| July 22, 2016
Recently, RavenPack hosted its 4th Annual Research Symposium in New York titled “Reshaping Finance with Alternative Data”.
The feedback on the street is that it is a must attend event for quantitative investors and financial professionals that are serious about Big Data. Over 200 guests attended the event.
The event featured a keynote on Big Data and machine learning by Yin Luo, Managing Director, Global Head of Quantitative Strategy at Deutsche Bank. His session received a lot of interest during the Q&A session. Below is one of the key take-aways from Yin’s presentation, showing how RavenPack Factors add value as part of his weekly investment model.
Alternative Data being a key topic of the event, Armando Gonzalez our CEO made a brilliant description of how these unique sources can help reshape finance. In a panel, data vendors Estimize and Return Path on one hand, and data consumers WorldQuant and Deutsche Bank on the other hand, discussed how using alternative data sets for investing and trading differs from previous approaches utilizing traditional data.
Data scientist Graham Giller from J.P. Morgan gave a very interesting philosophical session about performing predictive analytics on data on a financial context.
In a rather thought-provoking session, CEO of Data Capital Management Michael Beal, detailed his vision for the future of investing in the data economy, and highlighted lessons from the industrial revolution that can apply to finance today.
Another crowd favorite was Ned Smith’s (Associate Professor at Kellogg School of Management) session: he drew upon the “wisdom of crowds” concept and showed how a firm’s position in the “ownership network” influences the way in which new information about the firm is incorporated into the price of its equity. The figure below shows how stock buyback announcements have greater impact on stocks with similar rather than dissimilar investors.
The panel on Artificial Intelligence brought together key actors (software provider Deltix, Barclays Head of Quantitative Prime Services, a quant hedge fund) to debate whether the latest surge of AI applications will fall short again or whether this time they will truly transform the financial services industry. Very insightful I must say...
Gordon Ritter from GSA Capital gave a detailed presentation on how to recast “insider sentiment news” as a factor in a multifactor model in the style of Ross’ APT and went on to study the associated Markowitz portfolios. See below the performance of Gordon’s strategy trading on RavenPack insider data only - producing a Sharpe ratio of about 1.4.
And as usual I enjoyed very much presenting on my team’s latest work on thematic alpha streams and on how more scalable strategies can be created by taking advantage of supply-chain information when trading on news.
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