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Understanding Jane Street

thediff.co

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Re: Understanding Jane Street

#111

Post by mgaunard »

Quite a few inaccuracies in there. The ones that jump at me:

  - OCaml does type inference, so you don't actually declare the types and have the compiler check them, as stated in the article.
  - Investors are not market-makers, the two words actually refer to the two types of opposed participants in the market.
  - OCaml is the language used for research, but they actually have a lot of developers working on the compiler and on libraries for OCaml which are themselves implemented in C or C++.
  - Jane Street is hiring massively and not nearly as exclusive as advertised here, though they do indeed pay slightly above the average. Most likely they had a few good years and are investing the cash they made into hiring expensive staff.

Re: Understanding Jane Street

#112

Post by thornewolf »

melony wrote: post #68
benreesman wrote: post #60

I find this stuff fascinating, and this article is way above average for online posts about proprietary/algorithmic/quantitative/low-latency trading (very leaky Venn diagram there). I have a few nitpicks but overall it's informative and it's an interesting format: viewing an industry through the lens of a particular firm, especially one as fascinating as Jane. Anything that develops literacy in modern finance amongst…

Since this is Hacker News, let's not beat about the bush. Here's a channel that actually go through derivatives pricing without hiding the math: https://youtube.com/c/QuantPy/videos

Followed quantpy tutorials to implement my own black scholes and heston pricing models last year. Highly recommend.

Re: Understanding Jane Street

#113

Post by ivanech »

benreesman wrote: post #60

I find this stuff fascinating, and this article is way above average for online posts about proprietary/algorithmic/quantitative/low-latency trading (very leaky Venn diagram there). I have a few nitpicks but overall it's informative and it's an interesting format: viewing an industry through the lens of a particular firm, especially one as fascinating as Jane. Anything that develops literacy in modern finance amongst…

+1 to Trading at the Speed of Light. A great read, particularly for any engineer curious about clinging to the limits of physics. An example: microwave towers are used to beam data from Chicago to New York because it's faster than fiber optic cables. Even crazier: these microwave towers have their repeater hardware at the top of the tower (microwave towers usually have it at the bottom) so that they don't lose time in wires going from the top to the bottom.

Re: Understanding Jane Street

#114

Post by chucksmash »

benreesman wrote: post #78
paulpauper wrote: post #76

Earlier quoted context omitted.

I hope the author(s) do Medallion next. Medallion has probably gotten more scrutiny than any other fund, yet 3 decades later it's still as opaque as ever beyond vague 'statistical methods'. It makes a lot of money no matter what. It's more tight-lipped and exclusive than Jane Street. I don't even think anyone knows even if it's doing market making or not. Or if it's making short-term directional bets. You would think…

Oh yeah, RenTech is just fascinating, and the opacity only lends to the mystique around it. People are talking a lot about how hard it is to get a gig at Jane, and AFAIK it's fucking hard, but one of the best mathematicians who was also a super-hacker I've ever met crushed the Jane interview and got bounced out in the RenTech screen. Of course, the 30%+ annual returns almost every year for 30 years doesn't hurt the m…

Had "The Man Who Solved The Market: How Jim Simons Launched The Quant Revolution" on my shelf for several years as an out-of-the-blue birthday present but I finally got around to reading it earlier this year and I'd absolutely recommend it.

The emphasis on published work rang a bell, but thumbing through the book I can't find it off hand.

Re: Understanding Jane Street

#115

Post by nly »

spoonjim wrote: post #81
j7ake wrote: post #77

Regarding the last point in working at Jane Street versus research on fusion/cancer: You could maximise more good by first working at Jane Street in your 20s, retire by 30, and then set up your own smal fusion/cancer research lab where you can do research without being tied to government funding and politics. By 30, many cancer researchers have barely finished their PhDs, so you won’t actually be that far behind scie…

I would suspect that almost zero people do this because working in an environment changes who you are as a person. If you spend a lot of time around cancer researchers you will think that cancer research is the most important thing in the world. You would need almost monastic mental compartmentalization to work at Jane Street for N years and remain singlemindedly focused on cancer research.

Or suffer a loss to cancer. That changes kinds quickly too

Re: Understanding Jane Street

#116

Post by _lpa_ »

pigtailgirl wrote: post #98

-- only managed to make it half way through the article so apologies if this was covered later - re: the intern game - if the game is confidence in the probability of your answers - couldn't you deliberately get the answers wrong and just bet low confidence in your answers? - this seems like a really stupid comment on my part so I presume I'm missing something important --

Presumably the goal is to have a lot of chips at the end (more than you started with?). I would assume if you bet 10 chips, you get 10 for being right, and zero for not. So betting 0 chips all the time probably won't get you the job!

Re: Understanding Jane Street

#117

Post by scajanus »

bibabaloo wrote: post #92

From the article: > One example of this is NAV trading (Jane Street has a paper here), where an investor wants to place a large trade in an ETF and agrees to buy it at some future point at whatever its net asset value is, less some small fee. Should this say "agrees to buy it at some future point at whatever its net asset value is *NOW*"? Otherwise, I'm confused, why wouldn't the investor just buy it later?

Edit: if you remove the second 'at' it makes sense.

I think they mean that the buyer will agree to pay $5000 now for say 10 shares (close to current valuation), and get it in a week regardless if they will be worth $0, $5000 or $100000 at that point. They would prefer to buy it now, but can't, and thus are willing to pay a fee to make it happen.

However, the motivation (and pricing) is different from futures trading: here the buyer would prefer to buy the asset immediately, but because of market inefficiencies or unavailability it's not possible. So some dealer figures he can make that happen in a week, takes a small fee, and agrees to the trade. In the meantime, the dealer might want to buy something that correlates with the value of the actual asset to cover his bet -- e.g. they might be able to buy most of the stocks in the ETF in roughly the same amounts, and just accept the remaining risk.

There is however a chance that they will not be able to complete the transaction.

Re: Understanding Jane Street

#118

Post by oblio »

llaolleh wrote: post #85
spoonjim wrote: post #81

Earlier quoted context omitted.

I would suspect that almost zero people do this because working in an environment changes who you are as a person. If you spend a lot of time around cancer researchers you will think that cancer research is the most important thing in the world. You would need almost monastic mental compartmentalization to work at Jane Street for N years and remain singlemindedly focused on cancer research.

“He who fights with monsters should be careful lest he thereby become a monster.”

“Battle not with monsters, lest ye become a monster, and if you gaze into the abyss, the abyss gazes also into you.” Nietzsche

Don't cut out the best part of the quote :-)

Re: Understanding Jane Street

#119

Post by viet1 »

ReggieCommaRose wrote: post #13
quickthrower2 wrote: post #9

Earlier quoted context omitted.

Does a market maker consider another market maker “toxic” by your definition? I assume by “toxic” you mean too smart? Or do you mean they cheat?

Usually too smart, on rare occasion they cheat. MMs inherently deal with information assymetry and adverse selection because they generally stand ready providing liquidity with quotes out in the world (though obviously width matters). Toxic counterparties are parties who decide to trade against you who have a better idea about “true” price than you. They might make or they might not, depends if the degree in which th…

or doing latency arbitrage

Re: Understanding Jane Street

#120

Post by lordnacho »

melony wrote: post #68
benreesman wrote: post #60

I find this stuff fascinating, and this article is way above average for online posts about proprietary/algorithmic/quantitative/low-latency trading (very leaky Venn diagram there). I have a few nitpicks but overall it's informative and it's an interesting format: viewing an industry through the lens of a particular firm, especially one as fascinating as Jane. Anything that develops literacy in modern finance amongst…

Since this is Hacker News, let's not beat about the bush. Here's a channel that actually go through derivatives pricing without hiding the math: https://youtube.com/c/QuantPy/videos

Whenever the topic comes up, I throw out a reference to Hull's Futures, Options and other derivatives, Wilmott's Quantitative Finance, and possibly also Taleb's Dynamic Hedging.

That's more than enough on the instrument math side, most of what you'll see is pretty mundane stuff, unless you end up on an exotics structuring desk.

I'd also note that JS and other MMs mostly don't do anything requiring you to know the intimate details of these things, a lot of it is understanding how the market works rather than the deep instrument math. That might mean other kinds of math of course.

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