Hacker News Board Hacker News, browsed like a classic message board
Live data from Hacker News

Understanding Jane Street

thediff.co

Post reply on HN
Print view View original

71–80 of 392 posts

Re: Understanding Jane Street

#71

Post by tsimionescu »

paulpauper wrote: post #33
quickthrower2 wrote: post #12

Earlier quoted context omitted.

So you are doubling your money each year? Do you have a forward strategy to keep that up? Looking for people with good track records is a terrible way to choose traders. See: https://m.youtube.com/watch?v=zv-3EfC17Rc Tldw: meets a person, picks 5 horse winners, gets then to invest. How did he pick 5 winners? Emails 1000s of people, using a permutation per person. The person who sees the 5 wins thinks he has a system.…

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…

There are a lot of assumptions in this comment, and solid math based on faulty assumptions is not going to be a good long-term strategy.

The markets are not predictable based on past history. Whenever you have a model that shows they are, you are either cherry-picking or have been lucky. Even more, there are far too many external phenomena affecting the fortunes of an individual company to be able to reliably make the kinds of bets you are taking about.

> After crashing, the above formula assumes that TQQQ races higher in order to maintain it's long-term CAGR, so buying the dip helps a lot.

This is the funniest assumption by far. All (public for profit) companies try to "race higher" at all times. Sometimes they succeed, sometimes they stagnate, sometimes they crash. Right after a crash is when you have the highest chance of it never coming back up. The CAGR is a historical observation, not some kind of parameter of a forward-looking model.

Re: Understanding Jane Street

#72

Post by bitanarch »

julianeon wrote: post #32

Something I don’t understand: Why haven’t their gains been arbitraged away? Conceptually what they do seems simple enough; and presumably you just need capital to do it. Hell, their own former employees could theoretically compete against them - as could many traders who would pay to learn those strategies. So why are they still making so much? I don’t understand why their “advantage” hasn’t been arbitrated away into…

Imagine someone outside of the tech community thinking along this line...

"Making high performance CPUs that are also highly power efficient should make a ton of money. Why isn't everyone doing it?"

Well, turns out that isn't exactly something that a small group of engineers can whip up in a garage anymore. Same goes for highly efficient market making systems.

Re: Understanding Jane Street

#73

Post by Inconel »

simtel20 wrote: post #67
Inconel wrote: post #49

Earlier quoted context omitted.

Don’t mean to hijack this thread but seeing as you have a background in the industry I was hoping you could answer a couple questions I had: 1. What do these firms typically look for in support staff? I’m asking about non trading/quant roles like recruiting/ops/facilities management? 2. What’s the potential upside, not specifically financial, but more along career growth and opportunities for different roles within t…

Often a background or a degree from a prestigious university in the arts. Bringing culture and energy to the office that focuses on people and humanity instead of competitive math type geeks. Some firms like to feel like patrons of the arts giving writers actors poets etc a better job than waiting tables while exposing the firm to there influences.

Very much appreciate the insight. I don’t have good odds as a formerly homeless high school graduate, then again I wouldn’t have seen myself in my current job 5 years ago, so will most likely give it a try anyway.

Re: Understanding Jane Street

#75

Post by benreesman »

melony wrote: post #68
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…

Since this is Hacker News, let's not beat about the bush. Here's a channel that actually go through derivatives pricing without hiding the math: https://youtube.com/c/QuantPy/videos

Thank you kindly for what looks like a great resource!

I've been trying to put myself through YouTube night school on some of this stuff, and MIT OCW has great resources as well at significantly less cost than going to MIT ;)

This is a pretty reasonable jumping off point for their corpus of financial engineering stuff: https://www.youtube.com/watch?v=HdHlfiOAJyE.

I'm fortunate enough to work with a person who actually understands derivatives trades with some sophistication, but that's a happy accident and the more people have access to good online resources the better!

Edit: I forgot to mention this book (https://www.amazon.com/Algorithmic-Trading-DMA-introduction-...) in the spirit of something more technical than the general-audience one I linked above. I have some nitpicks with it as well, but I've gotten value out of it.

Re: Understanding Jane Street

#76

Post by paulpauper »

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 after 30 years stuff would leak and the edge would be gone. Employees are paid enough to not disclose, and likely are divulged only a small part of the overall method/system, so only a handful of employees will know how it works in its entirety. What it's doing has to be on a very large scale and in a big and liquid market to be so consistent and profitable.

Re: Understanding Jane Street

#77

Post by j7ake »

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 scientifically, but you’ll be far ahead financially.

Re: Understanding Jane Street

#78

Post by benreesman »

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…

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 mystique either ;)

It's interesting that their other funds are far more mundane in terms of performance and last I heard Medallion can't hold much capital (~10B or so I've heard in whispers), but there is definitely something interesting as hell going on there.

Near as I can tell it's the hardest job to get on Earth. Rumor mill is that they pre-screen candidate based on their citation record in the literature, though that's obviously hearsay and I don't know if it's true.

Re: Understanding Jane Street

#79

Post by benreesman »

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…

Not to mention that tightening spreads, deepening books, and equalizing prices across regulatory/financial/geographical regimes is a pretty serious social good in its own right.

I understand that (as the article mentions) these folks clean up when the wheels have already come off anyways, but day-in-day-out, the spread on AAPL is one tick ($0.01) nowadays, rather than the 1/8ths that you'd get quoted by some loud guy from Jersey 30 years ago.

Citations on this stuff are hard to come by, but it does seem at least directionally true that these advanced actors are making less money over time even as the problem becomes harder. If that's true, it's money not going into the pocket of a middle-man somewhere. Multiply that by everyone's retirement account and we're talking real money.

Re: Understanding Jane Street

#80

Post by Inconel »

benreesman wrote: post #78
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…

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.
Post reply on HN