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Jane Street Market Prediction ($100k Kaggle competition)

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Re: Jane Street Market Prediction ($100k Kaggle competition)

#171

Post by logicchains »

npmisdown wrote: post #79

I'm sorry, if you could build a model to predict markets, why will you post in to Kaggle to get $40k in prize instead of applying this model to your own broker account?

I'd be surprised if the data Jane Street provides isn't some form of high-frequency tick data. It's relatively easy to make accurate short-term predictions with such data, the challenge is being fast enough that behemoths like Jump and Citadel don't get all the good trades before you, leaving you with just the bad predictions. This requires a huge investment in infrastructure and connectivity, beyond the reach of individuals who aren't already quite wealthy.

Re: Jane Street Market Prediction ($100k Kaggle competition)

#173

Post by xapata »

logicslave wrote: post #165
xapata wrote: post #162

Earlier quoted context omitted.

You're saying it'd require a salary of $500k or more to find someone competent enough to manage an investment opportunity worth $100k annually? That implies the investment opportunities are actually quite complicated. Obviously, opportunities exist for investment gains at all magnitudes. The question was whether they're easy enough for the average Jolanda. If Jolanda would require $500k annual salary to do the work,…

Honestly, you seem like youre trying to reason this out with zero experience in the field. You cant just "run statistics to identify strategies". I'm not going to go into it further because you know nothing

I'm not sure how you came to either of those assumptions. First, I'm an economist. Second, I didn't suggest any method for identifying strategies. The question is the number of potential strategies.

If it's relatively easy to make money investing on a small scale, that means there are many potential strategies that don't require someone's full attention. If there are many potential strategies that don't require full attention, then someone skilled can go after many of those potential strategies and transform the small-scale into a large-scale opportunity. Since we've already established that these large-scale opportunities are hard ...

Re: Jane Street Market Prediction ($100k Kaggle competition)

#174

Post by WA »

IAmGraydon wrote: post #121
x87678r wrote: post #88

Earlier quoted context omitted.

Pump in 2020, dump in 2021.

It always makes me laugh when I see people calling a rebound from a crash a “pump”. I usually hear it from people who were too scared to get in low or are short. Be careful of what you allow your cognitive biases to convince you of. It’s the fastest way to lose money.

You didn't look closely enough. Because "the market" has different sectors and some sectors are pumped up into the stratosphere and others are still down. They average down to "slightly above ATH" but the pump is real.

Re: Jane Street Market Prediction ($100k Kaggle competition)

#175

Post by ben_w »

galaxyLogic wrote: post #166
ben_w wrote: post #117

Earlier quoted context omitted.

This is basically why I’ve never seriously considered doing it myself. I had a neat idea in about 2005 which I tested on historical data, and it beat buy-and-forget on every share I tried except for Google, and it only had one free parameter. But, even if I’d implemented it perfectly, and even if the algorithm has survived the financial crash, it would’ve only worked if I could trade for free, and other people copyin…

Consider you have some extra money, what do you do with it? Do you put it (or keep it) in a bank-account? That is an investment choice you have. If you have more money than you need for living then you are already investing it in some way, maybe a bank-account. And you make this investment decision following some algorithm in your head. So if you algorithm was so great wouldn't it make sense to use it rather than put…

> So if you algorithm was so great wouldn't it make sense to use it rather than put money into a low-interest bank-account?

It wasn’t great outside of the spreadsheet.

I forget the exact numbers, but imagine: making 0.1% per transaction sounds amazing until you find out the transaction fee is 1%.

> Consider that if you have earnings you can put money into an IRA account and then trade with it almost for free.

This was the UK in 2005 — no IRAs [0], and I received 5% on my current account around then.

[0] Actually it’s worse than that — if you went into a UK bank in the early 2000s and said “IRA”, I’d expect the armed response unit to be called.

Re: Jane Street Market Prediction ($100k Kaggle competition)

#176

Post by mrleiter »

> Non-Exclusive: You hereby grant and will grant to Competition Sponsor and its designees a worldwide, non-exclusive, sub-licensable, transferable, fully paid-up, royalty-free, perpetual, irrevocable right to use, reproduce, distribute, create derivative works of, publicly perform, publicly display, digitally perform, make, have made, sell, offer for sale and import your winning Submission and the source code used to generate the Submission, in any media now known or developed in the future, for any purpose whatsoever, commercial or otherwise, without further approval by or payment to you.

This is from section A subsection 1 of the competition rules, just for your information. Competition sponsor is Jane Street obviously. If you manage to build a model that can generate returns that would be sufficient to them, you rather trade with it yourself, or use it as a proof-of-work for recruiting interviews.

Re: Jane Street Market Prediction ($100k Kaggle competition)

#177

Post by random_visitor »

mrleiter wrote: post #176

> Non-Exclusive: You hereby grant and will grant to Competition Sponsor and its designees a worldwide, non-exclusive, sub-licensable, transferable, fully paid-up, royalty-free, perpetual, irrevocable right to use, reproduce, distribute, create derivative works of, publicly perform, publicly display, digitally perform, make, have made, sell, offer for sale and import your winning Submission and the source code used to…

Isn't that pretty standard throughout the internets. Otherwise the sites will be storing your copyrighted material on their domain (IANAL but that sounds like legal troubles for the site):

This is from HackerNews' legal page:

> By uploading any User Content you hereby grant and will grant Y Combinator and its affiliated companies a nonexclusive, worldwide, royalty free, fully paid up, transferable, sublicensable, perpetual, irrevocable license to copy, display, upload, perform, distribute, store, modify and otherwise use your User Content for any Y Combinator-related purpose in any form, medium or technology now known or later developed.

Re: Jane Street Market Prediction ($100k Kaggle competition)

#178

Post by lowlevellimbo »

basicneo wrote: post #42

By 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 hiring standards exceeds FAANG's.

As someone who has interviewed thrice and passed once, I disagree. Jane Street is extremely good at marketing themselves; before I ever worked there I received over $500 worth of "swag" (including a free iPad) just for attending talks and hiring events. The official recruiting strategy is grassroots where recruiters have anonymous reddit/hn/blind accounts to praise the company semi-anonymously. So you have a bunch of accounts posing as real employees or students talking up the company and the prestige of working there.

They sell exclusivity and mystery, but they definitely pay top of market salaries. I don't personally believe the actual interviews are any harder than top FAANG companies but they did seem to recruit exclusively from FAANG and/or top engineering schools.

Re: Jane Street Market Prediction ($100k Kaggle competition)

#179

Post by lowlevellimbo »

yodsanklai wrote: post #122
basicneo wrote: post #42

By 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.

> no one will beat Jane Street in a weekend They have high hiring standard, but I suspect their 100s of smart engineers can't compete with the rest of the world.

Most of the engineers at Jane Street aren't touching anything similar to this challenge so you'd be right.

Re: Jane Street Market Prediction ($100k Kaggle competition)

#180

Post by lowlevellimbo »

yodsanklai wrote: post #34

Just curious, how well-known is jane street outside of the OCaml world?

Jane Street has spent a lot of resources into making sure they're well known as one of the "top employers". Their recruiters put a lot of effort into pseudo-anonymously promoting the company on websites like reddit and blind. It's pretty forward thinking actually as younger tech savvy candidates no longer pay attention to sites like glassdoor and seek information through these discussion forums. The natural evolution of fake glassdoor reviews is astroturfing I guess.

Firm performance is excellent but IMHO the only reason to work there as an engineer is for marginally more money.

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