Dealing with Overfitting When Crowdsourcing Financial Alpha
Dealing with Overfitting When Crowdsourcing Financial Alpha

Abstract: 

The financial services sector has traditionally been a very secretive environment. The barriers to entry are incredibly high, and people sign many NDAs and non-competes to join. Quantopian is attempting to change that by allowing anybody to research and design trading strategies. The flip side is that identifying which strategies are good is a very difficult problem. We'll walk through some research we've done and show some insights about whether traditional metrics of financial performance are useful when considering strategies.

Bio: 

Delaney’s background is in computer science, statistics, math, and computational genetics. As Director of Academia at Quantopian he oversees the firm’s worldwide educational and academic initiatives. While working with professors at schools including Princeton, MIT, Stanford, and Harvard, Delaney developed the free online Quantopian Lecture Series. The lecture series draws from academic rigor and industry realism and has since spawned a global workshop program teaching quantitative finance. Delaney currently focuses on maintaining the quality of the lectures as they grow, while also growing the audience of people who have learned from the lectures.

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