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Understanding Jane Street

thediff.co

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Re: Understanding Jane Street

#321

Post by matred »

adamsmith143 wrote: post #302
mellavora wrote: post #163

Earlier quoted context omitted.

> as if you can jump into a field without spending 10-20 years of learning and do cutting-edge research. I know multiple people who have done this. If you want a famous person, look at Paul Erdős. Always jumping into new areas of mathematics and solving problems at the cutting edge. Or, to get to the current subject, Taleb using his background as a trader to jump to a career in academia, where many consider(ed) his r…

>Taleb He already had a PhD so it's not surprising he was able to enter Academia. But outside his books I'm not aware of anyone talking about his Research much.

I’ve never see his research brought up amongst quants or traders, but I like his writing.

Does anyone who works in this field know of it being currently applied?

Re: Understanding Jane Street

#322

Post by nickkell »

jackblemming wrote: post #95

This and getting people to click more ads. What a great use of innovation and bright minds.

It's trickle-down programming. They're inventing the next big database technology or whatever by doing busy work and that will eventually enable somebody else to produce something of actual value to mankind.

Re: Understanding Jane Street

#323

Post by SnowHill9902 »

em500 wrote: post #297
SnowHill9902 wrote: post #209

Earlier quoted context omitted.

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?

Trades do happen off-hours just OTC.

Re: Understanding Jane Street

#324

Post by null0pointer »

Most of this article is pretty interesting and unusually insightful about quant firms. But I find this sentence to be utterly disgusting.

> Trading is a lottery operated by market makers, and like the lottery its social function is to convert mass innumeracy into funding for better causes.

It’s basically saying “we should have your money because we know better than you”. Maybe true, but I find it a very weak argument for the social function of a quant firm. Especially when lotteries are essentially a form of regressive taxation.

Re: Understanding Jane Street

#325

Post by paulpauper »

nly wrote: post #154
paulpauper wrote: post #33

Earlier quoted context omitted.

It depends if you are getting new money or not. For a lump sum investment, depending on market cycles it's possible to structure the trade to optimize returns. If you assume that bear markets are every 6 years , there are certain simple integrals for computing this in which you input a certain starting capital and then a certain risk -free rate and then the capital is split between two assets like cash and stocks. Wh…

One of the funds you list is leveraged 3x. If the market drops 33% you're wiped out, get liquidated, and can never recover. You've already made the assumption that you can detect the market bottom to select when to drop the $3K, which is ludicrous, and begs the question if you're know where the bottom is why not put the full $10K in then with maximum upward leverage.

that would require a 33% decline in a single day for the Nasdaq, which has never happened in the history of the stock market.

Re: Understanding Jane Street

#326

Post by matred »

notahacker wrote: post #243
kasey_junk wrote: post #211

Earlier quoted context omitted.

You are really going to need a citation to back up that the core goal of financial markets is to finance companies. That is, in my view, at best an ancillary goal (notice that most money in the markets doesn’t participate in buying shares from the company itself). That may be what you want the markets to be about but every other participant has other desires from the markets and the great thing is they can all get wh…

Markets in equities exist because companies want finance enough to be willing to sell the equity. Not sure why something that elementary needs a citation. It's also true there are many other participants with many other strategies to extract that value created by the companies from acquiring and merging them to collecting dividends from a balanced portfolio to day trading, but the reason the market exists in the firs…

I’m not sure you’re reading that correctly, since the response concerned the idea that the core goal of financial markets is X, and you respond with a statement on equities markets, which by definition only concern financing companies.

Equities markets are a piece of the pie. The largest, by far, for the kind of HFT we’re talking about, but a fraction of financial activity.

The core goal of financial markets is to gather and match prospective buyers and sellers so that trading can occur.

Re: Understanding Jane Street

#327

Post by refulgentis »

adamsmith143 wrote: post #294
JackFr wrote: post #250

Earlier quoted context omitted.

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.

No, the book is very different from the movie, I'd say it's almost the opposite in that it was mostly narrated from the perspective of the banks.

Another compounding factor is people often assume the message is "banks bad" but it's more "oh this system was so complex that any one individual did not understand the impact of their decision(s), much much more than everyone/anyone was playing super fast and loose from their particular perspective "

Re: Understanding Jane Street

#328

Post by gonehome »

benreesman wrote: post #60

I find this stuff fascinating, and this article is way above average for online posts about proprietary/algorithmic/quantitative/low-latency trading (very leaky Venn diagram there). I have a few nitpicks but overall it's informative and it's an interesting format: viewing an industry through the lens of a particular firm, especially one as fascinating as Jane. Anything that develops literacy in modern finance amongst…

The author is Byrne Hobart: https://twitter.com/ByrneHobart and his substack The Diff is just generally great.

Re: Understanding Jane Street

#329

Post by thesausageking »

SilverBirch wrote: post #137

>the winners get a job from which people routinely retire rich in their 30s, and the losers... don't Honestly, I find this ridiculous. Firstly, Yes, working at Jane Street is a well paying job and you'll do well out of it. No. People aren't routinely retiring in their 30s. I don't understand where this absurd idea comes from. Look at all the rich people in the world, look at how old they are, and ask, are they retire…

It's very, very common for rank and file prop traders to retire in their 30s. Some are ambitious and start their own firm or keep doing it, but many decide $10m/$50m/whatever is enough and leave the industry. They likely got into it just to make money, not because they loved it, so once you have enough, why keep going?

Re: Understanding Jane Street

#330

Post by gautamdivgi »

ivanech wrote: post #113
benreesman wrote: post #60

I find this stuff fascinating, and this article is way above average for online posts about proprietary/algorithmic/quantitative/low-latency trading (very leaky Venn diagram there). I have a few nitpicks but overall it's informative and it's an interesting format: viewing an industry through the lens of a particular firm, especially one as fascinating as Jane. Anything that develops literacy in modern finance amongst…

+1 to Trading at the Speed of Light. A great read, particularly for any engineer curious about clinging to the limits of physics. An example: microwave towers are used to beam data from Chicago to New York because it's faster than fiber optic cables. Even crazier: these microwave towers have their repeater hardware at the top of the tower (microwave towers usually have it at the bottom) so that they don't lose time i…

A 2019 article on the various companies competing for this [0]

0. https://www.bloomberg.com/news/features/2019-03-08/the-gazil...

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