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.
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.
A group of Two Sigma statisticians highlight a selection of interesting talks and presentations from the 2017 Joint Statistical Meeting.
The ABRA suite of algorithms computes and maintains high-quality approximations of the betweenness centrality of all nodes or edges on static and fully dynamic graphs.
Comparing big graph centrality measures, approximation algorithm quality guarantees, and the trade-offs and scalability behaviors of distributed algorithms.
A Two Sigma quantitative engineer walks through a paper on the history of formulas for computing meta-statistics on any distribution.