We have Gene Ekster talking about his expanded research into working with small data.
About the Talk:
The rapid uptake of alternative data research by both fundamental and quantitative institutional investors is shifting the investment landscape and creating innovative sources of alpha generation. The field is still in the early phases of development, yet depending on the resources and risk tolerance of a fund, multiple approaches abound to participate in this new paradigm.
A key technical challenge of the alternative data field is the “small sample problem of big data.” Quite often, “quantamental” research is creating models aiming to predict GAAP operational metrics such as revenues. Unfortunately, most companies only announce those numbers once every 3 months. Thus, even if a potentially exciting dataset has only a few years’ worth of back data, then a company specific model will have just 8-12 data points to work with. This greatly diminishes an analysts’ ability to create a sensible model out of unstructured data.
We will discuss some of the solutions to this problem though informed interpolation with R and Quandl (a novel approach) as well as a general discussion of the application of data science techniques in alternative data research within the financial context.
To learn more about alternative data, see a recent white paper published by the speaker: http://www.integrity-research.com/driving-investment-performance-with-alternative-data/
Gene Ekster works with asset management firms and data providers in a consulting capacity to help integrate alternative data into the investment process. He was previously head of R&D at Point72 Asset Management (formerly SAC Capital), a Director of Data Product at 1010Data and a Senior Analyst at Majestic Research (now ITG Investment Research). Gene serves as an advisor at Eagle Alpha. He can be reached via LinkedIn (https://www.linkedin.com/in/geneekster) and can help organizations evaluate data assets’ application to the investment industry and facilitate potential introductions to funds. In his spare time, he tinkers with using brain signals to create art (http://www.cognichrome.com/).
Pizza starts at 6:30, the talk at 7 then the bar after.