31 ms·
The best deep learning time series models are closed source inside hedge funds.
by greatpostman 2y ago
The best deep learning time series models are closed source inside hedge funds.
- 3abiton 2y agoI think hedge funds, at least the advanced once, definitely don't use time series modelling anymore. That's quit outdated nowadays.
- max_ 2y agoWhat do you suspect they are using?
- meowkit 2y agoThey pull data from all kinds of things now. For example, satellite imagery of trucking activity correlated to specific companies or industries. Its all signal processing at some level, but directly modeling the time series of price or other asset metrics doesn’t have the alpha it may have had decades ago.
- greatpostman 2y agoAlternative data is passed into time series models. They are features. You don’t know as much about this as you think
- myhf 2y agoemoji hand pointing up
- nextos 2y agoSome funds that tried to recruit me were really interested in classical generative models (ARMA, GARCH, HMMs with heavy-tailed emissions, etc.) extended with deep components to make them more flexible. Pyro and Kevin Murphy's ProbML vol II are a good starting point to learn more about these topics. The key is to understand that in some of these problems, data is relatively scarce, and it is really important to quantify uncertainty.
- lopatin 2y agoI know next to nothing about this. How do people make use of forecasts that don't provide an uncertainty? It seems like that's the most important part. Why hasn't bayseyan statistics taken over completely?
- nextos 2y agoBayesian inference is costly and adds a significant amount of complexity to your workflow. But yes, I agree, the way uncertainty is handled is often sloppy. Maximum likelihood estimates are very frequently atypical points in the posterior distribution. It is unsettling to hear people are using this and not computing the entire posterior.
- deleted 2y ago[deleted]
- rjurney 2y agoThere are many ways of approaching quantitative trading and many people do employ time series analysis, especially for high frequency trading.
- fermisea 2y agoMost of the hard work is actually feature construction rather than monolithic models. And afaik gradient boosting still rules the world
- deleted 2y ago[deleted]
- energy123 2y agoThere is no such thing as a generally best model due to the no free lunch theorem. What works in hedge funds will be bad in other areas that need less or different inductive biases due to having more or less data and different data.