Upload
odsc
View
112
Download
2
Tags:
Embed Size (px)
Citation preview
THINK BREADTH, NOT DEPTH
Seong Lee
O P E ND A T AS C I E N C EC O N F E R E N C E_
BOSTON 2015
@opendatasci
OUR AGENDA• My Story With Quantitative Investing
• The Problem Of Small Fish Big Pond
• The Solution: Big Fish Small Pond
• How This Applies To Quantitative Finance
• How You Can Do This Too
• Conclusion
MY STORY• I work with algorithms, clients, and ideas
• My job is to combine all three into one finished product• Everyone has different ideas but wants the same thing
• Alpha but everyone uses the same data• Wall Street Analyst Estimates – PEAD
• Build something that beats the market?
THE PROBLEM• Too many people compete in the same arena
• Small fish in a big pond
• Finance: Wall Street
• Business: Samsung, Apple
THE SOLUTION• Where no one is, is the best place for you to succeed
• Wall Street: Don’t go to MS, go to the boutique firm next door
• Business: A smartphone for 3rd world toxin detection in water systems
• AKA new data sources
REAL LIFE EXAMPLE• EVERYONE uses wall street analyst earnings estimates
• Wall Street vs. Crowd (Estimize)
• Estimize crowd predictions are 67% more accurate
• Algorithm perform 2x better on Crowd vs. Wall Street
AVOIDING THE TWITTER LEAK• April 28, 2015 Twitter earnings were leaked
• 20% drop in market cap• $5 billion drop in market cap
• Accern (News Sentiment) analyzed +100,000 articles
• 1 day before leak, Accern shorted Twitter
• SunTrust downgraded Twitter -> Strong Negative sentiment
HOW YOU CAN DO THIS TOO• Kimono Labs
• API for scraping websites
• Quandl
• Thousands and thousands of datasets
• Social Media
• CO Everywhere, Ground Signal• Location based social media information