5 ms·
> Truth is, if someone identifies a groundbreaking technique for timeseries forecasting, then they'd be an idiot to tell anyone about it before making their fir
by chronic7490 3y ago
> Truth is, if someone identifies a groundbreaking technique for timeseries forecasting, then they'd be an idiot to tell anyone about it before making their first $Billion$ on the market.
This is correct.
I work in HFT and the industry has been successfully applying deep learning to market data for a while now. Everything from pcaps/ticks to candles.
Why publish your method when it generates $1B+/year in profit for a team of 50 quants/SWEs/traders?
- ckastner 3y agoAre you at liberty to say how high the frequency gets in connection with these models? I assume the latency is comparably much higher but also wouldn't be surprised if microseconds generally aren't a problem, eg because the patterns detected are on a much larger scale.
- ganzuul 3y ago> Why publish your method when it generates $1B+/year in profit for a team of 50 quants/SWEs/traders? Do you also believe that megacorporations as the custodians of superintelligence is bad?
- akrymski 3y agoRe candles - even longer term, hourly/daily? Are there actually strategies out there that deliver great sharpe over many years with just time series forecasting? Most hedge funds don't beat the index afaik