St. Patrick’s Day Boston QWAFAFEW Meeting: Tuesday, 17 Mar 2015
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St. Patrick’s Day Boston QWAFAFEW Meeting: Tuesday, 17 Mar 2015
“They use statistics as a drunk uses lamp posts – for support rather than illumination.”
Time: 6:15 PM sharpe
3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
RSVP to hugh@QWAFAFEW.org
The Rise of the Machines, I, II, & III – Machine Learning and Stock Selection
A QWAFAFEW discussion led by:
Yin Luo
Abstract
Since we published our first research of using machine learning techniques in global stock selection, our model has shown great live performance with Sharpe ratios over 4.0x. We are introducing the third generation of our machine learning based global stock selection model – the LASR model (Linearized AdaBoost Style Rotation). We compare a few popular machine learning algorithms (e.g., CART, random forest, ANN, and SVM) in global stock selection. We also release two variants of our LASR model: high capacity, low turnover, slow decay model – the LASR-HC (High Capacity); high frequency StatArb model – the LASR-HF (High Frequency).
Bio
Yin Luo is a Managing Director and Global Head of Quantitative Strategy at Deutsche Bank. Yin joined Deutsche Bank in New York in October 2009. Prior to Deutsche Bank, Yin spent over 12 years in investment banking and at a management consulting firm with various roles in quantitative research, fundamental research, portfolio management, investment banking and consulting. Yin was ranked #1 in the Institutional Investor’s II-All America equity research survey in quantitative research in 2011, 2012, and 2013. Yin and the global quant strategy team were also top ranked in the II and Greenwich surveys for the U.S., Europe, and Asia. Yin has a Bachelor of Economics degree from Renmin University of China, a MBA in Finance from University of Windsor, a Master of Management and Professional Accounting from University of Toronto. He is a CFA charterholder, a US CPA, a CGMA (Chartered Global Management Accountant), and a PStat (Professional Statistician).
Please RSVP hugh@QWAFAFEW.org
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Please RSVP for all meetings you plan to attend: hugh@QWAFAFEW.org
Guests who do not RSVP may have to wait to enter the meeting, due to space constraints (capacity=100, BFD).
Guest fees ($30) can be paid through EMA (check or PayPal, bring receipt) or bitcoin (at address above). We still allow walk-ins (space permitting). The $30 guest fee can be paid by bitcoin, cash or check at the door, no credit cards at the meeting.
As always, if you have names or discussion topics, please forward them to any member of the Steerage Committee
Questions, comments:
Steerage Committee
Max Arai
Hugh Crowther (Treasurer)
Dan diBartolomeo
Steve Gaudette
Mark Kritzman
John Minahan
Donna Cool Murphy (Dinners)
Larry Pohlman
Dan Potter
Dan Rie
Evan Schulman
Michael Wilcox
The members of the Steerage Committee are responsible for coordinating the program content.
Program suggestions from members are always welcome..
RSVP to: hugh@QWAFAFEW.org