Hacker News Board Hacker News, browsed like a classic message board
Live data from Hacker News

Probability and Markets [pdf]

janestreet.com

Post reply on HN
Print view View original

51–60 of 75 posts

Re: Probability and Markets [pdf]

#51

Post by frankc »

manp2 wrote: post #48
kwant_kiddo wrote: post #2

During my university studies, I found it surprising that although some topics from advanced courses might be applicable in certain jobs like at Jane Street, interviews often emphasised the fundamentals and understanding of basic concepts such as basic probability theory, rather than some specialised knowledge in Lie processes. If you look through this PDF it does not even cover a 1.semester course in probability theo…

I heard convex optimiztion techniques are widely used as well, is that true?

Yes, especially in, but limited to, portfolio construction. Check out the mosek portfolio construction cookbook.

Re: Probability and Markets [pdf]

#52

Post by singhrac »

manp2 wrote: post #48
kwant_kiddo wrote: post #2

During my university studies, I found it surprising that although some topics from advanced courses might be applicable in certain jobs like at Jane Street, interviews often emphasised the fundamentals and understanding of basic concepts such as basic probability theory, rather than some specialised knowledge in Lie processes. If you look through this PDF it does not even cover a 1.semester course in probability theo…

I heard convex optimiztion techniques are widely used as well, is that true?

Yes. I worked on convex optimization in trading (deeply involved with fine-tuning, constraint selection, utility function construction, etc.).

Re: Probability and Markets [pdf]

#53

Post by tux3 »

paulpauper wrote: post #47

This seems like a sub-optimal way of finding top talent, even though the results still speak for themselves. Obviously Jane Street has had a lot of success using brain teasers to screen for talent. If i were a hedge fund recruiter, here is what I would do: Go on /r/ wallstreetbets and find guys who consistently are pulling huge $ like this guy: https://old.reddit.com/r/wallstreetbets/comments/14a9xyi/11m... Send a DM…

Jane Street is a market maker.

WSB is a gambling forum where people are addicted to chasing huge rewards by taking huge risks.

This would be about as interesting as going to a casino and recruting people who have a big win streak at the slot machine.

Re: Probability and Markets [pdf]

#56

Post by smallnamespace »

kqr wrote: post #37
Solvency wrote: post #18

Earlier quoted context omitted.

What makes statistics seems so daunting to the average student over, say, discrete mathematics? I feel like statistics has so many immediately obvious real world use cases and useful analogies to help frame it (die rolls, etc).

The very idea underlying statistics (that we can learn something useful from a class of events by ignoring specifically that which makes them different from each other) is a very recent invention -- only a few hundred years old -- and it's still counter-intuitive to a lot of people. Ask people to predict whether the Jones' have a dog and they'll start asking questions about the specifics of the Jones', like do they h…

> Ask people to predict whether the Jones' have a dog and they'll start asking questions about the specifics of the Jones', like do they have children, do they live in the suburbs, have they always wanted a dog, etc. Then they try to construct a narrative based on "logical" conclusions.

This is the core idea of Bayesian statistics.

You fall back to the background rate only if you have no ability to access more pertinent facts.

Re: Probability and Markets [pdf]

#57

Post by msie »

tmoertel wrote: post #7
scythmic_waves wrote: post #5

Earlier quoted context omitted.

I second this. The fundamentals take you far, and Joe Blitzstein has fantastic material. Slightly off topic, but how do you feel about his “story proofs”? They were the one part of his lectures that never really clicked with me, but I never talked to anyone else about it.

Readers, if you want a great into to probability co-authored by Joe Blitzstein, see https://stat110.net/ .

Why can't I download the PDF?

Re: Probability and Markets [pdf]

#58

Post by smabie »

berkle4455 wrote: post #46
smabie wrote: post #44

Earlier quoted context omitted.

Why? Maybe they were good employees? Just because they did something bad after really isn't thst relevant.

It shows JS doesn’t scan for morality or ethics or judgement.

Were you screened for morality or ethics at your current job?

Re: Probability and Markets [pdf]

#59

Post by agnosticmantis »

kwant_kiddo wrote: post #2

During my university studies, I found it surprising that although some topics from advanced courses might be applicable in certain jobs like at Jane Street, interviews often emphasised the fundamentals and understanding of basic concepts such as basic probability theory, rather than some specialised knowledge in Lie processes. If you look through this PDF it does not even cover a 1.semester course in probability theo…

I heard they try to hire for aptitude/talent. The sophisticated stuff they will teach you if you’re hired.

This is similar to how math Olympiad students are picked, most questions involve combinatorics and Euclidean geometry instead of advanced calculus, as anyone can understand a basic counting problem, but it’d take a few semesters to define the terms in a typical calculus problem.

Re: Probability and Markets [pdf]

#60

Post by lying4fun »

KRAKRISMOTT wrote: post #4
kwant_kiddo wrote: post #2

During my university studies, I found it surprising that although some topics from advanced courses might be applicable in certain jobs like at Jane Street, interviews often emphasised the fundamentals and understanding of basic concepts such as basic probability theory, rather than some specialised knowledge in Lie processes. If you look through this PDF it does not even cover a 1.semester course in probability theo…

Not Lie processes (are you referring to Lévy?), but stochastic calculus in general, which requires a strong intuition for differential equations, calculus, and statistics. Quantitative finance heavily favor those with a background in the physical sciences rather than discrete math like CS.

That is curious. Could you elaborate or point me to some sources, I would like to investigate that relationship further. I remember Jim Simmons saying that the Renaissance fund employs many physicist PhDs and other kinds of scientists. I thought they were there because of their specialisation but perhaps the reason is what you explained above or both
Post reply on HN