We love to solve hard problems. Sharing ideas is integral to how we do it.
Speaking on a panel at the 2019 World Economic Forum, Two Sigma co-founder David Siegel discusses key challenges and opportunities as computers assume greater decision-making power globally.
A Two Sigma engineer shares key lessons learned while building a high-performance metrics system based on customized open source building blocks.
Modern large-scale ML applications require stochastic optimization algorithms to be implemented on distributed computational architectures. A key bottleneck is the communication overhead for exchanging information such as stochastic gradients among different workers. In this paper, to reduce the communication cost, we propose a convex optimization formulation to minimize the coding length of stochastic gradients.
The authors suggest a general oracle-based framework that captures different parallel stochastic optimization settings described by a dependency graph, and derive generic lower bounds in terms of this graph, as well as lower bounds for several specific parallel optimization settings. They highlight gaps between lower and upper bounds on the oracle complexity, and cases where the “natural” algorithms are not known to be optimal.
Sparse Principal Component Analysis (SPCA) and Sparse Linear Regression (SLR) have a wide range of applications and have attracted attention as canonical examples of statistical problems in high dimension. A variety of algorithms have been proposed for both SPCA and SLR, but an explicit connection between the two had not been made. This paper shows how to efficiently transform a black-box solver for SLR into an algorithm for SPCA.
Bolted is a new architecture for a bare metal cloud with the goal of providing security-sensitive customers of a cloud the same level of security and control that they can obtain in their own private data centers.
This Street View proposes a method for teasing election-related risk out of options prices and tests it against FiveThirtyEight’s 2018 election forecasts based on polls and fundamental data.
An overview of Flint, an open source library Two Sigma developed to enhance Spark’s functionality for time series analysis.
The MiSoSouP algorithm provides a novel way to identify interesting subgroups in a dataset accurately and efficiently.
An overview of the Two Sigma Factor Lens, designed for analyzing multi-asset portfolios and derived from returns of broad, liquid asset class proxy indexes.