TTU99: The Good and Bad of Machine Learning ft. Robert Sinnott of AlphaSimplex – 1of2
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 670 Ratings
🗓️ 14 April 2018
⏱️ 35 minutes
🧾️ Download transcript
Summary
From the very beginning, Robert Sinnott has studied the movement of the markets and how to anticipate their changes. Robert earned both an A.B. and an A.M. in Statistics from Harvard University, where he focused on statistical machine learning, capital markets, and time series analysis.
In our conversation, my co-host Katy Kaminski and I talk with Robert about how he has used these skills to redesign AlphaSimplex’s performance analytics infrastructure and develop smarter machine learning processes, and how Robert employs this data with such success.
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50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE
In This Episode, You’ll Learn:
- The history behind AlphaSimplex and how it began
- How Robert got involved with AlphaSimplex
- How the surrounding technology industry affects Robert’s work
- What lessons Robert has learned from his time at AlphaSimplex
- How Robert spends his time outside of his work
- How adaptive markets shape the way Robert works
- Why Robert utilizes machine learning and how it benefits AlphaSimplex
- The dangers of relying too much on machine learning
- What makes AlphaSimplex’s machine learning so easy to understand
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Resources & Links Mentioned in this Episode:
- Learn more about Joe Blitzstein’s “Introduction to Probability”
- Find out more about my co-host Katy Kaminski’s “Trend Following with Managed Futures: The Search for Crisis Alpha”
Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website.
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And you can get a free copy of my latest book “Ten Reasons to Add Trend Following to Your Portfolio” here.
Learn more about the Trend Barometer here.
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Transcript
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| 0:00.0 | The way we design our models is that we design them so that they can, those algorithms can, |
| 0:10.2 | shape those particular nuances between markets, but that they have a common structure |
| 0:17.0 | and have common constraints and common features across markets that we know in some |
| 0:22.3 | sense hold economic value or have some economic truth to them. |
| 0:28.6 | Imagine spending an hour with the world's greatest traders. Imagine learning from their |
| 0:33.6 | experiences, their successes, and their failures. Imagine no more. |
| 0:38.8 | Welcome to Top Traders Unplugged, the place where you can learn from the best hedge fund managers |
| 0:44.1 | in the world so you can take your manager, due diligence, or investment career to the next |
| 0:48.8 | level. |
| 0:49.6 | Before we begin today's conversation, remember to keep two things in mind. |
| 0:53.6 | All the discussion we'll have |
| 0:54.8 | about investment performance is about the past, and past performance does not guarantee or even infer |
| 1:00.3 | anything about future performance. Also understand that there's a significant risk of financial loss |
| 1:05.3 | with all investment strategies, and you need to request and understand the specific risks |
| 1:10.0 | from the investment manager about their product before you make investment decisions. |
| 1:14.5 | Here's your host, veteran hedge fund manager, Niels Kostrup Larson. |
| 1:22.7 | So Rob, thanks so much for coming on the podcast today. |
| 1:26.3 | Katie and I are very excited to have you here. |
| 1:28.9 | We really appreciate you taking time out to do this. Now, your firm has an interesting story. |
| 1:35.0 | There's an interesting sort of history behind in. I was hoping that maybe we could start off |
| 1:40.2 | there, but just you talking a little bit about the background of Alpha Simplex. |
| 1:46.7 | Sure. |
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