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Understanding Jane Street

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Re: Understanding Jane Street

#281

Post by bob29 »

dash2 wrote: post #260
pvitz wrote: post #183

Earlier quoted context omitted.

I would also suggest to forget about Hull and Wilmott and would suggest to start with the excellent book by Shreve: "Stochastic Calculus for Finance. Volume II: Continuous Time Models". Then, you can quickly read Bjoerk, work through Brigo/Mercurio (if you like that style) or Andersen/Piterbarg. Alternatively, if you want to fully dive into into the subject after Shreve, Musiela/Rutkowski: "Martingale Methods in Fina…

I'd say that Shreve and Musiela lack rigour and are too focused on trivia, name-dropping and anecdotes. Jiao's "Infinite-dimensional methods in amassing vast bags of gold" is unsurpassed. For its coverage of Black-Scholes, I'd also recommend Schulz's "Good Grief, Charlie Brown". Sorry, everyone seemed to be doing this so I felt I should contribute too.

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Re: Understanding Jane Street

#282

Post by bob29 »

dang wrote: post #62
bob29 wrote: post #48

Earlier quoted context omitted.

Quoted post unavailable.

Please stop trolling. I don't want to have to ban you. If you wouldn't mind reviewing https://news.ycombinator.com/newsguidelines.html and taking the intended spirit of the site more to heart, we'd be grateful.

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Re: Understanding Jane Street

#283

Post by tomrmp »

benreesman wrote: post #96
spoonjim wrote: post #87

Earlier quoted context omitted.

If you're going to hold AAPL longer than a quarter, then the tick vs. 1/8 doesn't matter, and if you're not, your trade doesn't need to happen to support the core goal of financial markets which is to finance companies.

You're the best kind of correct, which is technically correct. But what I said is that "multiplied by every retirement account we're talking real money". Which is no-qualifiers correct. That ETF that you should have your roll in? It's buying and selling securities all the time, and encountering friction along the way. And whether people have ETFs or individual equities in their (hopefully tax-advantaged) retirement a…

Is Citadel paying 2X for PFOF on Robinhood vs Schwab because it is dumb retail flow or due to increased optionality because it is inherently built in slow transmission flow to reach the execution platform?

Re: Understanding Jane Street

#284

Post by polio »

badpun wrote: post #162

Curious how people are so interested in Jane Street, ostensibly because they do technically challenging work, but much less so about other places where the work is at least just as challenging, but the money sucks.

Prestige matters to young people, because it helps them date and find social networks.

Re: Understanding Jane Street

#285

Post by UncleOxidant »

greatpostman wrote: post #253
baby wrote: post #248

Earlier quoted context omitted.

The thing is, if you end up in a job that pays this well it’s because you’re either very lucky (and congrats to you) or you’re very passionate. If you’re in the latter category why would you retire when you’re being paid to do what you love?

This isn’t true. It’s most likely because you went to an Ivy League school

Hence lucky to have been born to wealthy parents.

Re: Understanding Jane Street

#286

Post by UncleOxidant »

baby wrote: post #248
mabbo wrote: post #216

Earlier quoted context omitted.

> People who are driven and smart don't suddenly earn their first $5m go off and buy an annuity I guess I must not be driven, because I would. Or at least something close enough to that. $5m just earning interest at 5%ish is way more income than I need to live the lifestyle I want. I'd buy a few acres in the middle of no where, build a nice house, grow a big garden, raise my daughter as a nice family man and never wo…

The thing is, if you end up in a job that pays this well it’s because you’re either very lucky (and congrats to you) or you’re very passionate. If you’re in the latter category why would you retire when you’re being paid to do what you love?

Passions change. Also, I'd guess most CS grads going to work for JS aren't passionate about stock trading/market arbitrage - they're passionate about the pay or maybe OCaml, but the actual thing that JS does, probably not - it seems hard to be passionate about in and of itself (would someone work there for free because they were having so much fun?). And even if someone might be initially, they likely won't be after 5 years and enough money to retire on comfortably.

Re: Understanding Jane Street

#287

Post by anonu »

badpun wrote: post #162

Curious how people are so interested in Jane Street, ostensibly because they do technically challenging work, but much less so about other places where the work is at least just as challenging, but the money sucks.

You answered your own question...

Re: Understanding Jane Street

#288

Post by samatman »

dejerpha wrote: post #255
samatman wrote: post #252

Earlier quoted context omitted.

I'm not sure what's going on with this comment so let me make three observations: The speed (latency) of the EM spectrum is the effective celerity of the medium: this doesn't differ in the air between microwave and shortwave in any meaningful way. The speed (throughput) achievable on a given frequency is limited by the period of that frequence, high wavelengths can modulate more signal. Microwaves are higher frequenc…

Neutrinos don’t need to go around the earth, so in theory you have a pi/2 advantage over an EM signal when sending to an antipodal location, for instance. In practice of course, throughput is utterly horrible for the reason you indicate.

This assumes that neutrinos aren't slowed by a dense medium as light is.

That's a maybe. Still, good point.

Re: Understanding Jane Street

#289

Post by tolkienfanatic »

nickparker wrote: post #239
fiprofessor wrote: post #207

Earlier quoted context omitted.

That makes sense to me. But, in light of that, the ones who do go to Jane Street are relatively more likely to be interested in their tech stack and OCaml, as opposed to wanting to "test themselves" in the "adversarial setting" that the post I quoted describes. In contrast, the couple of people I know who went to HRT or Jump Street are much more like that description. They deliberately targeted HFT work, whereas Jane…

Jane Street recruits silly hard from Cornell’s CS dept because part of our required curriculum is functional programming w OCaml. They definitely introduce a lot of math/cs kids to the idea that finance can be a meaningful technical challenge instead of just Dyson bros in spreadsheets. Then again I think one of the founders or top execs is an alum, so it’s possible Cornell has that course in that language because of…

Boy am I glad I never have to take 3110 again.

Re: Understanding Jane Street

#290

Post by jeffreyrogers »

nly wrote: post #104
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…

It's probably pretty easy to keep the returns on a pot as small as $10bn sweet if you just reserve all your best alphas for that fund. There are proprietary trading firms trading pots that size for a single shareholder. What I've been told is that Rentech also effectively use their public funds as a source of revenue to juice development of proprietary platform, so some of it is business cunning rather than a hard te…

They were successful long before they had those public funds though.
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