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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 sup

• quantumofalpha 6y ago
  On a frozen feature set and evaluation dataset, sure. 3000+ competitors vs a few employees at JS who prepped this data. In light of very noisy data, the chances are not really on JS side here. But would the best model still be as useful on novel out of sample data is very questionable Market prediction is low signal-to-noise problem, what's much more likely the contest will be an exercise in overfitting and the final shake up will be yuuuge.
• mijoharas 6y ago
  I'm just fairly skeptical of this comment. I understand that there are more models being thrown at the solution space, but if you think about people at jane street, while they don't have 3000 employees working on these, they've got a few hundred, and then if you think about the _time_ they spend on (the real, not this kaggle competition simplified stuff) models, I think there's a good chance that they'll have a significant advantage in man-hours (it's a full time job). Also, while there is a high standard to people doing kaggle competitions, I think you can easily discard >90% of them as not being super competitive, then your 3000 models becomes 300, and those 300 have less than 1/3 of the time spent on them that jane street-ers are spending on their models. (I realise it's not an apples to apples comparison, as the models they're working on are different since this is a toy example, but you said "will outperform anything that Jane Street _could_ come up with)