Podcast: Dario Villani on managing a hedge fund with machine learning

In this episode of Quantcast, Risk.net speaks with Dario Villani, co-founder and chief executive officer of Duality Group, a New York-based hedge fund, and co-winner of our inaugural Buy-side quant of the year award in 2016.

Duality uses machine learning-led algorithms to trade US stocks, exchange-traded funds and global futures.

Villani is a machine learning evangelist. He says it beats any traditional model for capturing the structure of complex systems, of which financial markets are an example, and believes Duality is one of the very few investment firms that uses it not just for data manipulation, trade execution or optimisation, but also for forecasting.

Villani discusses Duality’s use of machine learning, explains his against-the-tide views on interpretability and overfitting, and shares the lessons he learned from Jim Simons, co-founder of legendary quant hedge fund Renaissance Technologies.

Index

00:00 Introduction

02:03 Duality’s investment strategy and why it uses machine learning

06:50 Data proliferation

11:02 How Duality uses machine learning

15:33 Interpretability and overfitting

29:40 How to spot flawed ML strategies

36:46 Mean field games

42:00 Operational challenges and talent acquisition

52:05 Lessons from Jim Simons

54:22 Physics and finance

To hear the full interview, listen in the player above, or download. Future podcasts in our Quantcast series will be uploaded to Risk.net. You can also visit the main page here to access all tracks, or go to the iTunes store or Google Podcasts to listen and subscribe.