Journeys to data mining: experiences from 15 renowned researchers

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Elder Research has solved many challenging and previously unsolved technical problems in a wide variety of fields for Government, Commercial and Investment clients, including fraud prevention, insider threat discovery, image recognition, text mining, and oil and gas discovery.

About the Author

It is extremely challenging to extract lasting and actionable patterns from highly volatile and noisy market signals. In theory, timing the market is impossible — and in practice that is a good first approximation.

However, small but significant advances we made over the past two decades in three contributing areas, briefly described here, have combined to lead to breakthrough live market timing strategies with high Sharpe ratios and low market exposure. Because of the power of modern analytic techniques, it is often possible to find apparent but untrue predictive correlations in the market due to over-fit—where the complexity of a model overwhelms the data or, even more dangerously, from over-search—where so many possible relationships are examined that one is found to work by chance.

It measures, in days of average-sized returns, the expected excess return for a timing strategy compared to a benchmark similarly exposed to the market.

How to Build a Data Mining Model from Scratch (Part 2 of 3)

Together, they are much more useful than Sharpe alone. Even the most modern data science tools most often attempt to minimize squared error, due to its optimization convenience, when forecasting or classifying. If one gets the direction right, for instance, it is not bad to be wrong on magnitude, much less its square. What we need are optimization metrics that reflect our true interests, as well as an algorithm that can find the best values in a noisy, multi-modal, multi-dimensional space.

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Book: Journeys to Data Mining - Experiences from 15 Renowned Researchers

Early years of my career working with the markets were marked by continual failure, even after strong success in aerospace and a couple of other difficult fields. I became convinced of the need for a quality search algorithm in order to allow the design of custom score functions model metrics. I returned to graduate school and made this the focus of my PhD research.

By that criterion, it was for many years and may still be the world champion optimization algorithm. Note in Figure here how it represents a nonlinear 2-dimensional surface as a set of interconnected triangular planes. The winnowing is accomplished in a first stage through regularized model fitting, such as Lasso Regression, to filter out useless variables while allowing unexpected combinations to surface.

The investment system we use, as well as many of our models for other fields, employ an ensemble of separately-trained models to improve accuracy and robustness.

Journeys to Data Mining Experiences from 15 Renowned Researchers by Gaber & Mohamed Medhat

Even with these breakthrough technologies, most of the investment models we attempt do not work. The general problem is so hard that our attempts to find repeatable patterns that work out of sample fall apart at some stage of implementation — fortunately before client money is involved! Yet, we have had a couple of strong successes, including a system that worked for over a decade with hundreds of millions of dollars and for which every investor came out ahead.


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The Target Shuffling method not only convinced the main investor at the beginning that it was significant a real pocket of inefficiency but it provided an early warning when its edge was disappearing and when it was time to shut it down. Williams togaware. Contribution: Introducing concept of ensembles of decision trees.

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Supervisor: Professor Robin Stanton. Senior Director and Data Scientist, Australian Taxation Office, deploying over analytics models into production using open source software.


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Applying research in machine learning and spatial analysis, and forming the first data mining research team in Australia by — Advanced Technologies Consultant, HiSoft Expert Systems, Melbourne, Australia, implementing an expert system for Esanda Finance to assess loan applications and used for over 10 years — Australia Day Medallion, for significant contribution to the broader community through the development of open source software for data mining, This consisted of an international collaboration of connected super computers performing distributed data mining calculations.

Springer, Member of the Australian GovHack judging panel for Commonwealth Bank of Australia: Home equity facility Insurance Australia Group: Analysis of motor vehicle claims data Used extensively world wide for teaching data mining. Demonstrated use of ID3 to build an ensemble of classifiers rather than just a single classifier.

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