Jane Street and the OCaml Compiler (2018) [video]

Post by lend000 » Thu, Mar 26, 2020, 2:19 AM UTC

throwaway992293 wrote: post #17

lend000 wrote: post #15

Earlier quoted context omitted.

The prevailing wisdom on Wall Street is that an anti-capitalist would be devastating to the economy, so this should be no big news. Keep in mind that quant firms like Jane Street aren't necessarily long-biased on their positions, so it's likely ideologically motivated.

I have no doubt that a Sanders presidency would have a negative effect on Wall Street profits (which is why you see people like Ron giving millions of dollars to prevent it) but that's hardly a measure of the health of "the economy."

Post by smabie » Thu, Mar 26, 2020, 2:23 AM UTC

andrewnc wrote: post #4

smabie wrote: post #2

i asked this question at my Jane Street interview, but never got a real answer: how does a market making latency arb firm handle GC pauses that are inherent with any GC language? OCaml is better in this regard than, say, the JVM, but it still seems problematic. I know they wrote some FPGA compiler stuff with OCaml, but I can't imagine that all of their execution is running through FPGAs. Even if it's possible, it see…

This is a really fascinating question. When I chatted with some of the Jane Street crew at NeurIPS they were adamant in the benefits of OCaml's Hindley-Milner type system. I didn't ask, but am curious, how that compares to the type guarantees of Rust? Would moving to Rust cause them to lose that advantage of compile time error catching? I've never written a line of Rust (hopefully that changes soon) so I don't know,…

Post by smabie » Thu, Mar 26, 2020, 2:31 AM UTC

lend000 wrote: post #21

throwaway992293 wrote: post #17

Earlier quoted context omitted.

I have no doubt that a Sanders presidency would have a negative effect on Wall Street profits (which is why you see people like Ron giving millions of dollars to prevent it) but that's hardly a measure of the health of "the economy."

Perhaps you misunderstood what I said by long-biased, but companies like Jane Street, Two Sigma, RenTech will be just fine (and will probably adapt better than most) to structural changes and a decline in growth of the economy. The tax rates will hit individuals, but probably not as much as his donation set him back, so it's almost certainly ideological. Clearly you are passionate about Sanders, and that's fine, but…

Post by [deleted] » Thu, Mar 26, 2020, 2:42 AM UTC

riwsky wrote: post #19

helsinki wrote: post #6

Earlier quoted context omitted.

Things to consider: The company is >20 years old. OCaml is a general purpose language that provides an equilibrium between the avoidance of bugs introduced by state (like all functional languages), speed, and polymorphic type inference. At the time of adoption, the other choices were Haskell (too academic, not practical), Erlang (no type inference, not suited for large code bases with complex business logic), and lis…

Yaron Minsky (speaker in the talk, and guy who introduced OCaml to Jane Street) wrote in detail about how the firm decided on this in ACM Queue: https://queue.acm.org/detail.cfm?id=2038036

Post by whb07 » Thu, Mar 26, 2020, 2:55 AM UTC

smabie wrote: post #22

whb07 wrote: post #13

Earlier quoted context omitted.

They are market makers not those battling the swings at the micro second scale. Yaron Minsky replied this in some random video I saw a random night, though I cannot recall which. So their edge isn’t based on speed. They gain more from correctness and ability to express these ideas.

Market makers are incredibly exposed to ms scale swings since they're warehousing a lot more risk than a HFT firm.