Podcast: Dario Villani on managing a hedge fund with machine learning
Duality’s CEO discusses key to machine learning success, and the influence of Renaissance’s Jim Simons
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
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