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Finding Signal in the Noise: Machine Learning and the Markets (Jane Street)

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Re: Finding Signal in the Noise: Machine Learning and the Markets (Jane Street)

#141

Post by pclmulqdq »

FabHK wrote: post #61
madars wrote: post #31

Earlier quoted context omitted.

Why would it be wasted? I like apples and I like being able to buy them any day of year, even out of season. The only reason I can do so is because there is an entire industry of people who manage the inventory, distribution, try to predict supply and demand, and take on a risk doing that. The principal reason why I can buy and sell equities at very small spreads any day of the year is similar: traders are competing…

Sure, some derivatives have some utility. But, ok, Spread Networks spent $300m around 2010 to build a somewhat straighter glass fibre data connection between NY and Chicago. Other companies spent more to build a micro wave connection, since microwaves move faster through air than light through fibre. Is that money really well spent? And I'm afraid a lot of what happens in finance is similarly private gain, without mu…

That money is very well spent considering that the microwave network technologies developed for trading have huge applications for military and emergency response use. Similarly, millimeter wave technology built for trading firms in New Jersey could rightly be considered as one of the precursors to Starlink.

Re: Finding Signal in the Noise: Machine Learning and the Markets (Jane Street)

#142

Post by ustad »

MichaelRo wrote: post #127
ustad wrote: post #105

Earlier quoted context omitted.

At the end of the day, it’s fine to ignore the critics or people who don’t understand your work, but dismissing the conversation entirely without considering the underlying point might close off an opportunity for meaningful reflection. Just my two cents.

Reflect on what? Some utopian cvasi-religious bullshit which has no real applicability except virtue-signalling? Why don't we all do nice things instead of being caught in the capitalistic rat race to make a living? (Not that other systems fared better). Why do we have to work shit, meaningless jobs instead of doing the grand things of life, engineering, arts, etc? Well first of all because all those niches are alrea…

Your perspective is totally valid - people should do what works best for them. But dismissing the conversation out of hand could limit opportunities for a deeper understanding of what kind of work aligns with both personal fulfilment and societal good.

Re: Finding Signal in the Noise: Machine Learning and the Markets (Jane Street)

#143

Post by YZF »

foobar10000 wrote: post #63
YZF wrote: post #26

Earlier quoted context omitted.

Financial markets are not zero sum. Wealth is created or destroyed in financial markets despite each trade having a buyer and a seller.

I mean - of course the entirety of financial markets are not zero sum - it would indeed be almost lunacy to claim that :) My point is that there's a big part of the financial markets that _are_ zero-sum - not that all financial markets are. One can argue about EMH and that the zero-sum games are in fact injecting information into the market by providing better price discovery, and that is indeed an argument - but one…

Price discovery and liquidity. But yeah, I agree sub-millisecond arbitrage maybe less so.

Re: Finding Signal in the Noise: Machine Learning and the Markets (Jane Street)

#144

Post by andrepd »

rangestransform wrote: post #129
andrepd wrote: post #118

Earlier quoted context omitted.

I.e., they work to increase the return on capital. Since I believe one of the biggest problems in the world today is economic inequality stemming from an increasing gulf in the remuneration of labour and the remuneration of capital, I don't think this is a good thing. Let alone a good use of stupendous amounts of talent and money.

The only reason software engineers are able to be paid so much at all is because of “capitalism” and “free trade” I.e. vacuuming up money from the rest of the world, we sell them ads and “SaaS” and “intellectual property” while they sell us food and clothes. Would be a bad day for me personally and our profession in the US when that stops

My ethics is not defined by what is personally beneficial for me. I don't suddenly stop thinking something is wrong just because I benefit from it.

Re: Finding Signal in the Noise: Machine Learning and the Markets (Jane Street)

#145

Post by andrepd »

ecshafer wrote: post #15
laidoffamazon wrote: post #3

> In Young Cho thought she was going to be a doctor but fell into a trading internship at Jane Street Genuinely perplexing how they always try to show each multi-million earning engineer as some normal person and not someone that went to Exeter and Harvard

Graduating from a SUNY school, Jane Street gave me an interview and a fair shake. I didn't get the sense of elitism there. There does happen to be a lot of really smart engineers, mathematicians and scientists going to Harvard, MIT, etc. There are places that without that Ivy League or Target School degree you don't hear back, I don't think Jane Street is one of them.

JS absolutely does filter on school though.

Re: Finding Signal in the Noise: Machine Learning and the Markets (Jane Street)

#146

Post by TheAlchemist »

Workaccount2 wrote: post #131
TheAlchemist wrote: post #83

Earlier quoted context omitted.

The way I see HFT, is that previously this money was going to brokers and banks. Now, most of this money is going to HFT shops, but you could also make an argument that some of it stays with the investors, since spreads are much smaller now. There is 0 cost to society, maybe even a small gain. As for moving society forward, I don't know. If not in finance, most of these guys would work for big tech companies trying t…

These are just first order effects. I'm talking about second and third order effects that I would argue make the value prop of tighter spreads enormously negative to society on the whole. Liken it to the government deciding to spend 40% of the budget on roads. Suddenly the roads quickly get pot holes filled, the lines are seemingly always freshly painted, cracks are all filled, and even mildly uneven roads gets fresh…

If we're talking second and third order effects, then we should bring up the capitalism vs socialism debate.

In a separate single example, it's fairly easy to point out what's the right thing to do - as you do with your Stanford guy example. However, history show us that it usually turns out to be disastrous in the long term. Maybe this Stanford guy will make several millions $, and then go back to desiging how to produce those half price solars at scale.

Re: Finding Signal in the Noise: Machine Learning and the Markets (Jane Street)

#147

Post by __mharrison__ »

edanm wrote: post #86
__mharrison__ wrote: post #25

I read this and think: "I would love to spend a day with Jane Street and teach them how to use notebooks." So much effort is wasted because of knowledge gaps or systems that don't encourage best practices. I just taught a course to a client this week helping them with this (and other best practices for Python).

I'm intrigued - I didn't listen to the post but wonder what kind of best practices you're talking about. Do you have this written down anywhere or on video anywhere? I'd love to learn more about what you mean.

My book, Effective Pandas 2, has many of them. There's a few conference talks of mine floating around on YouTube that also mention some.

Writing clean data code is one aspect. Filling in knowledge gaps is another. Covertly teaching software engineering best practices to folks who "aren't programmers" yet sit down and write code in Jupyter all day is another.

I should probably write a blog post or record a short video. (I just taught a week long course on this for a client last week.)

Re: Finding Signal in the Noise: Machine Learning and the Markets (Jane Street)

#148

Post by boshalfoshal »

upbeat_general wrote: post #138
laidoffamazon wrote: post #97

Earlier quoted context omitted.

Obviously Michigan, UCB, UDub aren’t in the same category, especially with prior trading firm experience.

And it was none of the mentioned schools!

Would be surprised if it was not a union of the above schools and {GTech, UT, UCLA, UIUC}.

Re: Finding Signal in the Noise: Machine Learning and the Markets (Jane Street)

#149

Post by saagarjha »

laidoffamazon wrote: post #67
foobar10000 wrote: post #7

Earlier quoted context omitted.

I don't really see a lot of elitism in these circles - there's a chunk of such engineers that did not in fact go to Exeter and Harvard - but what they have in common is they are all to a fault very bright technical people that can produce complicated things quite quickly, and can communicate effectively with people around them - to make sure that what they produce is in fact useful :)

I genuinely don't think people that went to Exeter and Harvard (or MIT or Stanford or Penn or other JS feeder schools) see the rest of us as human unless there's another common factor like being employed by Jane Street and having those quirky hobbies the rest of them do - and then they rationalize it away by saying that the exceptions didn't apply to top schools, or were admitted but didn't attend for "financial reas…

You're putting words in their mouth

Re: Finding Signal in the Noise: Machine Learning and the Markets (Jane Street)

#150

Post by rangestransform »

andrepd wrote: post #144
rangestransform wrote: post #129

Earlier quoted context omitted.

The only reason software engineers are able to be paid so much at all is because of “capitalism” and “free trade” I.e. vacuuming up money from the rest of the world, we sell them ads and “SaaS” and “intellectual property” while they sell us food and clothes. Would be a bad day for me personally and our profession in the US when that stops

My ethics is not defined by what is personally beneficial for me. I don't suddenly stop thinking something is wrong just because I benefit from it.

We’ve seen what happens when the price of eggs goes up a little bit, never before seen levels of prosperity seems to be the only way to convince Americans to treat each other kindly, pick your poison I guess
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