Earlier quoted context omitted.
> I met a drove of Jane Street interns who thought exactly the same way, in terms of "EV" or expected value It's interesting that you say that. When I read the article claiming that a trader should be neutral between $50 and $100 with 50%, I saw that as an oversimplification for dramatic effect. But what you describe seems like they actually thought like that, which strikes me as bizarre. If you lose your entire budg…
While Kelly style analysis makes sense for investors like Buffet or Dalio, who bet a significant portions of their wealth on certain positions, for Jane Street it doesn't make much sense. That is because Jane Street makes most of their money in millions of really small trades either in market making, arbitraging, or front-running other trades every day. For these, every trade, profitable or not, is necessarily a mini…
That was really insightful, thanks for sharing that anecdote! The whole story would be worthy of a Greek tragedy - rise and fall of a kid blessed with an almost supernatural gift, with just a tiny yet catastrophic flaw - the proverbial Achilles heel.