytics that captures the evolving complexity of news, enabling traders to build more dynamic and transparent strategies.
New research using RavenPack Job Analytics to quantify tech adoption in hiring posts proves that companies hiring for novel tech skills outperform peers from an investment perspective.
Our multi-asset allocation strategy based on inflation nowcasts and RavenPack sentiment analytics outperforms the S&P 500 and stabilizes volatility. With real Sharpe ratios of up to 1.25 and a risk control approach, it delivers a compelling inflation hedge for investors.