Just four factors collectively explain an outsized fraction of the SG CTA Index’s current risk, while elevated long equity and bond exposures may compromise the amount of diversification CTAs now offer.
Part 2 of Two Sigma's series on head-to-head development explores a range of challenges inherent in the approach and illustrates how automation can help mitigate them.
The authors introduce a novel context-dependent simplification technique that improves the scalability of string solvers on challenging constraints coming from real-world problems.
The authors present TRIÈST, a suite of one-pass streaming algorithms to compute unbiased, low-variance, high-quality approximations of the global and local number of triangles in a fully-dynamic graph represented as an adversarial stream of edge insertions and deletions.
While the effects of monetary policy shocks are not directly observable, an analysis of historical evidence can help quantify the potential impact of such shocks on asset prices.
Two Sigma’s development model consists of a unique blend of industry practices that combine to form a system that creates and implicit level of quality in all of the code we write. Here’s how we do it.
Investors seem to expect benign market conditions to continue, but they should remain aware of the historical tendency for rapid, positive shifts in volatility measures to occur.
Writing in the Wall Street Journal, Two Sigma co-founder David Siegel argues that embracing the scientific method in investment management brings much-needed rigor to the process, while helping to counteract common but harmful biases.
Apache Arrow-based interconnection between various big data tools (SQL, UDFs, machine learning, big data frameworks, etc.) enables you to use them together seamlessly and efficiently,
Currency risk is embedded within CDS prices; if a country defaults, the value of its currency is likely to drop, to the detriment of investors with CDS exposure to that currency. The recently widening gap between European sovereign CDS priced in EUR and those priced in USD may therefore herald rising distress for the European Union as a whole.