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Understanding Jane Street

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Re: Understanding Jane Street

#291

Post by doliveira »

j7ake wrote: post #77

Regarding the last point in working at Jane Street versus research on fusion/cancer: You could maximise more good by first working at Jane Street in your 20s, retire by 30, and then set up your own smal fusion/cancer research lab where you can do research without being tied to government funding and politics. By 30, many cancer researchers have barely finished their PhDs, so you won’t actually be that far behind scie…

I know we're supposed to assume the best interpretation, but I'm struggling to imagine how can someone think this is a reasonable comment other than through self-deception.

Re: Understanding Jane Street

#293

Post by matred »

Scoundreller wrote: post #261
pushrax wrote: post #259

Earlier quoted context omitted.

Shortwave radio can be transmitted around the curve of Earth by ionospheric reflection and refraction so fewer repeaters are needed. This allows crossing vast oceans where microwave infrastructure might not be possible. As you say the downside is available bandwidth and throughput.

That’s why most markets close during night time.

No it isn’t.

Most markets, in terms of their daily volume, are open at night, but very thinly traded until EU hours, but some do see action in Asia hours. It’s just about liquidity.

Maybe you’re thinking of single name equity markets, which are a fraction of daily trading.

Re: Understanding Jane Street

#294

Post by adamsmith143 »

JackFr wrote: post #250
FabHK wrote: post #231

Earlier quoted context omitted.

While I agree that Flash Boys was below par, what's wrong with The Big Short? I thought that was well done, accessible, and largely accurate.

I think it's probably because I was there for it. His construction of the narrative, while better than many (including many straight journalists) ends up sort of falsely casting people into hero/fool/villain roles that make the book work as an entertainment, but don't fully hold up. It's a decent book, and a decent movie (kudos for one particular scene where I recognized data from the actual LoanPerformance database)…

But wasn't the point of the Big Short to show the perspective of people "outside" the mainstream who made big bets against the system/banks? Not surprising then that it didn't really show what was happening in the banks themselves.

Re: Understanding Jane Street

#295

Post by matred »

keithalewis wrote: post #217
lordnacho wrote: post #120

Earlier quoted context omitted.

Whenever the topic comes up, I throw out a reference to Hull's Futures, Options and other derivatives, Wilmott's Quantitative Finance, and possibly also Taleb's Dynamic Hedging. That's more than enough on the instrument math side, most of what you'll see is pretty mundane stuff, unless you end up on an exotics structuring desk. I'd also note that JS and other MMs mostly don't do anything requiring you to know the int…

My writeup: https://keithalewis.github.io/math/um.html for modeling and https://keithalewis.github.io/math/uf.html on now to more accurately reflect the real world. I have taught Derivative Securities at NYU, Columbia, Cornell, and Rutgers over the past 14 years, but my day job is turning math into software that produces numbers people running a business will pay for. The textbooks are missing some important things.

Nicely organized and dense.

Thanks for the material!

Re: Understanding Jane Street

#296

Post by VirusNewbie »

Inconel wrote: post #80
benreesman wrote: post #78

Earlier quoted context omitted.

Oh yeah, RenTech is just fascinating, and the opacity only lends to the mystique around it. People are talking a lot about how hard it is to get a gig at Jane, and AFAIK it's fucking hard, but one of the best mathematicians who was also a super-hacker I've ever met crushed the Jane interview and got bounced out in the RenTech screen. Of course, the 30%+ annual returns almost every year for 30 years doesn't hurt the m…

In addition to RenTech, TGS is another intriguing place that mostly flies under the radar and from all rumors seems to have been fantastically successful over 3 decades. It’d be very interesting to hear about other less known firms with stellar, albeit likely smaller in absolute terms, levels of success.

TGS is just weird. Friend of mine making very good money at staff level had them reach out to get him to come interview, saying they would at least double his comp.

Another friend at G said the “smartest person in the office was poached by this company TGS, have you heard of them?”

Re: Understanding Jane Street

#297

Post by em500 »

SnowHill9902 wrote: post #209
em500 wrote: post #204

Earlier quoted context omitted.

I doubt it. I've never heard a coherent explanation how liquidity on sub-second scale is a great social good, while at the same time the largest equity markets in the world are closed 2/3rd of the day, plus all weekends and holidays.

Because real world information has sub-second resolution and a healthy market should reflect that. It’s a continuous auction. Some markets are open longer such as FX.

The NYSE is closed between 16:00 and 9:30, plus all weekends and bank holidays. AFAICT real world information doesn't stop in the closed hours. So how is it credible that it's super valuable that trades can happen during the open hours at sub-second resolution, but we're suddenly ok at 16:00 with a 17.5 hour resolution?

Re: Understanding Jane Street

#298

Post by adamsmith143 »

j7ake wrote: post #77

Regarding the last point in working at Jane Street versus research on fusion/cancer: You could maximise more good by first working at Jane Street in your 20s, retire by 30, and then set up your own smal fusion/cancer research lab where you can do research without being tied to government funding and politics. By 30, many cancer researchers have barely finished their PhDs, so you won’t actually be that far behind scie…

I think you are wildly underestimating the cost of running a world class lab.

Even if you retire with 10M by 30 you aren't going to run a world class research center with that kind of money for very long, or at all. Hell Land, buildings and equipment probably eat most of that right out of the gate. MIT's Plasma Science and Fusion Center had to shut down when their funding dropped from $28 to $14M per year. So at 10M you could Fund, forget about building, a center 1/3 the size of MIT's for 1 year.

Re: Understanding Jane Street

#299

Post by md_ »

thw09j9m wrote: post #280
md_ wrote: post #278

Earlier quoted context omitted.

Right. I think we're saying the same thing?

I think I'm missing the connection between how HFT's trade and how it takes money away from regular people.

This is a pretty widely discussed question, and while I think the empirical evidence is so far unclear, there are some obvious theoretical models where costs for large institutional investors (like pension funds) go up. E.g. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2238516.

Pinging (https://www.finra.org/investors/insights/getting-speed-high-...) would be an example such strategy.

Re: Understanding Jane Street

#300

Post by adamsmith143 »

uniqueuid wrote: post #82
j7ake wrote: post #77

Regarding the last point in working at Jane Street versus research on fusion/cancer: You could maximise more good by first working at Jane Street in your 20s, retire by 30, and then set up your own smal fusion/cancer research lab where you can do research without being tied to government funding and politics. By 30, many cancer researchers have barely finished their PhDs, so you won’t actually be that far behind scie…

That sounds as if you can jump into a field without spending 10-20 years of learning and do cutting-edge research. I'm not sure whether someone who has done quant finance can make meaningful contributions to the actual science. So if your role ends up spending money and doing top-level management, why not just fund companies that do and stay in finance? [edit] To add one prominent example - it's doable, as Jeff Hawki…

Jeff Hawkins probably also had a several Hundred Million Dollar payout. That's in a totally different class than a Quant who cashes out at 30 with MAYBE $10M in the bank.
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