Jane Street

Posted on November 29, 2017 by Spencer

Met Muriel in the morning, was almost too tired to speak German but struggled through :)

Off to Quantum Information, another struggle. I had material to catch up on and the equations started to look like Greek again. Nearly collapsing, I staggered out of class for a quick lunch, where I resolutely started reading lecture notes.

Basketball after that was awesome! I made a number of layups and plays over my opponents which was satisfying. Good intense game.

Bus back home, read more Quantum info. Worked on randomized algorithms.

At 6, went to this Estimathon run by a trading firm called Jane Street. They made the game as convoluted and full of exploitable anomalies as possible, which made sense for a trading firm. We made teams of 5. There were 13 questions, and 18 slips to estimate the answers on, so you could re-answer exactly 5 questions. And we had a twisted cost function, which multiplied the sum of widths of the correct (answer-containing) estimation intervals you submitted with an exponential cost in wrong answers. It was really easy to overweight the exponential part, pick wide intervals, and get pwned. We almost did but ended up coming fourth. Then ate pizza and drank beer with my teammates. Met a guy who had applied to study abroad at the UW (crazy!).

Got to talk to the trader/dev who ran the event. The firm sounded cool; all algorithmic trading on hour-to-millisecond timescales, all the firm’s own money, their own custom-built software system running on OCaml, a functional language similar to Haskell. The guy said even if they had a human-picked, longer term trade, they’d run it through the system so that the computer could optimize the details of the buy and sell over the little fluctuations.

I went home, hung out with Ruth and Janna for a bit (Janna gave me some tips for Budapest, where her boyfriend had studied). Then I went upstairs, applied for the Jane Street internship (and realized I’d seen an ad for them on Slate Star Codex!) Checked my email and found my Google internship application had been rejected without even getting an interview–I was really surprised. Wrote an email to the recruiter asking for 10 minutes in front of a whiteboard, in light of my academic accomplishments.

Worked some more on Randomized Algorithms, wrote this log, did some laundry. Flight to Budapest tomorrow morning for the Putnam!

Gratitude Journal

  1. Fun meeting with Muriel
  2. Got to talk to the Jane Street guy
  3. Lit basketball
  4. Tasty lunch at Honggerberg
  5. Got sweet tips from Janna on Budapest

Little wins

  1. Didn’t give in to morning exhaustion, kept throwing myself at Quantum Information, kept the momentum long enough to play awesome basketball!