The authors survey and discuss methods proposed in the literature for estimating the Sharpe ratio; computing confidence intervals around a point estimation of the Sharpe ratio; and performing hypothesis testing on a single Sharpe ratio and on the difference between two Sharpe ratios.
We measure the Euclidean "distance" between today's markets and all other periods going back to 1990.
How much of a problem is school bullying in New York City? The answer depends on who (and how) you ask.
The VIX, a common proxy for financial uncertainty, does not adequately capture macroeconomic uncertainty—a separate entity with its own impacts on asset prices.
The Vera Institute of Justice and data scientists from Two Sigma Data Clinic explore why the jail populations of rural U.S. counties are disproportionately high.
In June 2015, the Environmental Defense Fund joined with the Two Sigma Data Clinic to use oil and gas well inspection data and to create a preliminary predictive model for violations.
Two Sigma researchers share highlights from NIPS 2017.
An analysis of the market impacts of NAFTA renegotiations suggests pronounced correlations with the USD/MXN exchange rate, as well as WTI crude prices.
Two Sigma security researcher Trammell Hudson presents his work on the new LinuxBoot firmware—now an official Linux Foundation project.