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Understanding Jane Street

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Re: Understanding Jane Street

#361

Post by benreesman »

steveBK123 wrote: post #333
kyawzazaw wrote: post #313

Earlier quoted context omitted.

I don't know if that is true. As a new grad, I got invited to interview for Point72, Headlands Tech, HRT, Two Sigma. (although some of these are in a different "tier", and different business than Jane Street or Citadel). I definitely didn't have more special accomplishments than 2 typical internships and both were not FAANG.

I should have been more specific in my trite original post. I think at the college hire / intern level, its not quite as useful as everyone is so green .. so people screen based on college / attempts at raw brainpower games with brain teaser puzzles and stuff. On the more experienced end of the scale, I'm often surprised to see how many resumes with 3-5 years experience are basically Python-only. This, in the absence…

I'm going to venture a prediction that knowing how computers really work isn't every going to go completely out of style, or even decrease in utility in absolute terms. It's already decreasing in utility in relative terms as more and more useful stuff becomes possible without it, but someone will always write the thing underneath the thing underneath the thing.

The AGI/singularity conversation aside of course, which I am not at all interested in having. ;)

Re: Understanding Jane Street

#362

Post by benreesman »

qez wrote: post #269
benreesman wrote: post #153

Earlier quoted context omitted.

I think the author meant "could retire very comfortably in their 30s", and you're correct to point out that's not what it literally says. But as for "could"? Shit you can do that at Google, Microsoft, Amazon, Meta if you're in that league and start out of undergrad. In my experience (more than a few of my FAANG-era colleagues either came from or went to high-technology finance), people don't actually leave Google to…

> But as for "could"? Shit you can do that at Google, Microsoft, Amazon, Meta Yes, these are some of the highest paying companies on the planet. Your statement is not a put-down of Jane Street.

Oh just to clarify, it was not my intention to put down Jane in the slightest. It's a fascinating firm in a fascinating field that is obviously full of elite mathematicians and technologists. I'd most likely be willing to work there.

Re: Understanding Jane Street

#363

Post by benreesman »

robocat wrote: post #344
benreesman wrote: post #161

Earlier quoted context omitted.

As I've mentioned elsewhere in the thread, it's notoriously difficult to get citations on this stuff so take with a grain of salt, but I've heard that in 2019 the "HFT" industry (defined some way) had cumulative annual profits in the US of somewhere between 2-4 billion dollars. That's a long holiday weekend for Google or FB. I've also heard that this (inflation-adjusted etc. etc.) this is down sharply from ten years…

> HFT industry annual profits 2-4 billion. That's a long holiday weekend for Google or FB Nitpick: that’s 10 to 37 days for Google or FB. 2B for Google is ~10 days, 4B for Meta is 37 days. Alphabet net income for 2021 was $76.033B, Meta Net income $39.370B.

Haha fair play, but to nitpick in return: when I worked on FB Ads, revenue was not even remotely uniformly distributed across days of the year, and Thanksgiving? Lots of family photos going up and being looked at relative to your typical Thursday.

Morbidly funny anecdote: when I first moved to the NYC office I obviously didn't have many friends, let alone a significant other. Myself and a few of the other sad saps who failed to notice the office clearing out a bit early around us were borderline freaking out over what looked like very anomalous behavior in the IG ranking system.

It wasn't until we raised it in a slack group that included some coupled folks that we realized it was Valentines day. Womp Womp. ;)

Re: Understanding Jane Street

#364

Post by ericbarrett »

pushrax wrote: post #332
samatman wrote: post #305

Earlier quoted context omitted.

Another good point, and one I thought about before replying, but that doesn't make microwaves slower, it makes them inapplicable.

In theory having fewer repeaters improves latency, probably in the range of 100ns per repeater. I don't know how much of a practical effect that has, likely very minimal with modern implementations. Either way it's more sensible to build high throughput microwave networks given the tiny amount of shortwave bandwidth we have.

I bet it's way lower than 100ms for this application. Single digits. Maybe less.

Re: Understanding Jane Street

#365

Post by dQw4w9WgXcQ »

bmitc wrote: post #350
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…

> It's a pretty short list of places I'd ever go through some grueling and semi-arbitrary gauntlet to work for, but Jane is on it for sure. It certainly seems like an interesting place to work, but I find their hiring process as a bit of a red flag. Places that hire like that confuse me, because it seems it's going to apply a very selective filter to applicants that make it through. And I don't meant selective in the…

> I find their hiring process as a bit of a red flag

This is a bit like saying you find the hiring process at the NFL or for SEAL teams a red flag. You either fall through the selection sieve or you don't, that's the whole point. The filter has served its purpose, and they end up with the elite high-performing teams they desire. There's nothing wrong with you or the filter if you don't make it. The filter clearly does work because Jane St prints cash like the Fed and is one of the top MM firms out there.

Re: Understanding Jane Street

#366

Post by smabie »

matred wrote: post #308
twic wrote: post #193

Earlier quoted context omitted.

Other market makers are often moving away from something they've seen but you haven't yet. When whatever that is hits you, the fills you got from the other market maker will look really bad.

Sure, but those short-term active strategies have little impact next to what big paper will lift in major macro markets.

Not sure exactly what you're trying to say but let me tell you, fills from other HFT firms are highly toxic.

Re: Understanding Jane Street

#367

Post by bmitc »

dQw4w9WgXcQ wrote: post #365
bmitc wrote: post #350

Earlier quoted context omitted.

> It's a pretty short list of places I'd ever go through some grueling and semi-arbitrary gauntlet to work for, but Jane is on it for sure. It certainly seems like an interesting place to work, but I find their hiring process as a bit of a red flag. Places that hire like that confuse me, because it seems it's going to apply a very selective filter to applicants that make it through. And I don't meant selective in the…

> I find their hiring process as a bit of a red flag This is a bit like saying you find the hiring process at the NFL or for SEAL teams a red flag. You either fall through the selection sieve or you don't, that's the whole point. The filter has served its purpose, and they end up with the elite high-performing teams they desire. There's nothing wrong with you or the filter if you don't make it. The filter clearly doe…

I understand the perspective, although it's different and not really comparable to those other things you mentioned, especially since the NFL and the SEAL teams do not evaluate people solely based upon a few hours of tunnel-visioned interviews. They are primarily evaluated on their performance in real-life scenarios and training across a decent amount of time.

Of course Jane Street is successful! There's no question there. However, I don't think it's much of a question that they probably miss out on some great candidates that don't fit into that type of hiring process. It's possible they view those as acceptable losses.

Re: Understanding Jane Street

#368

Post by rgifford »

vecter wrote: post #349
rgifford wrote: post #338

Earlier quoted context omitted.

A recounting of the recent history of US financial markets suggests, at least to me, that these firms have the burden of proof. If they haven't proven legitimacy and societal benefit, assuming fraud is a pretty safe bet. I honestly can't name any investment firm with double digit returns YoY for more than a decade or two that doesn't have bodies in the closet. Even Berkshire Hathaway pretty much tracks the S&P500 the…

> If they haven't proven legitimacy and societal benefit, assuming fraud is a pretty safe bet. This is absurd reasoning. It's like saying Apple has such large profit margins on their iPhones that they must be either cooking their books or in cahoots with someone somewhere. It's just a phone! How hard is it for a competitor to make a comparable phone?! They've had 15 years to copy them! > I honestly can't name any inv…

As mentioned earlier: phones and financial services are not similar. The market for consumer electronics hasn't fundamentally threatened the stability of the US government every decade for the past 5 decades. I can pick up an iPhone and use its features. It's clearly a complicated device with years of widely publicized, widely understood iterations. Renaissance Technologies Medallion fund may as well be an insider trading scheme for all the public can tell. We have no ability to introspect it. It's a complete black box. And the other financial services provided by Renaissance are garbage.

> They provide liquidity and sometimes take liquidity but only tend to hold those positions for seconds or minutes.

Do HFTs issue or purchase billions of dollars of debt with the express goal of market liquidity? No? So why do you use the term "providing liquidity?" You know "providing liquidity" isn't the same thing as "frenetically purchasing and selling derivatives," right? If these funds didn't exist, I've seen no compelling evidence markets would so much as hiccup. I've seen plenty of compelling evidence that much of financial services in this country are a net drain on its productive capacity.

> We do not need time. We already know.

We'll have to agree to disagree. I think far too much activity happens in financial services, that they aren't nearly boring enough. I harken back to the 70s/80s back before massive deregulation in financial markets, when financiers had to get two jobs just to tread water. I suggest we might revisit such a time. Time will tell!

Re: Understanding Jane Street

#369

Post by kristjansson »

samatman wrote: post #252
Bluecobra wrote: post #232

Earlier quoted context omitted.

Even microwave is slow, they are using shortwave radio for certain signals. Maybe neutrinos are next? https://sniperinmahwah.wordpress.com/2018/05/07/shortwave-tr...

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…

The game is repeaters and path lengths, not the speed of the medium itself

Re: Understanding Jane Street

#370

Post by bmitc »

paulpauper wrote: post #76
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…

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…

RenTech is also a bit different than Jane Street. While smart people no doubt work at Jane Street, some very serious brains have worked at RenTech and contributed to Medallion, people like Elwyn Berlekamp.
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