Comment by alexpotato
11 hours ago
There is a great line in the Man Who Solved The Market [0] about RenTech:
Paraphrasing:
"They went out of their way to try and fill in gaps in the historical market data. Over time, they got so good at predicting prices movements that they built algorithms to fill in the gaps."
Highly recommend the book if you are interested in the history of algorithmic trading.
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Just read that part recently, highly recommend the book too!
Loved that book! Makes me wonder .. with how good AI is getting at solving novel math problems .. could you essentially bruteforce ur way towards some of RenTech’s techniques? Like .. have AI go through research papers (and related work) published by RenTech staff, figure out how their respective fields of expertise could be applied to trading, and run experiments/backtests to see what sticks? or is the hard part less the math and more the data and execution?
I have done a lot of research on RenTech. AFAIK, their early stuff isn't that much of a secret. Lots of Markov modeling and NLP-related stuff... but ultimately I believe it just came down to being one of the few firms actually even attempting statistical modeling with market data. (You had Ed Thorp too!)
You can easily find the backgrounds of people that were hired/worked there. Also, some amount of leakage over the years, bits and pieces, little clues... Deriving an approximation of "this was their strategy" with any amount of precision would almost be impossible. There is probably only a handful of people in the world who could tell you if you're hot or cold.
Very interesting thought experiment though...
> the hard part less the math and more the data and execution?
Ironically, this _was_ the part they had some trouble getting right. Programming was not nearly as ubiquitous back then.