Machine learning, Deutsche auction and repo haircuts - Risk.net

Watchdogs ask EC to delay repo haircut floors. It should come as no surprise that credit card companies supplement their revenues by selling real-time access to consumer transaction data – albeit aggregated and anonymised – and even less of a surprise that enterprising hedge funds have found a way to monetise it. This week, Risk.net reported how scrutinising data from millions of credit card transactions allowed a quant team to infer whether a company's sales are on the up or trending lower – without the need to wait for quarterly sales reports to be published. The analysis was delivered through a machine learning implementation of the random forest technique in which multitudes of decision trees combine to produce predictions. In this case, the algorithm enabled the quant shop to get an early warning on the health of companies whose options it held.