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Investment Strategy Development Tournaments?

October 16, 2019 • Posted in Big Ideas, Investing Expertise

Is there a way that asset managers can share knowledge/data across proprietary boundaries with many researchers to advance development of investment strategies? In their September 2019 paper entitled “Crowdsourced Investment Research through Tournaments”, Marcos Lopez de Prado and Frank Fabozzi describe highly structured tournaments as a crowdsourcing paradigm for investment research. In each such tournament, the organizer poses one investment challenge as a forecasting problem and provides abstracted and obfuscated data. Contestants pay an entry fee, develop models and provide forecasts, retaining model ownership by running calculations on their own hardware/software. Based on this hypothetical tournament setup and their experience, they conclude that:

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