At Jane Street, we have some experience using FPGAs for low-latency systems–FPGAs are programmable hardware where you get the speed of an application-specific integrated circuit (ASIC) but without being committed to a design that’s burned into the chip. It wasn’t so long ago that FPGAs were expensiv...

At Jane Street, an “expect test” is a test where you don’t manually write the output you’d like to check your code against – instead, this output is captured automatically and inserted by a tool into the testing code itself. If further runs produce different output, the test fails, and you’re presen...

Web browsers have supported custom plug-ins and extensions since the 1990s, giving users the ability to add their own features and tools for improving workflow or building closer integration with applications or databases running on back-end servers.

Jane Street has been posting tech talks from internal speakers and invited guests for years—and they’re all available on our YouTube channel:

When we set up a schedule on a computer, such as a list of commands to run every day at particular times via Linux cron jobs, we expect that schedule to execute reliably. Of course we’ll check the logs to see whether the job has failed, but we never question whether the cron daemon itself will funct...

The cover image is based on Jupiter family by NASA/JPL.

Updates and a New Run

My job involves a lot of staring at large numbers, mostly latencies in nanoseconds, and picking out magnitudes like microseconds. I noticed myself constantly counting digits in my text editor, in my terminal, and in Jupyter notebooks in my browser.

Jane Street’s intern program yet again is coming to an end, which is a nice opportunity to look back over the summer and see what they’ve accomplished.

Back when the Raspberry Pi was first released in 2012 Michael Bacarella wrote a blog post on using OCaml and Async on this little device. Since then installing OCaml via opam has become a pretty smooth experience and everything works out of the box when using Raspbian – the default Raspberry Pi dist...

As our Tools & Compilers team has grown, the kinds of projects we work on has become more ambitious. Here are some of the major things we’re currently working on:

Now that OCaml 4.08 has been released, let’s have a look at what was accomplished, with a particular focus on how our plans for 4.08 fared. I’ll mostly focus on work that we in the Jane Street Tools & Compilers team were involved with, but we are just some of the contributors to the OCaml compiler, ...

Welcome to another post in our series of how to use OCaml for machine learning. In previous posts we’ve discussed artistic style-transfer and reinforcement learning. If you haven’t read these feel free to do so now, we’ll wait right here until you’re done. Ready? Ok, let’s continue …

At Jane Street, for the last several years, we have been increasingly interested in machine learning and its many use cases. This is why it was exciting when earlier this year myself and a few of my colleagues had the opportunity to attend the AAAI 2019 conference. We’d like to take this space to sh...

If you haven’t heard of it, Depth First Learning is a wonderful resource for learning about machine learning.

Jane Street is sponsoring this year’s MakeMIT hackathon, and we wanted to create a prize for the winners that would do justice to the maker spirit of the competition. As makers ourselves – it’s not unusual to find a “software” engineer here who hacks on FPGAs or who has a CNC machine at home – it fe...

At Jane Street, over the last few years, we’ve been increasingly exploring machine learning to improve our models. Many of us are fascinated by the rapid improvement we see in a wide variety of applications due to developments in deep learning and reinforcement learning, both for its exciting potent...

In a previous blog post we detailed how we used OCaml to reproduce some classical deep-learning results that would usually be implemented in Python. Here we will do the same with some Reinforcement Learning (RL) experiments.

This blog post is about an interesting detail about machine learning that I came across as a researcher at Jane Street - that of the interaction between L2 regularization, also known as weight decay, and batch normalization.

At Jane Street, our web UIs are built on top of an in-house framework called Incr_dom, modeled in part on React’s virtual DOM. Rendering different views efficiently in response to changes made to a shared model is a quintessentially incremental computation—so it should be no surprise that Incr_dom i...

At Jane Street, we often work with data that has a very low signal-to-noise ratio, but fortunately we also have a lot of data. Where practitioners in many fields might be accustomed to having tens or hundreds of thousands of correctly labeled examples, some of our problems are more like having a bil...

Last year we held a machine learning seminar in our London office, which was an opportunity to reproduce some classical deep learning results with a nice twist: we used OCaml as a programming language rather than Python. This allowed us to train models defined in a functional way in OCaml on a GPU u...

Yet again, intern season is coming to a close, and so it’s time to look back at what the interns have achieved in their short time with us. I’m always impressed by what our interns manage to squeeze into the summer, and this year is no different.

With the external release of OCaml 4.07.0 imminent, we in Jane Street’s Tools & Compilers group have been planning what we want to work on for inclusion in OCaml 4.08. These days OCaml uses (or at least attempts) a time-based release process with releases scheduled every 6 months. We’re trying to av...

Expect tests are a technique I’ve written about before, but until recently, it’s been a little on the theoretical side. That’s because it’s been hard to take these ideas out for a spin due to lack of tooling outside of Jane Street’s walls.

One of the joys of working at Jane Street for the last 15 or so years has been seeing how our software stack has grown in scope. When I started, I was building pretty narrowly focused systems for doing statistical research on trading strategies, and then building systems for executing those same str...

Imagine a system for editing and reviewing code where:

Interested in learning OCaml? In the NYC area? Then this might be for you!

People often think of formal methods and theorem provers as forbidding tools, cool in theory but with a steep learning curve that makes them hard to use in real life. In this post, we’re going to describe a case we ran into recently where we were able to leverage theorem proving technology, Z3 in pa...

As Jane Street grows, the quality of the development tools we use matters more and more. We increasingly work on the OCaml compiler itself: adding useful language features, fine-tuning the type system and improving the performance of the generated code. Alongside this, we also work on the surroundin...