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  • Data Science

Responsive and Scalable Real-time Data Analytics

Designing a system that can extract immediate insights from large amounts of data in real-time requires a special way of thinking. This talk presents a “reactive” approach to designing real-time, responsive, and scalable data applications that can continuously compute analytics on-the-fly. It also highlights a case study as an example of reactive design in action.

  • Markets & Economy

The Commodity Futures Roll Return ‘Tax’: Addressing a Recent Headwind

The cost of rolling futures contracts, rather than the decline in commodity prices, has been the largest drag on commodity index performance over the past 10 years. Although difficult to implement, asset allocators’ best response may be to develop dynamic execution strategies to mitigate the roll return “tax.”

  • Technology

Archival Storage at Two Sigma

The author presents CelFS, Two Sigma’s geo-distributed file system. Although CelFS has scaled to serve tens of petabytes of data, it uses physical partitioning to provide quality of service guarantees, it has a high replication overhead, and cannot take advantage of outsourced cold storage The talk further describes our response to these limitations in Jaks, a new storage system to reduce the TCO of CelFS and serve as the backend for other systems at Two Sigma.

  • Data Science

JSM 2017 Experiences

A group of Two Sigma statisticians highlight a selection of interesting talks and presentations from the 2017 Joint Statistical Meeting.

  • Markets & Economy

CTA and Macro Momentum Exposure

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.