Jane Street Market Prediction ($100k Kaggle competition) • Hacker News Board

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

#181

Post by lowlevellimbo » Wed, Nov 25, 2020, 10:31 AM UTC

nvarsj wrote: post #92

x87678r wrote: post #83

Jane Street is big in OCaml and CompSci worlds but the only guy I know who worked there did ETF arbitrage/redemption/creation which has to be one of the most boring businesses on the street. Is it worth working there (aside from the salaries)?

It depends what you're looking for. Best in class engineering and internet scale problems? Nope, you aren't going to find that at any hedge fund. They are much more like small start up cultures. Speed and results are favored over a mature engineering culture and maintainable code. Want to have the potential to make a large direct impact and make a crap load of money? Well then, a hedge fund may be a good fit.

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 teams and projects. I think most passionate engineers would find the work uninspiring.

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

#182

Post by lowlevellimbo » Wed, Nov 25, 2020, 10:35 AM UTC

reducesuffering wrote: post #35

yodsanklai wrote: post #34

Just curious, how well-known is jane street outside of the OCaml world?

Well known to Ivy-League undergrads and FAANG engineers for having some of the highest paying jobs available.

Interestingly enough Jane Street has a fairly negative reputation within certain engineering schools that they love to recruit from. Hard to hire talented and passionate people if the only thing you can offer is a bit more money at the expense of everything else people look for in a job.

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

#183

Post by matthewsinclair » Wed, Nov 25, 2020, 10:38 AM UTC

Isn't this just an elaborate way to screen potential candidates who Jane Street might like to hire? A bit like GCHQ running its semi-regular "solve this puzzle" competition.

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

#184

Post by beagle3 » Wed, Nov 25, 2020, 10:58 AM UTC

ben_w wrote: post #175

galaxyLogic wrote: post #166

Earlier quoted context omitted.

Consider you have some extra money, what do you do with it? Do you put it (or keep it) in a bank-account? That is an investment choice you have. If you have more money than you need for living then you are already investing it in some way, maybe a bank-account. And you make this investment decision following some algorithm in your head. So if you algorithm was so great wouldn't it make sense to use it rather than put…

> So if you algorithm was so great wouldn't it make sense to use it rather than put money into a low-interest bank-account? It wasn’t great outside of the spreadsheet. I forget the exact numbers, but imagine: making 0.1% per transaction sounds amazing until you find out the transaction fee is 1%. > Consider that if you have earnings you can put money into an IRA account and then trade with it almost for free. This wa…

But the transaction fee is not 1% if you are a professional. It’s now higher, but there was a time you could easily get closer to 0.05% with some effort and nontrivial but not huge volume.

Iirc, last I checked, bitmex cost 0.075% to take liquidity, and paid 0.025 to give liquidity (which should be noted, is more than a tick - so, market making on bitmex is free money in an unpredictable market - which has made it technically expensive)

INET had a similar incentive structure before they were bought by Nasdaq, as did BATS when it started - it’s a common way to jumpstart liquidity in a new exchange.

Robinhood and IB will let you trade for free today (with other hidden and hard to quantify costs related to their order flow transactions instead)

So there’s no general solution - the details keep changing - but there’s likely a way to make nice profit of 0.1%.

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

#185

Post by ahpearce » Wed, Nov 25, 2020, 1:13 PM UTC

snicker7 wrote: post #164

In a trading competition, the best strategy is the riskiest strategy. This maximizes likelihood of making a lot of money ... and losing a lot of money. But in a competition, the left tail doesn't matter. Second place and last place are identical. Ideally, a trading competition should penalize risky investments. But this is hard to do retrospectively, especially when evaluating algorithms.

https://www.investopedia.com/terms/s/sharperatio.asp

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

#186

Post by yodsanklai » Wed, Nov 25, 2020, 1:15 PM UTC

lowlevellimbo wrote: post #182

reducesuffering wrote: post #35

Earlier quoted context omitted.

Well known to Ivy-League undergrads and FAANG engineers for having some of the highest paying jobs available.

Interestingly enough Jane Street has a fairly negative reputation within certain engineering schools that they love to recruit from. Hard to hire talented and passionate people if the only thing you can offer is a bit more money at the expense of everything else people look for in a job.

I interviewed there a few years ago. It wasn't bad, but I had a much more pleasant experience with FAANG (specifically Google and Facebook).

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

#187

Post by nvarsj » Wed, Nov 25, 2020, 1:52 PM UTC

lowlevellimbo wrote: post #181

nvarsj wrote: post #92

Earlier quoted context omitted.

It depends what you're looking for. Best in class engineering and internet scale problems? Nope, you aren't going to find that at any hedge fund. They are much more like small start up cultures. Speed and results are favored over a mature engineering culture and maintainable code. Want to have the potential to make a large direct impact and make a crap load of money? Well then, a hedge fund may be a good fit.

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 about tooling, infra, and overall process, not just the code. Code review is the minimum any competent engineering org should be doing.

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

#188

Post by mijoharas » Wed, Nov 25, 2020, 1:57 PM UTC

2-tpg wrote: post #72

paxys wrote: post #59

Earlier quoted context omitted.

Why do you think this competition will result in a model superior to what Jane Street is running?

The winner model will likely outperform anything that Jane Street could come up with this 130 feature set. With 3000+ competitors, the top 10 will likely be superior to what Jane Street can do in-house. Then an ensemble of the top solutions will be the best possible model anyone can come up with.

I'm just fairly skeptical of this comment.

I understand that there are more models being thrown at the solution space, but if you think about people at jane street, while they don't have 3000 employees working on these, they've got a few hundred, and then if you think about the _time_ they spend on (the real, not this kaggle competition simplified stuff) models, I think there's a good chance that they'll have a significant advantage in man-hours (it's a full time job).

Also, while there is a high standard to people doing kaggle competitions, I think you can easily discard >90% of them as not being super competitive, then your 3000 models becomes 300, and those 300 have less than 1/3 of the time spent on them that jane street-ers are spending on their models.

(I realise it's not an apples to apples comparison, as the models they're working on are different since this is a toy example, but you said "will outperform anything that Jane Street _could_ come up with)

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

#189

Post by mijoharas » Wed, Nov 25, 2020, 2:05 PM UTC

lowlevellimbo wrote: post #178

basicneo wrote: post #42

By a similar argument to https://danluu.com/sounds-easy/ , no one will beat Jane Street in a weekend. Jane Street's hiring standards exceeds FAANG's. This is a hiring/branding strategy. Good luck to them.

> 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 thing I'd say is that in general the standard of interviewing for FAANG isn't actually as high as people think it is.

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

#190

Post by blovescoffee » Wed, Nov 25, 2020, 2:27 PM UTC

riazrizvi wrote: post #77

blovescoffee wrote: post #70

Earlier quoted context omitted.

I've wanted to start learning about this for a while but I'm really not sure where to start. I have a degree in CS and Math so I'm not a total layman wrt the maths. Do you have any suggestions?

What's your goal?

Primarily to learn for the sake of the thrill of learning. I would like to have a better understanding of the analytical methods for understanding markets. I'm interested in the application of game theory from more of a beginners point of view but any mathematical tools to understand the world better are interesting to me. I'm not really focused on making money, just interested in better intuition/understanding of economics.