The publication ends with "Interview Myths", so I think this is geared to potential job applicants at Jane Street...
trading-interview.pdf
Probability and Markets [pdf]
31–40 of 75 posts
Re: Probability and Markets [pdf]
#32The first section on randomness seems to imply that all you need to know is information. That if you knew all the data about the weather that you could predict the weather. I think it's more complicated than that. Even if you knew the position, type, and velocity of every molecule of the atmosphere at a given moment you would still need a model that explains how they interact over time in order to predict the future. So, I'm not sure that actually is a knowable unknown because that assumes there is a model that can be made in addition to the information. Maybe the weather is chaotic.
Re: Probability and Markets [pdf]
#33The first section on randomness seems to imply that all you need to know is information. That if you knew all the data about the weather that you could predict the weather. I think it's more complicated than that. Even if you knew the position, type, and velocity of every molecule of the atmosphere at a given moment you would still need a model that explains how they interact over time in order to predict the future.…
[dead]
Re: Probability and Markets [pdf]
#34During my university studies, I found it surprising that although some topics from advanced courses might be applicable in certain jobs like at Jane Street, interviews often emphasised the fundamentals and understanding of basic concepts such as basic probability theory, rather than some specialised knowledge in Lie processes. If you look through this PDF it does not even cover a 1.semester course in probability theo…
I second this. The fundamentals take you far, and Joe Blitzstein has fantastic material. Slightly off topic, but how do you feel about his “story proofs”? They were the one part of his lectures that never really clicked with me, but I never talked to anyone else about it.
I enjoyed them - I think it shows how you can make a (relatively) rigorous, yet intuitive, argument that does not necessarily have all of the trappings/wall decoration of traditional proofs. The art is noticing when the story is complete vs. when it is papering over an important mathematical aspect.
I took the course in person, so it might have been more understandable in that context.
Re: Probability and Markets [pdf]
#35For a much better introduction to financial markets I highly recommend http://www.jdawiseman.com/books/pricing-money/Pricing_Money_... > The price is a review (even if only a few words) on your preferred social media, either tagged #PricingMoney or with the link jdawiseman.com/PricingMoney.html. There is no paywall, nor registration, nor even cookies, so this price cannot be enforced. Nonetheless, please be fair: ple…
This is racking up some upvotes so I've submitted it separately if discussion is desired and so on
Re: Probability and Markets [pdf]
#36What was the probability that one of JaneStreet’s alumni, Sam Bankman Fried, would use JaneStreet’s brand name to build up credibility and then pull off the biggest ponzi scheme in human history?
[deleted]
Re: Probability and Markets [pdf]
#37Earlier quoted context omitted.
I teach post-grad stats classes in the US, with no real prerequisites besides a Bachelor's degree. Most but not all of my students have passed a college level stats class that covered these concepts, and maybe half of those did not retain a true understanding of these concepts by the time they got to my classroom. In my experience, math is the least like/most hated of the core subjects, and stats is one of the least…
What makes statistics seems so daunting to the average student over, say, discrete mathematics? I feel like statistics has so many immediately obvious real world use cases and useful analogies to help frame it (die rolls, etc).
The very idea underlying statistics (that we can learn something useful from a class of events by ignoring specifically that which makes them different from each other) is a very recent invention -- only a few hundred years old -- and it's still counter-intuitive to a lot of people.
Ask people to predict whether the Jones' have a dog and they'll start asking questions about the specifics of the Jones', like do they have children, do they live in the suburbs, have they always wanted a dog, etc. Then they try to construct a narrative based on "logical" conclusions.
When the right approach might be to ask "what's the background rate of dog ownership in the Jones' country of residence?" But that takes ignoring the specifics, and that doesn't come easily to people. It took several millennia for anyone to realise it could be useful.
Re: Probability and Markets [pdf]
#38The first section on randomness seems to imply that all you need to know is information. That if you knew all the data about the weather that you could predict the weather. I think it's more complicated than that. Even if you knew the position, type, and velocity of every molecule of the atmosphere at a given moment you would still need a model that explains how they interact over time in order to predict the future.…
But is that chaos predictable? Current weather predictions are based on statistical models. Storm trackers, for example, typically have bands that expand as time gets further out. Without knowing every molecule that affects a hurricane, for example, they can predict within some confidence interval where the storm will head. The data meteorologists have is relatively coarse, and yet they can make predictions within some level of probability. That level of probability allows municipalities to issue evacuation orders early as opposed to throwing hands up and saying there is no certainty in anything, so let's just see what happens.
Their discussion of die rolling doesn't say they can predict the outcome, rather that they can predict the probability of the outcome. In trading, life, and gaming that probability is one component of many that go into decision making. Knowing how much that randomness effects the outcome at what probability can be a successful strategy (but of course not guaranteed) in all of those domains.
Re: Probability and Markets [pdf]
#39Earlier quoted context omitted.
I teach post-grad stats classes in the US, with no real prerequisites besides a Bachelor's degree. Most but not all of my students have passed a college level stats class that covered these concepts, and maybe half of those did not retain a true understanding of these concepts by the time they got to my classroom. In my experience, math is the least like/most hated of the core subjects, and stats is one of the least…
What makes statistics seems so daunting to the average student over, say, discrete mathematics? I feel like statistics has so many immediately obvious real world use cases and useful analogies to help frame it (die rolls, etc).
As a person with a bachelor's in math who dislikes statistics, it's the one field I know where "gotcha" problems are more common in reality than in class. And they are nasty problems. It takes a lot of education until you can confidently say what simplifications are justified for your situation. And a lot of professional statisticians like to flex on newcomers for simple mistakes.
You're right that some education would help people with everyday situations. It'd be nice if schools had intro to probability and statistics as the only required math course for all students. Even just covering fractions for probabilities, mean/median/mode, and then memorizing basic tricks or terms to look up on Wikipedia/Wolfram throughout life.
Re: Probability and Markets [pdf]
#40Earlier quoted context omitted.
I second this. The fundamentals take you far, and Joe Blitzstein has fantastic material. Slightly off topic, but how do you feel about his “story proofs”? They were the one part of his lectures that never really clicked with me, but I never talked to anyone else about it.
I enjoyed them - I think it shows how you can make a (relatively) rigorous, yet intuitive, argument that does not necessarily have all of the trappings/wall decoration of traditional proofs. The art is noticing when the story is complete vs. when it is papering over an important mathematical aspect. I took the course in person, so it might have been more understandable in that context.
Me too - particularly when the story proof was more concise than the algebraic proof, or hinted at the deeper reason as to why something must be true. I remember them better too.