Feb 16, 2018
Mark is joined by co-host Matt Amberson, Principal at Option
Research & Technology Services (ORATS).
CTO Interview: Our guest today is Michael Mescher, Founder of
- What is Gammon Capital?
- You've talked a lot about the dangers of selling volatility and
how short vol managers aren't worth their fees. What are your
thoughts on the maelstrom of the past week? How have your funds
fared over the past week?
- Machine learning is a hot buzzword these days, but what are
some of the practical applications that you're seeing in the
financial markets right now? Is it ready for prime time or still in
the nascent phase?
- Unsupervised learning/ fundamental strategies?
- Supervised learning / quantitative strategies?
- Classification vs. Regression problems
- Hiring machine learning specialists vs. Products
- 90% of the world's data was created in the past two years. Is
that an opportunity or a terrifying statistic?
- Testing models on out-of-sample data vs. carefully constructed
- Should managers be concerned that the robots are coming to take
their jobs and their clients?
The Inbox: Listener questions and comments
- Question from BLAL9 - What do you see as the outlook for AI and
machine learning in the financial management space going forward? I
see a lot of smoke but is there much fire? Are there many funds
currently using it to generate alpha right now?
- Question from Tonc - What are the best ways to invest in
blockchain right now?
- Question from Mark Kalis - How are comps getting the edge on us
in trading? Is it just pure correlation trading?
- Comment from tDok3 - No debate to be had there. It's a simple
& foregone conclusion. Higher fees ==> lower participation
perhaps goal for CB market manipulation
In response to tweet: Are exchanges shooting themselves in the foot
by continually hiking market data fees?
- Question from See16 - Can you please do a deep dive into smart
routers on a future program? They are the secret sauce of the
market these days, but no one really seems to understand how they
work. Shedding some light on the otherwise dark world of routing
would be a great service.