2-tpg · HackerTrans

6 yıl öncediscuss

You can aim for both. If you just aim for profit, then you can get lucky with just average, or even random, betting. If you find a weighted coinflip (which is not impossible), provided by how many times you can flip that coin, you will see steady systematic profits. Of course, majority of day traders are getting owned by the big players, and they would do better doing more reasoned and long-term investments. Most day traders are not even using predictive models though.

2-tpg

6 yıl öncediscuss

I actually give it 48 hours before the top 3 equals what Jane Street can do in-house on this exact same dataset. A week before the reasonable plateau is reached, and a month or so before the absolute most information is squeezed out.

2-tpg

6 yıl öncediscuss

The winner model will likely outperform anything that Jane Street could come up with this 130 feature set. With 3000+ competitors, the top 10 will likely be superior to what Jane Street can do in-house. Then an ensemble of the top solutions will be the best possible model anyone can come up with.

2-tpg

6 yıl öncediscuss

Using purely historical price data it is harrowingly difficult. There are 130 anonymized features, so that's unlikely to be only price data. It could include information on the order book, correlated assets, fundamentals, vectorized/embedded text, etc.

Besides, I bet you can train monkeys to do (slightly) better than blindfolded random throwing. Even with public data (replace satellite images with Youtube mentions, or number of links moving into a company website) it is very possible to do better than average guessing on quite a lot of assets (especially smaller and newer markets).

Most hedge funds, even with specialized expensive non-public data, are not magical unicorns. Their quants really may just run a gradient boosting machine and leave it at that. Some hedge funds even prefer linear methods, because this lowers risk through lower variance. Such models can be beaten by experienced Kagglers for sure. For one, I did.

2-tpg

6 yıl öncediscuss

Posting notebooks can get you upvotes, which contribute towards becoming a Kaggle (Grand)Master. It is also a good way to "win" some attention and goodwill, without spending months trying to actually win the competition itself. Publishing Notebooks also helps you improve your coding/presentation skills, for a popular notebook needs to be useful for a wide audience (or fairly competitive).

The best techniques, certainly coming from teams, are hardly ever published as Notebooks. But yes, many winning teams will eventually incorporate some of the information in the Notebooks, if only to hedge against the others doing the same.

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