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Any model superior to what Jane Street is running is worth vastly more than the prizes they’re offering. If you prove such a model out, get licensed (SEC, FINRA) and start soliciting to manage assets. Disclaimer: Not investment advice. Not a lawyer, not your fiduciary.
Any model superior to what Jane Street is running is worth vastly more than the prizes they’re offering. If you prove such a model out, get licensed (SEC, FINRA) and start soliciting to manage assets. Disclaimer: Not investment advice. Not a lawyer, not your fiduciary.
Is this a just a hiring competition under a different name? If you can beat their model, obviously you deserve a 100k signing bonus and a very generous compensation package.
I'd caution the HN crowd not to expect production-level quant models out of this, like I'm seeing some doing in the comments already. Kagglers are excellent machine learning practitioners and the models that come out of many competitions are top-notch stuff, often making their way into research papers. But this is a short competition on limited data in a non-real-world scenario. The winning models will be very interesting educational exercises and probably wonderful recruiting material for Jane Street, but won't be the underpinnings of a new fund.
That said, I can't wait to see what comes out of this one. It ticks all of my competitive boxes :)
As a frequent Kaggler (perhaps too frequent... it's a bit addicting, in a way I'm sure others on HN will understand), I was fairly intrigued to see this one pop up in the competition list a few days ago. Finance shops have tried their hand at Kaggle before, but I think they've normally been out of their domain. e.g. Two Sigma recently did a reinforcement learning game competition. I'd caution the HN crowd not to expe…
Kaggle encourages a domain agnostic approach to modeling, in the sense that participants use sophisticated machine learning and statistical methods but typically have no domain expertise in the underlying data. This kind of approach to finance has historically performed poorly. [1]
Good quantitative trading is usually backed by a strong fundamental thesis and an interpretable model, which is obtained by cross-pollinating sophisticated math and statistics with domain expertise in some part of finance. That domain expertise might be in different kinds of assets, liquidity or market microstructure, but it's there.
$100k is cheap for Jane Street. If nothing else they have a new recruiting pipeline of people with demonstrable machine learning skills.
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1. I would also say this is a poor way to approach statistical analysis in most domains, and usually leads to spurious or overfit results. But the idea that you can just run a model and find patterns in pricing data is especially attractive and insidious.
Any model superior to what Jane Street is running is worth vastly more than the prizes they’re offering. If you prove such a model out, get licensed (SEC, FINRA) and start soliciting to manage assets. Disclaimer: Not investment advice. Not a lawyer, not your fiduciary.
Any model superior to what Jane Street is running is worth vastly more than the prizes they’re offering. If you prove such a model out, get licensed (SEC, FINRA) and start soliciting to manage assets. Disclaimer: Not investment advice. Not a lawyer, not your fiduciary.
>Jane Street has spent decades developing their own trading models and machine learning solutions to identify profitable opportunities and quickly decide whether to execute trades. These models help Jane Street trade thousands of financial products each day across 200 trading venues around the world. >Admittedly, this challenge far oversimplifies the depth of the quantitative problems Jane Streeters work on daily, an…
Any model superior to what Jane Street is running is worth vastly more than the prizes they’re offering. If you prove such a model out, get licensed (SEC, FINRA) and start soliciting to manage assets. Disclaimer: Not investment advice. Not a lawyer, not your fiduciary.
Any alpha that is not fully correlated to existing alpha is worth its weight in gold for an organization with the size, sophistication and complexity of JS. That's part of the reason why efforts such as 2Sigma's Alpha Studio exist: https://alphastudio.com/
As a frequent Kaggler (perhaps too frequent... it's a bit addicting, in a way I'm sure others on HN will understand), I was fairly intrigued to see this one pop up in the competition list a few days ago. Finance shops have tried their hand at Kaggle before, but I think they've normally been out of their domain. e.g. Two Sigma recently did a reinforcement learning game competition. I'd caution the HN crowd not to expe…
Yes, it's overwhelmingly unlikely that the winning model will actually be a competitive trading strategy. Kaggle encourages a domain agnostic approach to modeling, in the sense that participants use sophisticated machine learning and statistical methods but typically have no domain expertise in the underlying data. This kind of approach to finance has historically performed poorly. [1] Good quantitative trading is us…
Yes this is accurate and put very well. This is so much the case that if you have a strong background understanding of the field, the ML part can actually be picked up quite quickly or contributed by someone else. There are a few notable users who are both domain and ML experts and they tend to absolutely clean up in their field. I'm thinking of a couple of med students in particular who are formidable in every medical imaging competition.
Earlier quoted context omitted.
>Jane Street has spent decades developing their own trading models and machine learning solutions to identify profitable opportunities and quickly decide whether to execute trades. These models help Jane Street trade thousands of financial products each day across 200 trading venues around the world. >Admittedly, this challenge far oversimplifies the depth of the quantitative problems Jane Streeters work on daily, an…
This contest seems like the equivalent of the "inventor's hotline" infomercial. If it identifies one promising new approach that they can iterate on, it has probably paid for itself. It also serves as a good PR and recruiting tool. The prize is probably designed to bring in clever non-professionals. It's a win-win for Jane Street