When I was working in a investors bank I presented an idea about this. This is something that I've always wanted to explore. I'll try to make the time to participate in this one.
Jane Street Market Prediction ($100k Kaggle competition)
131–140 of 217 posts
Re: Jane Street Market Prediction ($100k Kaggle competition)
#132By a similar argument to https://danluu.com/sounds-easy/ , no one will beat Jane Street in a weekend. Jane Street's hiring standards exceeds FAANG's. This is a hiring/branding strategy. Good luck to them.
Jane Street's interview was one of the funnest I've ever done. I failed but the questions were great!
Re: Jane Street Market Prediction ($100k Kaggle competition)
#133Earlier quoted context omitted.
Knowing what/who Jane Street is massively changes perspective on this. They are definitely not a random shitty company that outsources their core business to some challenge. They are quite known if only for the fact they practically adopted OCaml, which is quite impressive considering their size. I highly recommend checking out some of their talks on youtube like this one: https://www.youtube.com/watch?v=gXdMFxGdako
who cares if they use ocaml or punch cards? i give zero shits about their tech. i care about getting paid properly, having my own office to work quietly and have work/life balance, and generally having no daily drama.
Their pay is top tier, $300-400k+ for new grads.
Re: Jane Street Market Prediction ($100k Kaggle competition)
#134buy low, sell high. money, please
Re: Jane Street Market Prediction ($100k Kaggle competition)
#135Just curious, how well-known is jane street outside of the OCaml world?
i grind php daily, and am aware of them
Re: Jane Street Market Prediction ($100k Kaggle competition)
#136Earlier quoted context omitted.
Knowing what/who Jane Street is massively changes perspective on this. They are definitely not a random shitty company that outsources their core business to some challenge. They are quite known if only for the fact they practically adopted OCaml, which is quite impressive considering their size. I highly recommend checking out some of their talks on youtube like this one: https://www.youtube.com/watch?v=gXdMFxGdako
Do they actually produce something valuable for society, or is it just the trading profit they are after?
People who work there will tell you that they provide liquidity, which is a valuable thing to have in markets. I've always been a bit skeptical of how much value they provide there though given that they don't hold on to anything for very long but I'm not particularly informed about it.
Mostly it seems like they scrape pennies off out of the market to enrich the people who work there (they have no outside investors afaik), so imo they are pretty neutral. Not a bad place to be, lots of companies are negative.
Re: Jane Street Market Prediction ($100k Kaggle competition)
#137Earlier quoted context omitted.
Knowing what/who Jane Street is massively changes perspective on this. They are definitely not a random shitty company that outsources their core business to some challenge. They are quite known if only for the fact they practically adopted OCaml, which is quite impressive considering their size. I highly recommend checking out some of their talks on youtube like this one: https://www.youtube.com/watch?v=gXdMFxGdako
Do they actually produce something valuable for society, or is it just the trading profit they are after?
How about being able to go buy stocks/ETFs paying nothing in commissions and razor thin spreads today? A few decades ago you'd pay O($10-100) per trade and then some in bid/ask
This is all largely thanks to HFT. Robinhood is only viable because big HFT firms are willing to pay dearly for the privilege to serve retail order flow
Re: Jane Street Market Prediction ($100k Kaggle competition)
#138Earlier quoted context omitted.
Mathematical analysis of financial markets is more celebrated when applied to relative valuation of different assets, rather than prediction of the market. Black-scholes, for example, applied calculus with an underlying no-arbitrage assumption to create a thriving market in option pricing, by giving traders a mechanism to reduce risk and thereby reduce bid offer spreads. Same in fixed income, mortgage, and credit mar…
I've wanted to start learning about this for a while but I'm really not sure where to start. I have a degree in CS and Math so I'm not a total layman wrt the maths. Do you have any suggestions?
This might be a good starting point.
https://www.wiley.com/en-us/Paul+Wilmott+Introduces+Quantita...
Re: Jane Street Market Prediction ($100k Kaggle competition)
#139If I build a model that actually works well, I'm using it to get rich, patent it, and sell it to the company for a lot more than $100k.
Maybe or maybe not. You may need to build up your trading infrastructure first, which entails among other things low-latency connectivity to different venues, negotiate good deals with brokers to get low trading fees etc. If it were that simple, all the quants would be working for themselves. Trading is not just about having good prediction. Also if you publish/share your algorithm, people will copy it and it will lo…
"Also if you publish/share your algorithm, people will copy it and it will lose its edge."
That's why I list patenting it after getting rich.
The quants don't work for themselves because they're number crunchers and need the financial knowledge that the trading/portfolio managers have. Either way, the main reasons they don't work for themselves is risk and access to capital.
Re: Jane Street Market Prediction ($100k Kaggle competition)
#140Earlier quoted context omitted.
Mathematical analysis of financial markets is more celebrated when applied to relative valuation of different assets, rather than prediction of the market. Black-scholes, for example, applied calculus with an underlying no-arbitrage assumption to create a thriving market in option pricing, by giving traders a mechanism to reduce risk and thereby reduce bid offer spreads. Same in fixed income, mortgage, and credit mar…
> relative valuation of different assets, rather than prediction of the market But isn't prediction an inherent part of valuation?
Relative price prediction is an inherent part of valuation. You predict what the price of, say, a bond is given the price of the discount rate over the life of that bond. You are not predicting the absolute price of the bond, you are not able to predict if rates are going to go up or down. That's the appeal of arbitrage, you don't need to see the future, you make money no matter what if you see that a particular asset is 'out of whack', mis-priced, cheap, expensive, and you buy/sell it (and execute the appropriate arbitrage hedging strategy until maturity of the trade).