A group of Two Sigma statisticians highlight a selection of interesting talks and presentations from the 2017 Joint Statistical Meeting.
A Two Sigma engineer explains how the company implemented a high-availability networking architecture using OpenStack that's suitable for deployment at enterprise scale and beyond.
The Vera Institute of Justice (Vera) partnered with with Two Sigma’s Data Clinic, a volunteer-based program that leverages employees’ data science expertise, to uncover the factors contributing to continued jail growth in rural areas.
Two Sigma Co-founder and Co-chairman David Siegel offers his views on these topics and more at Bloomberg’s Sooner Than You Think conference.
Momentum has been a consistent component of CTAs since 2004, but its influence on CTA performance remains lower than it once was. This highlights the potential importance of measuring both manager-specific and overall portfolio exposures in risk terms.
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.