> Kaggle encourages a domain agnostic approach to modeling, in the sense that participants use sophisticated machine learning and statistical methods but typically have no domain expertise in the underlying data.
Yes this is accurate and put very well. This is so much the case that if you have a strong background understanding of the field, the ML part can actually be picked up quite quickly or contributed by someone else. There are a few notable users who are both domain and ML experts and they tend to absolutely clean up in their field. I'm thinking of a couple of med students in particular who are formidable in every medical imaging competition.
As a frequent Kaggler (perhaps too frequent... it's a bit addicting, in a way I'm sure others on HN will understand), I was fairly intrigued to see this one pop up in the competition list a few days ago. Finance shops have tried their hand at Kaggle before, but I think they've normally been out of their domain. e.g. Two Sigma recently did a reinforcement learning game competition.
I'd caution the HN crowd not to expect production-level quant models out of this, like I'm seeing some doing in the comments already. Kagglers are excellent machine learning practitioners and the models that come out of many competitions are top-notch stuff, often making their way into research papers. But this is a short competition on limited data in a non-real-world scenario. The winning models will be very interesting educational exercises and probably wonderful recruiting material for Jane Street, but won't be the underpinnings of a new fund.
That said, I can't wait to see what comes out of this one. It ticks all of my competitive boxes :)
My point is the winning model of the competition will not be worth anything beyond the prize. It will only be the best amongst other kagglers, almost none of whom are domain experts in finance. It will not stand a chance in "prod".
You don't have to (and certainly won't) beat all of Jane Street. The goal is to beat everyone else on Kaggle. A still difficult but much more accomplishable task.