JS | Understanding The Metric: Weighted R-squared

In this kernel we take a deep dive into weighted $R^2$ for the 2024 Jane Street competition.

Due to the interesting structure of the competition weights in the training data we will also learn more about the Gamma Distribution.

• RMSLE

• Quadratic Weighted Kappa

• Spearman's Rho

JS | Day 0 EDA and feature importance

• The train.csv file is big
• responders
• weight
• Cumulative return
• Time
• The features.csv file
• The first day ("day 0")
• Are there any missing values?
• Is there any missing data: Days 2 and 294
• Permutation Importance using the Random Forest
• Is there any correlation between day 100 and day 200?

JS | Plotting on Jane Street

JS | Inference GBDT with lags (SingleModel)

Honorable Mentions 🌟

🔸 JS | Online retrain (POC)

🔸 JS | Transformer

🔸 JS | Reverse Engineering the Responders

Practical