Probability and Markets by Jane Street [pdf]

Re:Probability and Markets by Jane Street [pdf] by antegamisou on Friday June 16, 2023 @09:26AM (#36356222)

For the experts in the thread complaining about the simplicity of the excellent book in the OP, here's an exciting reading for you:

    Statistical Consequences of Fat Tails: Real World Preasymptotics, Epistemology, and Applications by Nassim Nicholas Taleb

https://www.amazon.com/Statistical-Consequences-Fat-Tails-Pr...

Beware that it may be way more advanced than what you'd expect though.

[ Parent | on HN ]

Re:Probability and Markets by Jane Street [pdf] by Err_Eek on Friday June 16, 2023 @10:34AM (#36357185)

Personally -- I couldn't get past the first 2 chapters of the book. The notations it introduces are pretty unfamiliar for a newcomer and it quickly becomes really hard to follow. I genuinely would like to hear from somebody who managed to go through the entire book above, and what their main takeaways were (from the chapters that follow the two introductory ones).

The non-technical introduction chapter is pretty easy to follow, and I would recommend reading it.

[ Parent | on HN ]

Re:Probability and Markets by Jane Street [pdf] by lifeonlars on Friday June 16, 2023 @11:02AM (#36357752)

The rule of thumb with mathematics books is that either you skip the first 2 chapters and read the whole thing, or you only read those 2.

[ Parent | on HN ]

Re:Probability and Markets by Jane Street [pdf] by max_ on Saturday June 17, 2023 @02:40PM (#36373122)

There is a Technical Incerto reading group (this book) that you may find useful.

https://www.techincertoreadingclub.com/

[ Parent | on HN ]

Re:Probability and Markets by Jane Street [pdf] by Utkarsh_Mood on Friday June 16, 2023 @10:46AM (#36357423)

would you recommend any books/resources before jumping straight to this? Thanks!

[ Parent | on HN ]

Re:Probability and Markets by Jane Street [pdf] by antegamisou on Friday June 16, 2023 @01:10PM (#36360157)

Anything that would help build a strong probability theory background.

Assuming you have some freshman-college math literacy, here are a few great introductory books to Probability theory:

    Introduction To Probability by D. Bertsekas & J. Tsitsiklis

https://www.amazon.com/Introduction-Probability-2nd-Dimitri-...

    Elementary Probability Theory: With Stochastic Processes and an Introduction to Mathematical Finance  by K. L. Chung & F. AitSahlia

https://www.amazon.com/Elementary-Probability-Theory-Introdu...

    An Introduction to Probability Theory and Its Applications Vol. 1 by W. Feller

https://www.amazon.com/Introduction-Probability-Theory-Appli...

I'm sure there are some great video lectures on the subject as well, but unfortunately I can't point you to any relevant material since textbooks is what I used when I was in college. But if I had to guess, the latest MIT OCW material that has video lectures available would be sufficient.

[ Parent | on HN ]

Re:Probability and Markets by Jane Street [pdf] by wenc on Friday June 16, 2023 @01:17PM (#36360281)

The takeaways from NNT’s books are summarized in the top Amazon review. The summary is actually pretty useful and relevant and highlights some of the pitfalls of applying common statistical concepts to fat tailed distributions and the change of mindset that is needed.

We tend to gloss over assumptions like finite variance or iid but they matter a lot for reasoning correctly on fat tailed distributions.

Also the law of large numbers only works if you don’t have a game over scenario or fat tails.

https://www.amazon.com/gp/aw/review/1544508050/RMD3OUG0WQWWY

[ Parent | on HN ]