Re:Jane Street Market Prediction ($100k Kaggle competition)
by ciamac on Tuesday November 24, 2020 @04:19PM
(#25203110)
That DB/rentech basket option is a tax avoidance scheme. It has nothing to do options pricing and concepts like delta, gamma, etc.
Re:Jane Street Market Prediction ($100k Kaggle competition)
by fractionalhare on Tuesday November 24, 2020 @04:27PM
(#25203179)
Yeah, yeah. That controversy has been litigated on HN a dozen times already, I'm not going to rehash it. Do you dispute my primary point here? If so, why?
(Also, even if I agree it was purely intended for tax avoidance, I don't understand why you think that would obviate having to understand how the options work intimately well).
Re:Jane Street Market Prediction ($100k Kaggle competition)
by abhinav2019 on Saturday November 28, 2020 @12:55AM
(#25235614)
I don't really think you can categorize that they worked well as these companies are market maker. This is all the way more evident in 9 out 10 times they were profitable. It seems more as that options were 9X strike.
Re:Jane Street Market Prediction ($100k Kaggle competition)
by nojito on Tuesday November 24, 2020 @03:49PM
(#25202864)
Yup.
https://www.rentec.com/Careers.action?computerProgrammer=tru...
They look for programmers with knowledge of Tax and Risk Management.
Re:Jane Street Market Prediction ($100k Kaggle competition)
by reese_john on Tuesday November 24, 2020 @05:57PM
(#25203996)
How much do you think does their advantage stems from having high quality proprietary/alternative datasets?
But all of this has to be utilized in the context of the data. The reality is that you're not going to develop a sophisticated options trading strategy without a strong understanding of what an option (and more generally, a derivative) is. You can't develop a viable statistical arbitrage strategy just by treating market microstructure as a blackbox signal to be solved with e.g. Fourier analysis. You can certainly find an edge in using fundamentally superior methods of analysis, but you still need to know what that data represents in the context of the market.
Don't be fooled: people working at firms like RenTech have a strong understanding of the underlying finance. It's just that they learned it on the job, because the ethos at these firms is that learning fundamental theory in math and statistics is harder than learning fundamental theory in finance. You don't have to take my word for it though. Read about one of the few strategies of RenTech's which has been publicized: https://www.bloomberg.com/opinion/articles/2014-07-22/senate.... Deutsche and RenTech didn't team up on this strategy (to fantastic success) by treating basket options as some kind of blackbox abstraction devoid of delta, gamma, theta and vega.