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.
A Two Sigma engineer explains how how Ibis works with BigQuery to provide an elegant and flexible Python interface for composing SQL queries.
Two Sigma researchers highlight several papers from ICML 2018 that they found particularly novel, practical, or otherwise compelling.
The author walks through how to build a metrics system for a high performance data platform, taking a look at some of the important factors to consider when choosing what open source offerings to use.
Two Sigma researchers provide an overview of some of the most interesting lectures and sessions at JSM 2018, and highlight some of the most important challenges statisticians face going forward.
We constructed a Chinese trade sensitivity factor and examined how it responds to developments in the evolving US-China trade dispute.
Distributed transactions suffer from poor performance due to two major limiting factors. First, distributed transactions suffer from high latency because each of their accesses to remote data incurs a long network delay. Second, this high latency increases the likelihood of contention among distributed transactions, leading to high abort rates and low performance. The authors present Sundial, an in-memory distributed optimistic concurrency control protocol that addresses these two limitations.
An interview with Andy Pavlo, an assistant professor of databaseology in the Computer Science Department at CMU to discuss his current research and outlook on the future of database management.
MiSoSouP is a suite of algorithms for extracting high-quality approximations of the most interesting subgroups, according to different interestingness measures, from a random sample of a transactional dataset.
Two Sigma’s Labs team recently performed an in-depth survey of the extensive literature on the Sharpe ratio and published its findings in a new Technical Report.