Model Misfires Raise Questions Over Training Data

Quants wrestle with how far into the past their machine learning models should peer.

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Wisdom accumulated over many decades is highly prized in most cultures. Less so for machine learning in investing, it would seem.

Algorithms that use long histories of data to build their understanding of markets flopped during the Covid-19 pandemic. Such models failed “pretty spectacularly” in the extreme events of 2020, says Michael Heldmann, head of multi-factor equity investing for North America at Allianz Global Investors, citing research conducted by the firm.

“They have been hammered

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Waters Wrap: The tough climb for startups

Anthony speaks with two seasoned technologists to better understand why startups have such a tough time getting banks and asset managers to sign on the dotted line.

FCA declines to directly regulate market data prices

A year-long investigation by the UK regulator to determine whether competition is hindered in the wholesale data markets has concluded with its decision not to directly regulate much-maligned data pricing and licensing structures.

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