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Roundtable: (Big) data, AI to create next generation of systematic investment strategies, but human market 'interference' still a challenge

 

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The Massachusetts Pension Retirement Investment Management (MassPRIM) has mandated Paris-based NewAlpha to identify newer managers and build a global emerging hedge fund managers program. Also apart from this mandate, NewAlpha sees a growing demand for differentiated and creative investment managers, more for quantitative strategies than for traditional, discretionary strategies. At the same time, interest for risk premia strategies seems slowing down, particularly from large European allocators like insurance companies for two distinct reasons (page 6).

This Roundtable also discusses the advances in artificial intelligence, machine learning and alternative data. Machine learning is presented as an exoskeleton that is very powerful to supplement people with some experience in the market in their decision making. The deeper challenge is however that markets are driven by people, and as they're driven by people, there are very few laws of nature. Prices in the market do not correspond to some sort of systematic measurement in physics but rather to the aggregate view of individuals.

In this context, information and data on their own may not be fully interesting, but how the information is absorbed and understood by market participants is what matters. The human brain of people shifting attention from one area to another creates additional complexity which interferes with prediction models. Still, some believe that (big) data combined with AI will lead us to the next generation of systematic investment strategies (page 11).

The Opalesque 2018 France Roundtable, sponsored by Eurex, took place in Paris with:

  1. Vanessa Casano, Deputy Head Asset Management Regulation Division, Autorité des Marchés Financiers (AMF)
  2. Arnaud de Servigny, Founding Partner, Bramham Gardens
  3. Christophe Roehri, Deputy CEO, TOBAM
  4. Nicolas Gaussel, Founding Partner & CEO, Metori Capital Management
  5. Nicolas von Kageneck, Senior Vice President, Eurex/Deutsche Börse Group
  6. Philippe Paquet, Managing Partner, NewAlpha Asset Management.
  7. Thanh-Long Huynh, CEO, HTL Capital Management
The group also discussed:
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