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Millburn's Machine Learning, Now 100%, Continues to Perform: Statistical Learning Finds Order in the Noise

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Millburn's Machine Learning, Now 100%, Continues to Perform: Statistical Learning Finds Order in the Noise

Craig Gilbert

The Hedge Fund Journal, Feb/Mar 2019 Issue
Article republished with permission of THFJ

By Hamlin Lovell

As always, Millburn’s process aims to combine the firm’s substantial market knowledge — decades of experience systematically trading global futures and FX markets — with techniques to understand data. Today, though, the process is distinguished by the application of powerful machine learning technologies (sometimes referred to as statistical learning) — tools more commonly used for single corporate securities — to macro markets. And far from an overlay or sub-strategy, the approach is used holistically for signal generation in the form of both return and trade cost forecasting.

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