Crowd-Sourced Alpha, Long-Short Strategies, and the new Pipeline API

SPEAKER BIO

Jess Stauth

Jess Stauth is Quantopian’s VP of Quant Strategy. Jess holds a PhD from UC Berkeley in Biophysics and has worked as an equity quant analyst at the StarMine Corporation and as a Director of Quant Product Strategy for Thomson Reuters prior to joining Quantopian in August of 2013.

Delaney Granizo-Mackenzie

Delaney Granizo-Mackenzie is an engineer at Quantopian who focuses on how Quantopian can be used as a teaching tool. After studying computer science at Princeton, Delaney joined Quantopian in 2014. Since then he has led successful course integrations at MIT Sloan and Stanford, and is working with over 20 courses for this fall. Delaney is using his experience and feedback from professors to build a quantitative finance curriculum focusing on best statistical practices to be offered for free.

MEETUP SUMMARY

The event featured presentations by Jess Stauth on building algorithms in search for the holy grail of investing. It also featured a presentation by Delaney Granizo-Mackenzie on building a long-short equity strategy and the pipeline API.

It has been said that diversification is the only free lunch. Yet, achieving consistent diversification across many distinct quantitative investment strategies each with limited life-spans can quickly become a very expensive research problem. In his talk, Jess presented the tools and techniques Quantopian is developing to select and invest in algorithms sourced from a crowd of over 50,000 quants, hackers, data scientists and finance geeks to get desired investing results.

The session then moved to a review of how to build a long-short equity strategy and how to use the new Pipeline API when building these types of algorithms. With the addition of the pipeline, the audience was shown how they can now dynamically select portfolios from the entire universe of 8000+ securities. This enables factor modeling, custom screening, and more statistically robust strategies.

Watch the video for the detailed presentation.