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.
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.