THINK BREADTH, NOT DEPTH

Seong Lee

O P E ND A T AS C I E N C EC O N F E R E N C E_

BOSTON 2015

@opendatasci

THINK BREADTH, NOT DEPTHHOW NEW DATA GENERATES NEW ALPHA

OUR AGENDA• My Story With Quantitative Investing

• The Problem Of Small Fish Big Pond

• The Solution: Big Fish Small Pond

• How This Applies To Quantitative Finance

• How You Can Do This Too

• Conclusion

MY STORY• I work with algorithms, clients, and ideas

• My job is to combine all three into one finished product• Everyone has different ideas but wants the same thing

• Alpha but everyone uses the same data• Wall Street Analyst Estimates – PEAD

• Build something that beats the market?

THE PROBLEM• Too many people compete in the same arena

• Small fish in a big pond

• Finance: Wall Street

• Business: Samsung, Apple

THE SOLUTION• Where no one is, is the best place for you to succeed

• Wall Street: Don’t go to MS, go to the boutique firm next door

• Business: A smartphone for 3rd world toxin detection in water systems

• AKA new data sources

REAL LIFE EXAMPLE• EVERYONE uses wall street analyst earnings estimates

• Wall Street vs. Crowd (Estimize)

• Estimize crowd predictions are 67% more accurate

• Algorithm perform 2x better on Crowd vs. Wall Street

WALLSTREET

CROWDSOURCED

AVOIDING THE TWITTER LEAK• April 28, 2015 Twitter earnings were leaked

• 20% drop in market cap• $5 billion drop in market cap

• Accern (News Sentiment) analyzed +100,000 articles

• 1 day before leak, Accern shorted Twitter

• SunTrust downgraded Twitter -> Strong Negative sentiment

AVOIDING THE TWITTER LEAK

HOW YOU CAN DO THIS TOO• Kimono Labs

• API for scraping websites

• Quandl

• Thousands and thousands of datasets

• Social Media

• CO Everywhere, Ground Signal• Location based social media information

CONCLUSION• Think breadth and diversity

• Email: slee@quantopian.com