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Jane Street Market Prediction ($100k Kaggle competition)

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

#201

Post by IAmGraydon »

WA wrote: post #174
IAmGraydon wrote: post #121

Earlier quoted context omitted.

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.

I don't disagree with that at all. Tech, EVs, etc are all pumped. What you said seemed to be more of a generalization that the market as a whole is pumped. That, I disagree with. Money will rotate out of the overpriced sectors and back into the underpriced sectors as Covid is (hopefully) eradicated.

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

#202

Post by theptip »

renewiltord wrote: post #57
theptip wrote: post #53

Earlier quoted context omitted.

The correct metric is not what the employee’s salary is, but the opportunity cost of their time. If all your engineers are working on urgent stuff, and each engineer adds in $1-2m of revenue a year, then the cost to your business of taking them off feature work to do recruiting is not $150/hr.

Yes, of course. Reasoning for not using that is as follows: if conservative estimates yield a yes, you don't need to assume more. I know salary (2 years out of date). I don't know oppo cost.

Good point, fair.

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

#203

Post by jtms »

milesvp wrote: post #67
georgeecollins wrote: post #63

Earlier quoted context omitted.

This! >> The problem with predicting absolute levels, is that there is a game theoretic aspect which undermines any mathematical trading strategy as soon as it is public. I took finance in Business school, coming from doing a lot of statistical analysis in a research lab. I hated my finance professors and there pseudo science. Pricing formulas work great until they don't. The problem is when they don't, they really d…

To add to this, unless your model is situated, and can purturb the market, it has no way of knowing what happens when you flex your muscle. I have a friend who did algorithmic trading professionally for a few years, and he said it was amazing to watch the data. Said he could see other bots come along and poke him, trying to look for weaknesses in his algorithm to exploit. I would expect a purely formulaic trader to u…

Ok, I’ll bite - how, precisely, does one win a rhoshambo tournament?

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

#204

Post by lowlevellimbo »

mijoharas wrote: post #189
lowlevellimbo wrote: post #178

Earlier quoted context omitted.

> 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 th…

Context: I worked at amazon and my buddy is at Jane street and used to practice some interview questions on me ages back (I think he mostly wanted to calibrate the questions on someone he knew fairly well, to know what kind of stuff he could expect). I'd say the standard is arguably a lot higher, the things being tested are fairly different, more focussed on raw reasoning rather than specific techniques. The main thi…

Well the interview bars among FAANG aren't consistent with each other either. I would say Jane Street interviews are on par or perhaps easier compared to Google and Facebook, but it likely depends on your personal proficiencies.

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

#205

Post by logicslave »

xapata wrote: post #173
logicslave wrote: post #165

Earlier quoted context omitted.

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…

15% return on 5 billion is much higher than 100% return on 1 million. Its economics. Secondly, economics has nothing to do with investing, and is worthless. The sum of managing 1000 small strategies is way more work than the number you would manage with billions.

And yes, there is easy money laying around if you know what youre doing. There are dollar bills laying on the ground for smaller scale strats.

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

#206

Post by xapata »

logicslave wrote: post #205
xapata wrote: post #173

Earlier quoted context omitted.

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…

15% return on 5 billion is much higher than 100% return on 1 million. Its economics. Secondly, economics has nothing to do with investing, and is worthless. The sum of managing 1000 small strategies is way more work than the number you would manage with billions. And yes, there is easy money laying around if you know what youre doing. There are dollar bills laying on the ground for smaller scale strats.

I don't see why those particular magnitude calculations are relevant to this analysis.

> economics has nothing to do with investing, and is worthless

Is it worthless because it has nothing to do with investing, or has nothing to do with investing because it's worthless? Further, why do you think the Federal Reserve hires so many economists if economics is worthless?

> And yes, there is easy money laying around if you know what youre doing. There are dollar bills laying on the ground for smaller scale strats. People just arent taking about them

Isn't that like saying, "Winning chess tournaments is easy if you know what you're doing."? If something requires expertise, then it isn't easy. If finding these smaller scale strategies requires expertise, then the expert probably has better things to do with their time. I suppose that holds to arguing with idiots on Hacker News.

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

#207

Post by logicslave »

xapata wrote: post #206
logicslave wrote: post #205

Earlier quoted context omitted.

15% return on 5 billion is much higher than 100% return on 1 million. Its economics. Secondly, economics has nothing to do with investing, and is worthless. The sum of managing 1000 small strategies is way more work than the number you would manage with billions. And yes, there is easy money laying around if you know what youre doing. There are dollar bills laying on the ground for smaller scale strats.

I don't see why those particular magnitude calculations are relevant to this analysis. > economics has nothing to do with investing, and is worthless Is it worthless because it has nothing to do with investing, or has nothing to do with investing because it's worthless? Further, why do you think the Federal Reserve hires so many economists if economics is worthless? > And yes, there is easy money laying around if you…

I used to work on a team mixed of economics PhDs from Yale/Princeton/Harvard and with Phd Mathematicians. I know what economics is. All the best hedge funds are run by either math people or ruthless business men who cheat/activist invest/have non public information.

Also, the FED is in the process of destroying the US dollar and hyper inflating all the assets. Everyone but the capitalists are getting poorer.

The "Chief Economists" of many major US banks dont even hold economics degrees. People arent rational actors that you can plug into a math equation.

"If finding these smaller scale strategies requires expertise, then the expert probably has better things to do with their time. I suppose that holds to arguing with idiots on Hacker News."

Theres alot of friction of getting data to analyze, developing a strategy, executing the strategy, paying fees, managing risk, hedging. If you know how to do all that, you are probably already employed in that capacity or you run your own fund. But yes, if youre smart you can find an edge. Theres a ton of small man shops in NYC with 5 million in capital where everyone makes 600-1M a year.

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

#208

Post by sweeneyrod »

nvarsj wrote: post #187
lowlevellimbo wrote: post #181

Earlier quoted context omitted.

This isn't really accurate of Jane Street. As the other commenter mentioned, it's not a hedge fund. Secondly, engineering culture at JS is typically the opposite of what you described. A lot of time is spent to make sure all code written is quality, things move slower than a company like Facebook for sure. > Best in class engineering and internet scale problems? Nope This is mostly true apart from a few specific team…

Sorry, I should have said "trading firms", but they are pretty similar culture wise. Most hedge funds have internal funds as well and they run it similar to a prop trading firm. I think in general though a small company (JS has 900 employees, so I'm guessing around 50-100 devs) simply can't hyper optimize their entire engineering stack to the same extent that a large FAANG can. It's far too wasteful. And I'm talking…

There are significantly more devs than that (the total is also over 900, that's from 2018).

It depends what you mean by "optimizing their engineering stack". They certainly do put a lot of effort into tooling, by necessity since historically there hasn't been much available for OCaml. For an example of stuff going beyond the open source work to make OCaml usable for large projects, see https://blog.janestreet.com/putting-the-i-back-in-ide-toward...

Obviously there is a lot of infrastructure that you need at a FAANG and not at a company with a few hundred devs. But any trading company that doesn't want to pull a Knight Capital needs to make sure their software is correct and reliable (probably to a greater extent than most of a FAANG).

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

#209

Post by xapata »

logicslave wrote: post #207
xapata wrote: post #206

Earlier quoted context omitted.

I don't see why those particular magnitude calculations are relevant to this analysis. > economics has nothing to do with investing, and is worthless Is it worthless because it has nothing to do with investing, or has nothing to do with investing because it's worthless? Further, why do you think the Federal Reserve hires so many economists if economics is worthless? > And yes, there is easy money laying around if you…

I used to work on a team mixed of economics PhDs from Yale/Princeton/Harvard and with Phd Mathematicians. I know what economics is. All the best hedge funds are run by either math people or ruthless business men who cheat/activist invest/have non public information. Also, the FED is in the process of destroying the US dollar and hyper inflating all the assets. Everyone but the capitalists are getting poorer. The "Chi…

> friction ... if youre smart you can find an edge

> easy money laying around

There's a bit of dissonance between the way you've characterized this process in different comments. That's my point.

"Hey, there's a dollar lying on the ground!"

"Can't be. Someone would have picked it up."

> destroying the US dollar and hyper inflating all the assets

Sounds like a good strategy to bring manufacturing back to the US. They've said the new policy is high employment.

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

#210

Post by alentist »

GhostVII wrote: post #136
amelius wrote: post #119

Earlier quoted context omitted.

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 a…

> given that they don't hold on to anything for very long

Why would they need to?

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