Ben Wellington – Complex Feature Engineering at Two Sigma (S7E32)

Corey Hoffstein and Ben Wellington discuss the intricacies of feature generation in quantitative investment strategies. They explore the definition of features, their role in the quant process, and how Two Sigma's shared platform model supports feature ideation. The conversation delves into managing feature collinearity, the impact of forecast horizon, and the life cycle of features in relation to market efficiency. They highlight the creative thinking necessary in quant research teams and the use of AI tools for rapid prototyping. The episode also covers the risks of AI, trade-offs in infrastructure, and the importance of addressing p-hacking. Ben shares insights into future skills for feature engineers and his personal interests in public data.