3 ms·

You are ignoring execution, infrastructure and real-market conditions. The model is just one part of the game.

• quantumofalpha 6y ago
  +1 so much this Jane Street is a high frequency firm. In this domain execution & infrastructure matters as much if not more than your algo secret sauce. What good is kagglers' favorites giant boosted bagged lightgbm/xgboost/neural ensembles which will take seconds to predict, when my FPGA or ASIC running in the same rack as exchange's matching engine can make a million trades in the meantime with a much simpler strategy involving nothing beyond freshman math (take a cue in XTX Markets' firm name, for example) And in the longer timeframes, the edge is more often than not in the data than training algo.