Jun

28

If you missed Newton Linchen's Zoom talk on AI this morning, here is a link to the recording, passcode: &6yLyn*F.

He included a demo, explained the different types of machine learning, suggested books, and related the colorful story of how a powerful reinforcement learning algo of the sort used for self-driving cars and rocket landings took five days to run and nearly melted his computer. (That's not an algo he uses in his trading for clients.)

If you wish to download the recording you can, but be aware that you will be downloading an untrimmed version as Zoom preserves the original. The talk starts at around 30:15.

Laurence Glazier comments:

This is brilliant. It is so nice that nowadays mathematicians have an alternative to aerospace pursuits. I would like to see AI applied to classical music, so I could have an engine at my side as I tried to figure out the complexities of a piece, much as a grandmaster may be assisted by an AI chess engine like AlphaZero. I am also looking at altering the design of the theramin to interpret conductor gestures, and ultimately AI may have a role here too.

Paolo Pezzutti writes:

Excellent presentation. As you highlighted it is all about features. Models are open source therefore you can only work to tune parameters. The choice of features is fundamental. Either as a continuous series or conditional (1 vs 0). It is is also important how you select training data taking into account the current regime. An interesting approach to study in addition to price relationships is introducing alt data such as payrolls or yields spreads, or intermarket relationships. I guess that brilliant minds with powerful computers are continuosly processing huge amounts of data pursuing an edge that is a moving target due to everchanging cycles.

Jordan Low asks:

Thank you for your talk. One of the problems I had with classifying up or down days is that the ML model tends to find "buy-the-dip" opportunities to pick pennies, but might get wiped out on a larger volatility event such as a pandemic. Is this a problem you face as well, and what are the strategies to mitigate this?


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