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Numerai, a hedge fund built by a community of anonymous data scientists

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Re: Numerai, a hedge fund built by a community of anonymous data scientists

#61

Post by lordnacho »

Quant fund insider here.

The data is pretty pure, in the sense of not telling you any metadata at all. It's literally just a bunch of numbers and 0/1 labels.

It's hard to implement a strategy without knowing what exactly you're looking at. I get the feeling this "pure dataset" is part of some framework that Numerai thinks will beat the market, given good predictors.

That's not necessarily the case. Say I assume the 0/1 means up/down over some period. Well, being able to guess 0/1 correctly would obviously help. Say I'm right 70% of the time, then I can equal weight my bets and it will be just swell. But say I'm right about 51% of the time. Then it's going to take quite a while longer for the law of large numbers to work in my favour. Remember your ML algo will only be able to give you good predictions if some of the 21 features are actually meaningful, and we have no reason to think they are actually meaningful.

Now, let's say I have some domain knowledge in finance. I want to predict over/underachievement relatively. I would be able to guess which shares go up relative to others, but not the market factor. That would require a different framework to the one I'm supposing is presented here. Is there flexibility for that?

The secrecy thing makes me wonder, too. If it's just a matter of not showing your work, why don't you just have a website where people submit their daily/weekly/monthly portfolios and you keep track of the tally?

Re: Numerai, a hedge fund built by a community of anonymous data scientists

#62

Post by dharma1 »

I've been looking at this a few times. Its like a giant ensemble. But I'm not sure ML will be able to beat chance on average on a data source like this.

And if someone discovers they are making money consistently on numerai, I think they would set up their own fund quite quickly.

I do like the encrypted system though, could be used for other ML competitions where you don't want to give your model away

Re: Numerai, a hedge fund built by a community of anonymous data scientists

#63

Post by _yvjs »

cryptokoala wrote: post #48

Numerai comes across as fraudulently abusing cryptographic buzzwords like homomorphic encryption https://medium.com/@Numerai/encrypted-data-for-efficient-mar...

Yes, they still haven't replied to a question about this.

https://www.reddit.com/r/Bitcoin/comments/4p5xgx/ai_hedge_fu...

Based off that article they don't seem to understand the homomorphic in homomorphic encryption.

The mix of technical BS and seemingly expert advisers is weird.

Re: Numerai, a hedge fund built by a community of anonymous data scientists

#64

Post by ianpurton »

When you’re standing at the beginning of a super exponential curve, that’s the time to buy insurance against any negative outcomes along that curve. So today, we’re allowing users to donate Bitcoin to the Machine Intelligence Research Institute (MIRI) as a hedge against things going horribly right.

If you're the kind of person that falls for this kind if thing, then you should know I'm also standing in front of a super exponential curve raised to the power of infinity and beyond. You can also send me bitcoin as a hedge if you wish.

Re: Numerai, a hedge fund built by a community of anonymous data scientists

#65

Post by osullivj »

Xcelerate wrote: post #36

> Numerai was seed funded by Howard L. Morgan the co-founder of Renaissance Technologies. Very interesting. This gives this idea some legitimacy in my opinion.

I see they've got Packard from Prediction Company as well. Bass, Thomas A., The Predictors, 1999, gives a good account of Packard & Doyne Farmer's work on market prediction.

Re: Numerai, a hedge fund built by a community of anonymous data scientists

#66

Post by HappyTypist »

dharma1 wrote: post #62

I've been looking at this a few times. Its like a giant ensemble. But I'm not sure ML will be able to beat chance on average on a data source like this. And if someone discovers they are making money consistently on numerai, I think they would set up their own fund quite quickly. I do like the encrypted system though, could be used for other ML competitions where you don't want to give your model away

I know why they're paying out Bitcoin and keeping everything anonymous. They are hoping quant hedge fund insiders submit their model to the site.

Re: Numerai, a hedge fund built by a community of anonymous data scientists

#67

Post by wallace_f »

darawk wrote: post #56
taneq wrote: post #39

Earlier quoted context omitted.

Examples of the word of 10,000 amateurs: * Anti-vaxxers * The healing power of crystals * Moon landing conspiracy nuts * Multi-level marketing

There are also 'experts' in these fields, so your point is moot.

OK, but how many physicists support the moon landing conspiracy? How many aerospace engineers support the moon landing conspiracy? What credentials do the experts of the moon landing conspiracy have that I should trust?

I think he has a valid point if you have bias in which experts you place trust. There are, in fact, a lot of experts -- and even academically tenured, credentialed, published experts -- that I agree, don't have much of anything worthwhile to say.

Re: Numerai, a hedge fund built by a community of anonymous data scientists

#68

Post by mikkom »

lordnacho wrote: post #61

Quant fund insider here. The data is pretty pure, in the sense of not telling you any metadata at all. It's literally just a bunch of numbers and 0/1 labels. It's hard to implement a strategy without knowing what exactly you're looking at. I get the feeling this "pure dataset" is part of some framework that Numerai thinks will beat the market, given good predictors. That's not necessarily the case. Say I assume the 0…

> I get the feeling this "pure dataset" is part of some framework that Numerai thinks will beat the market, given good predictors.

> That's not necessarily the case.

This is the part that I find most interesting. They have a hypothesis and they are testing it with real money.

They are even outsourcing computational power which I think is very interesting as running ml fund with thousands of algos would probably be quite hard to scale.

Re: Numerai, a hedge fund built by a community of anonymous data scientists

#69

Post by dzdt »

roel_v wrote: post #58
Ameo wrote: post #49

Earlier quoted context omitted.

This is absolutely true. Many, many strategies that are viable at small portfolio sizes fall off very quickly when millions, tens of millions of dollars start to be used for them. Although the world's financial markets are massive, the little inefficiencies that can be exploited for profit often aren't.

"This is absolutely true. Many, many strategies that are viable at small portfolio sizes fall off very quickly when millions, tens of millions of dollars start to be used for them." I've thought this for nearly a decade now, yet have never seen or thought of such a thing. Of course I'm just an idiot so the fact that I didn't think of any means nothing; but you'd think that in all that time looking for it, someone som…

Dude, in the context of an internet post "this is absolutely true" MEANS "I think so too."

Re: Numerai, a hedge fund built by a community of anonymous data scientists

#70

Post by oneloop »

agorabinary wrote: post #46
modeless wrote: post #37

So in exchange for giving a hedge fund a stock tip that earns 20% in a month, the guy gets $10k? That sounds like a ripoff to me! If you have the skills to do that repeatedly you can make a whole lot more than $10k doing the trades yourself.

Well if you have $50k capital then 20% gains = $10k is about fair. Luckily for numerai they have $1mil capital so the rewards are a bit higher...

You know they have $1m, or are you guessing? References please?
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