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"Herding Robotic Cats"

12.25 - 13.05 Jonathan Larkin (Quantopian)
Title: Herding Robotic Cats: Constructing a Single Portfolio from Hundreds of Thousands of Autonomous Strategies

Has anyone seen this presentation anywhere else yet? I'm curious how it all works.


4 responses

Looks like it might have been presented at Quantcon Singapore...? I'm wondering how the author/alpha attribution would work (backwards through the presumptive portfolio optimization).

Yeah, I'd be interested, too. The title implies that Q may still be thinking about the crowd-sourcing problem (where the crowd consists of N individuals, and N is large), versus licensing algos from a relatively small set of authors, in a high-touch fashion.

Yes I think Q could get much better portfolio diversification by using the work of larger part of the community.

Furthermore, there would be the possibility of weighting algorithms based on prevailing market conditions. After all most algo's really only have alpha in specific market scenarios.

Hi all,

Thank you for your interest in my talk. I'll be presenting this at QuantCon in NYC on April 29th as well. The abstract is:

Many multi-strategy and multi-manager investment managers are faced with a common problem: how to implement a single portfolio subject to a single investment mandate when the underlying strategies are autonomous, private, and independent. This talk demonstrates a framework to solve this problem.

This talk addresses licensing and operating strategies from individual creators, as is the Quantopian practice. The "...thousands" represents an aspiration to have a large strategy count across authors and tradeable markets. Note that this is work "from the lab." We draw inspiration from it in implementing the investment process at Quantopian, but it doesn't mirror precisely the actual practice.


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