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Treehaus.

If you have to ask...

That's funny. We used Goldstein my year in Ph106. We covered Classical Mechanics in 10 weeks. Granted it wasn't the whole book.

Pretty much.

Because giving up 5 years of your life to do incredibly hard work for little pay and with poor job prospects is so much "fun" to most people. Again, not everybody has the same numeraire, but many find out midway through their PhDs that doing a PhD is not aligned with their numeraire, and thus...

We're talking about obsolesence, not number of people studying. For a high percentage of those studying Shakespeare, that knowledge is obsolete the moment they pass the course. You could say the same about QM (the specific knowledge certainly become largely obsolete the moment I decided I didn't...

So Quantum Mechanics may become obsolete but Shakespearean theater won't?

What's a PhD for? How hard is it to get a tenure track position?

I think that the economy is not so fat anymore that purely intrinsically motivated education is viable. At least not with the expensive US system. I think a lot of the degradation of education the last 10-20 years has to do with the over-emphasis of such intrinsic motivation, an example of...

You've now spent 2 consecutive posts not clarifying your question. Are you really so averse to typing? I can guess what you mean, but it's likely to be wrong. Are you more interested in discussion or being frustrated? So you're asking... if MOOCs are taught just for the joy of teaching? Or if...

I agree here. We might see further stratification akin to junior college, where students take their first 2 years at a cheaper local college and then transfer. Instead it might be MOOCs to establish basics, then apply "transfer". Certainly upper level courses are not appropriate for this...

That doesn't help at all. You asked about intrinsic educational qualities, but you're redirecting to intrinsic motivation (which I understand well enough). If you want me to answer a question, clarify the question.

Even in this case, think about the impact on the appropriate sections of the student population. Slackers -- same result as a traditional course (failure to really learn anything), but costs less (net positive value). Mid level -- Maybe slight marginal loss against a huge lecture course w/300...

I don't understand the bent of this question, you'll have to elaborate.

Yes, but what any given student derives from that quality is highly convex, given that so many MOOCs are free. All I need to get some small bit of value from a MOOC is sign up (5 minutes) and look through the syllabus for gaps in my knowledge (5 minutes), then watch the appropriate lectures (no...

I think you guys are missing the point, which to me is NOT to replace traditional courses, but to supplement them. Talking strictly about the STEM material, it's tremendously helpful to have people organize the information into a coherent course, including assignments and exercises, and a huge...

Don't underestimate the power of being willing to bet on what you say. I listed that second option for a reason.

I see three options: learn to communicate better as Ken says, bet money on your calls, or go to a place that does understand you.

Yes. They are synonymous.

Everybody should keep in mind that MFE is a practical degree oriented towards getting a job in the field. You should be trying to go for those same jobs straight out of undergrad. IBD is generally not right because it's focused on company valuation. Focus is on IPO/equity offering, M&A advisory...

Also, it's always best to get an internship / job in finance straight out of college than go straight to MFE. That should be your #1 option. Your "MFE pre-reqs" will help with that. Experience helps many things, including employability, financial situation, focus should you actually decide to...

The SAT score thing is irrelevant at this point, GRE will be what matters. There are any number of reasons that SAT score was on the low side (language difficulties, lack of prep, etc) that should be overcome during college and reflected in the GRE score. QuantNet has a list as well as a...

Your competition in this space is basically q/kdb+. They do many many things right, including ETL (much less overhead for this than other systems I've used), complex math, and being quant friendly. There is no layer middle between the DB and the language. And the basic type system +...

The best course of action is to find an intership or some type of work/study. The application of the material is what helps you retain it.

Yes, there is likely going to be a culling. There are so many results that many of them just feel like noise. In a broader sense, the structure of academia itself needs to change. Oh, and in case OP hasn't realized it: no a pure math PhD is not worth it.

As I perceive it, the role of pure math is to distill and abstract. Reduce proofs to require as weak assumptions as possible, so that commonalities can be seen, then create an overarching framework around that. So the inevitable progression of pure math is to be more and more abstract. But...

Not sure why you are doing this -- VaR is a risk management tool to be used on the PnL of a trading strategy. It is not an academic exercise. If you just want to get an X percentile, then yes, you piece together the price series, for which there's pretty much only one method -- you add back the...

@Andy Nguyen, I remember seeing a version where a numerical score was reported -- is that still around? Honestly, I think that's more interesting than the ranks specifically. Rankings are for bragging rights; the score and deriving tiers/clusters based on that score are what should really...

It's good that you are profitable day trading, big plus. However, when you go and try to implement a strategy, you realize that you do a lot of things intuitively or in your head, and these things can be exceptionally hard to quantify and/or program. Even if you can write down/quantify the...

http://www.mergersandinquisitions.com/why-you-actually-work-so-much-as-an-investment-banker-yes-even-in-a-recession/

Sorry, neither of you guys are making any sense as far as how you're interpreting this question. First it's the smallest rectangle, then you have to find the maximum (wtf?) area of the rectangle given x^2 + y^2 = 1. Then financeguy throws in Lagrange multipliers, which seems like complete...

There are two extreme cases to consider, one in which the first square has all the area except some small epsilon. The other is where both squares are exactly equal. When they are exactly equal, we have 2 x^2 = 1 <=> x = 1/sqrt(2). Then the total horizontal length is 2/sqrt(2). This is the...

1 X 2/sqrt(2)

See you in Toronto.

https://en.wikipedia.org/wiki/Emergent_gameplay#Game_financial_institutions The problem is, as Lyosha obliquely put it, scale. Opportunity cost.

Standard practice is to use T = 1 as one year (so that volatility numbers seem "normal") and recalculate everything else based on that. The day count convention can vary, for example 252 trading days vs 365, as can the intraday convention (390 minutes in a NYSE trading day, but it could be 24...

Fractional Brownian Motions are long memory/path dependent.

taH pagh taHbe' Also I had to Google 26 + 6 = 1. And here I was thinking it was actually mathematical.

LOL, that guy has an amusing blog. Question is, what do we do about all this?

Studying for CFA level 2 doesn't exactly constitute a "gap".

Oh that's a whole object system right there.

Let over lambda over let over lambda.

Capped leverage ratios. Student loans are leverage after all.

From what I've heard, the big name sports programs typically self fund, as the schools where this is important have alumni booster clubs shelling out a lot of $$, plus promotions/advertising/television. So while it's "unnecessary spending", it doesn't equate to increased costs.

https://www.quantnet.com/threads/master-reading-list-for-quants-mfe-financial-engineering-students.535/ Read the first career guides/overviews. Then come back. You need to inform us a bit better for us to offer reasonable opinions.

I didn't answer originally because this is a loaded question. The real question is how low of latency/high throughput do you need? For some things, no DB is not fast enough - you will need to keep everything in memory in the main trading thread.

Think of it as fun, not work ;)

Why not, the arbitrage should still hold? Buy one, short the next. If it's a corporate, you might only have an approximate match and there'd be default risk, so I'd assume you'd hedge that with CDS. Again, I'm only spitballing, FI is not my field.

Oh sorry, my question was rhetorical - there can be many things you can interpolate linearly. I believe the problem with doing it on YTM is it can potentially introduce forward arb (I haven't done FI stuff in a while).

There are a lot of variations on even linear interpolation. What exactly do you interpolate linearly? It can be spot rates, forwards, bond prices themselves. And then there are higher order interpolation methods.

Well lots of HFT is heavy heavy tech where maybe the PnL is 90% based on technology and 10% on quant stuff. Certainly your upside isn't capped there and you'd be working with some pretty interesting tech (depending on your interests). So that's where trading and tech would intersect. In other...

Yes, your prospects look pretty good, although there will be an obvious bias towards putting you in a coding or technology role. These can still pay pretty well, but don't all have massive upside (as opposed to trading or startups).

Metatrader4

Then the initial price should be \(c S(0)\) discounted at \(r\). I don't understand your ambiguity with this problem. You sell the option for \(c S(0) e^{-r t_1}\), which is exactly the amount of cash you need to put on your hedge. There doesn't have to be an additional cash position, self...

You're selling the option for \(X(0)\), that's your cash position to buy \(c S(0)\).

Better start networking in the Energy industry down in TX. Should be plenty of stuff down in Houston. Also, I remember that A&M sends a team to RITC, maybe you can look at doing that. Yes it's pretty bad that you've taken probability and stochal but haven't applied them. Maybe take up poker.

Sounds like you're going to be working for a prop shop. NY is reasonably affordable away from Manhattan, or in Upper Manhattan. I can't vouch for Fordham's program, but when you have no work experience, experience is more important to get.

I'm in.

That UCLA article is fascinating.

No, according to Nanex, the reaction came 17 seconds after the tweet, meaning it was humans who triggered it.

The good shortcuts tend to be expensive.

Immigration. Being able to stay in the country.

The same thing would have happened with human traders. The scared would have pulled their quotes, and the aggressive would have traded it down. Might not have been as fast and dramatic, but we would still have had impact.

I mean programming as in automation of things that are very inconvenient to do manually (passive/active execution comes to mind). Lyosha is right in that Excel VBA could do it, but that falls under what I mean by programming. I agree with him that you probably won't be creating an algo. You...

There is a lot of C++ because a lot of trading systems and APIs are implemented in C++, and the majority of such jobs are along those lines. If you need intraday capability, the chance of building your system in pure R (or even Rcpp) is negligible. Reliability, error recovery, threading, GUI...

Inverse? You just verified like 2/3 points I made.

Depends on the MFE. Pricing probably isn't that relevant. Stochastic/programming/risk management/statistics are. So you'd want to lean towards an MFE more oriented to these things vs pricing. There won't be that much stuff with signals (as the old saying goes - those who know don't say, those...

I'd say a plus, but MFEs are typically more directed towards those looking to switch jobs or looking for one.

You did phrase it wrong. I assume you mean getting implied probabilities from options. A vertical spread is approximately proportional to the probability that the underlying will finish "above" the average of the strikes (sign adjusted). The closer the strikes the better the approximation...

It was Scheme at Caltech when I took the intro course. I know it has since changed (last 2-3 years) to Python.

So you're saying (for the layman of course) that assembly language is just as powerful as C++? My point there is that you have to learn another possibly whole language if somebody in your group decides to go crazy with templates. It is again, an expert vs beginner problem. Experts will find...

I've had some arguments about this point. C++ specifically has the issue that it is so big with so many styles that it can be hard to understand. Suppose for example you are an beginning/intermediate C++ programmer thrown into the fire and asked to debug some legacy code. With C++, you could...

I learned Scheme as my first language, and I'd recommend against it. You really don't appreciate it until you've used a lower level language. It just seems pointless.

Bad analogy. Python would be like a machine that can automatically do surgery in the 20% of standard cases that come up 80% of the time. Learning Python would then be analogous to learning how to use that machine. It's just that surgery has not evolved past the ASM/C stage yet.

Actually, I'd say Python + C at the same time. It helps to compare and contrast the two, no culture shock that way. Then C++ after reasonable C level.

Right, make that 5 buckets... C#/VBA - Monitoring/Reporting

Yes, that is part of its appeal. Although learning one less language is not that much of a benefit.

Yeah, I glossed over the database part - guy has to learn to walk first.

For sufficiently complex operations, you'd want up to four languages. C/C++ - low level infrastructure Perl/Python/Ruby/bash - glue code/operations R/Matlab/Python - research SQL/NoSQL - data access Pick one from each bucket. Prioritize based on job interest.

Solutions: 1. Don't use market orders (use limitable market). 2. Subscribe to depth 3. See #1. It might be abusive but also really simple to get around. No broker uses simple market orders anymore. If your broker does, fire them, they obviously learned nothing from the Flash Crash.

Obviously there is liquidity taking HFT and obviously it is possible to manipulate with it, but if you do the back of the envelope calculations, there is no way the manipulation takes place on the kind of scale most people imagine. It is just too expensive (spreads, exchange fees) and also...

That specific pairs trading scenario you mention does increase correlation, but it also increases profits for fundamental traders who are willing to trade it. My hunch would be that the fundamental traders are far more likely to break the pairs algo's bank than the other way around (stop...

There you go, the market is already adjusting to HFT gaming by using more dark pools. While you're certainly right from a governance/regulatory perspective, each individual player is playing to win, which is basic human nature. You can't really stop it by just saying "But it's so bad and adds...

You game the system until the loophole goes away, whether by regulation or it being arbitraged away. Is it better to add value directly? Yeah sure, I think most of us agree with that.

I don't see why you even asked the question, you seemed to have made up your mind already. Actually, what you're saying is really inaccurate because there are many different types of HFT algo, some of which add value, others which are predatory. Lumping them all into one category is a gross...

Quote stuffing is not HFT, although HFT does include quote stuffing.

Good technique for a backtest includes holding some of the data back for "validation", in other words you run it "forward" on a simulated future (neither you nor the algo have seen the data before). For additional safety you can simulate on market data as it comes in. For the second type of...

"When faced with two choices, simply toss a coin. It works not because it settles the question for you, but because in that brief moment when the coin is in the air, you suddenly know what you are hoping for."

Yeah, Experimental HEP would have been more applicable. Sorry dude.

Heh, that's certainly a much more complex picture than I was thinking about.

I'm not so sure about "situational memory", although I do admit that since you brought it up, I'm beginning to have doubts about how easy or obvious it is to determine whether one person has a better memory than the next. But if there is absolute working memory, then the incremental payoff for...

Anecdotally, one of the prerequisites for being an elite programmer is to have a good memory. This can enhance productivity by 1 or even 2 orders of magnitude (from the merely "good"). And practically for traditional devs, designing interfaces is very important - an area where you directly try...

Baruch MFE #1!! (and 3 and 4)

http://www.guardian.co.uk/uk/shortcuts/2013/jan/28/negative-ads-about-britain ... and more!

Yup, that's what I thought you meant, just clarifying.

The thing is, this question is trivial if you know Archimedes Principle and basic physics, very difficult if you don't. If you don't know Archimedes Principle, then either you somehow come up with the principle or else you don't have any solid ground to stand on in formulating a response...

Brandon Carr INT play of the year for the 'boys. Hopefully they can put together a playoff appearance.

HOW BOUT DEM COWBOYS!!

Pretty interesting, and I agree with the sentiment. Lots of college degrees aren't adding value. Might be a while before we see real change though.

FOOTBALL baby! Live for the pick-6 and the over-the-head catch. And all types of weightlifting, wanna be pulling 5 plates in 2 months. Guess it comes with being Texan. Drinks - beers, Guinness, Stella, hefeweissebier

I actually used kdb as a research quant; I don't use it anymore (changed jobs) and constantly find myself wishing I still used it. When it comes to algo trading, there are specializations, but you need both quant and technology skills to succeed. It IS true though that job listings that say...

I wouldn't consider myself "good" at C++. I never found it intellectually "hard". Contrast eg multiple inheritance with Haskell's monads. It's hard to get things done though... the assistance of an IDE as almost indispensable, and so much boilerplate is required. Because of the extra...

What is so supposedly hard about C++? Pointers? I never really had too much trouble with this; the name is very suggestive. OO? That's a paradigm, not a language. I don't know, from my experience it seems the hardest thing about C++ is all the options you have available - picking the right...

http://www.thocp.net/biographies/papers/backus_turingaward_lecture.pdf

This is reaallllyyy ironic because I hear this objection (and have myself thought about it) as a reason to not use a more productive but less common language like q/Haskell/Common Lisp etc. Developers for these languages are much harder to come by whereas C++ and Java guys are a commodity. I...

MFE is useful, I have one myself. But the fact of the matter is that the algo trading skillset leans more towards stats and ML. The only downside is it may be harder to get in the door (career support, finance interview questions).

Stats + ML

It's tough for me to give unbiased advice, having been a physics major in undergrad. If I were to do it over, I'd probably try to take more CS courses, but remain physics. The thing is, technology is leverage for skill. Solving a hard problem is great, but if you can abstract and automate...

There's a good amount of trading going on out there, specifically Chicago. For Minneapolis, there's some agricultural commodities trading. NB, my observation on Minneapolis was from cursory looks at jobs. Since you're there, you should just work your network and local organizations to get that...

lol... "PL1 is 80s" but C is 70s.

Not to say that it hasn't been done, but... If something's never been done before, how do you know if it's possible?

Actually, separate from the Mac question, I think your sense of the killer spec is off. It's not the processor, it's the RAM. As far as the screen real estate for programming, again resolution is typically the limiting factor, not screen size (Pro Retina inverts this rule though - screen size...

See... MacBook Air Resolution > screen size.

As I understand it, he was talking about the unpredictability of GC (when does it happen, how long does it take) in the context of soft/hard realtime tasks. Java has "stop the world" GC. But I see there are Real Time libraries that have threads which are protected from this. Still, it...

I recall reading about someone who programmed a robot using Java. And that robot "garbage collected right into a wall".

Bank, hands down. MFEs are about employability first.

I like this line of thinking - a better C. Still low level and fast, but without the C baggage I don't think most people think about compiler optimizations when they think about C. More likely they are thinking about hand optimization. I'm curious - what's your take on the "sufficiently smart...

I don't understand the emphasis here for the case of F#. Don't all functional languages (q, Lisp, Haskell, OCaml to name a few) support Higher Order Functions? I guess it's the only Microsoft supported functional .NET language...

I've seen some of F# (shied away from it since it is Windows based), been picking up some OCaml on the side for fun. I've done functional programming before, but the ML static type-inference paradigm is a new one for me, so it's been interesting.

Voltaire, let me help you see this is perspective. A lot of the better programmers got started when they were younger, early teens let's say. Programming requires a fair amount of accumulated experience in order to get things done - there is no magic bullet because there are just a lot of...

I have to say that a nice middle road for which you can get going more quickly is Arch Linux. You only install what you want/need, but you get to avoid compiling from source, which can take forever (believe me, I once tried creating a Gentoo prefix bootstrap). And I heartily second Tom's...

The downside of Gentoo is you build literally everything from source. That is also the upside - source builds can be more optimized for a specific architecture.

Quantum mechanics is all about the bra and the ket. If you get the bra and the ket, you get quantum.

Interesting, I will take a look at widebase when I get a chance then. Thanks for sharing!

Open source K: https://github.com/kevinlawler/kona/ Widebase looks interesting - you are the creator and maintainer, mysterion? Do everybody a favor and don't implement strict SQL (the COBOL of query languages) as the main query language. The q model isn't bad: do embed sql operations inside...

1) The MIT course looks different from the Stanford one, so is not a real replacement. 2) That depends on your level of comfort with programming in general and with C++ in particular. The abstractions course looks like it has some intro material for C++ as well as a compare-contrast with Java...

From the descriptions, the MIT course looks better for a quant track, the Stanford one seems better for dev roles. Paradigms and abstractions look like very different courses, each useful in its own right. The C++ course is useful if you aren't familiar with it already. I'd drop the MIT...

Depends if you want to be more of a quant or more of a developer. Structure and Interpretation of Computer Programs http://ocw.mit.edu/courses/electrical-engineering-and-computer-science/6-001-structure-and-interpretation-of-computer-programs-spring-2005/ is a classic for more dev oriented...

Lisp was created 50 years ago, but it has that timeless quality. If more people used it, I would not find that depressing at all, in spite of how "ancient" it is.

In my experience, the one spec that determine's a computer's brick wall in performance (in everyday use) is RAM.

Classic derivatives quants are a dying breed. You need to be very clear about what kind(s) of quant you wish to be to receive anything remotely informative. Programming and data analysis are extremely important transferable skills and are part of the quant arsenal. I would suggest you study...

I think the biggest thing for guys like you is to better define what exactly you want. Talk to some people in quant finance and get them to explain in depth what they do. You need to get a lay of the land. Find out e.g., why C++ is commonly cited, what it's used for, what the alternatives are...

Do you hear yourself talk? You have a lot of intelligent points, but it all gets lost in the haze...

I'm not even saying for myself or Ilya's sake really, but for the broader economy. I have no reason to complain myself, except what I see as a harmful attitude of the older generation towards the younger, given the current circumstances. In a good job market, I would completely back Stephens'...

Ahh, so that's why you're so angry at the article that you fail to come up with a coherent argument. He's right, you know. I won't go too much into it because it is overwrought and over-writ already. Yet, Ilya, I admit you are not without cause. I dislike Stephens' self-righteous attitude...

Thanks Andy, that was probably the best all-round documentary of the crisis I've seen. As far as derivatives, I'd say that at least for structured products, they allowed the JPM guys to put forth a well reasoned defense of their creations - that was the fairest portrayal of that particular...

It's interesting, I find the change of problem domain from physical to CS was quite a significant step for me to be able to put forth my original solution. When I thought of trains, the link-breaking operation seemed very expensive so I didn't think of doing it. On the other hand, when I...

Thinking about it, the singularly linked case is rather difficult - you would never know if you were changing a light that you had already affected. The doubly linked case is a bit simpler - you go one forward from where you started, observe its state, go one backward from where you started...

Haha, I think the original question is probably more along the lines of... You have a circularly linked list with node values randomly set to 1 or 0. You can set the node values to 1 or 0, you cannot change the pointers. How do you determine the length of the list?

Is this a simple doubly linked list or a circularly linked one? You break the connection between two trains, then count how many trains it takes to go from one end to the other.

Don't install MATLAB, their DRM is based on MAC address, which changes every time you reboot your instance.

I believe financial math specialization programs in undergrad are at this point of overall dubious quality. I mean come on, many MFEs are of dubious quality. I think THAT is the warning against specializing in this field in undergrad. If/when the field becomes mature enough that undergrad...

The first one is more introductory, it should give you the intuition. The second one is definitely EE perspective - to apply it you would need the intuition of the first.

There is a tide in the affairs of men. Which, taken at the flood, leads on to fortune; Omitted, all the voyage of their life Is bound in shallows and in miseries. On such a full sea are we now afloat, And we must take the current when it serves, Or lose our ventures.

Very simplistically, say there is an option trading with 30 days from expiry, with IV of 18%/20% (bid/ask). Your 30 day GARCH says future vol should be 14%. You short the option and delta hedge, expecting to make 4 vol points. You can plug in your GARCH vol into BS to see what the price should...

Certainly there must be better methods, although this is not my personal area of expertise. I'm just pointing out the basic idea of using a vol forecast, and GARCH falls into the category. The practical use of pricing is just a special case of vol trading. Another (this time orthogonal) use...

Well, in the domain of option pricing, that's really as far as it goes - making money, or keeping yourself from losing money. Of course there are other domains, but options pricing is first and foremost.

If you have a good vol predictor, and your vol predictor says there will be more vol than the IV of a given option, you buy the option and delta hedge, and make a profit (assuming your predictor was right). The rest of the main use of vol estimates is just further generalization of that idea.

Actually, I regard the way you presented your solution as an abuse of (linguistic) notation. Everybody seems to have their own natural syntactic habits of form and idiom which they can readily understand. However these habits often come to woe when discussing math/logic etc with others. I've...

Reading some of the comments on the above sites by people more knowledgeable, I'll back off on blaming prioritizing athletics. Still a ridiculous move.

Short-sighted agency. The alumni pay the bills, so the admin perceives that the current alumni values athletics far more than CS. However, in the long view, the current students who are getting shafted will be paying (or I suppose NOT paying) future bills as alumni. Mortgaging the future much?

There are several reasons: 1) Physics models must produce physically reasonable conclusions. 2) Physics is experimentally driven. 3) Physicists have a lot of exposure to CS, data analysis, and data processing due to the nature of the work, especially in high energy. LHC puts out ~10 Petabytes of...

Actually, the author wrote the whole paper assuming that the stopping point was t = 0, I just noticed that. The distances traveled won't change for any choice of reference point for t, or of x, as t is arbitrary and x is as well, since the dynamical equations are the same. The only thing that...

No, you missed the point of my response then. Yes strictly speaking you are correct, but you can instead simply view it this way: Taking t=0 to be the point at which the car is completely stopped, the equation \(x(t)=\frac{1}{2}a_0t^2\) holds for t > 0. For t < 0 the following equation holds...

Air resistance! In seriousness, the lack of initial velocity does not invalidate the analysis - if we assume that the car's deceleration is perfectly calculated to stop at S, then we can simply set t=0 to be the time at which it stopped. From there, the physics is symmetric about t=0 and so...

It's hard generally to get buy side experience as in (1), so I think on balance if your goal is to be a quant trader, Worldquant is the obvious choice, the caveat being that you must be ok with working in Asia. (3) and (4) don't look like attractive options for what you want to do. (2) might be...

Interesting and informative, but there is an inevitable salesmanship bias here.

I'm a Baruch MFE alum, I have not heard a word about these partnerships, so it's safe to assume that this is for the school at-large rather than MFE program. I would not base any decision on the existence of these partnerships, so the point about Asia job placement being harder stands.

Calendar spread not between 10 and 30, but I mean 10 yr future 3 month vs 6 month to delivery. If you regard the cash bond as a futures with 0 time to maturity, then calendar spread is an approx to a forward basis. Probably not good enough for your purposes I guess.

If you have the futures time series with all the different maturities, you can construct calendar spreads, which should approximate the forward basis.

I donno, one Irish school and for sure one Italian school will be remembering us ;) You are right though of course, haha.

Two words - bank roll.

I'm down.

Yo, what days?

No I didn't take it as narcissism, I am just saying - people skills are always useful, but much more so in a client oriented role and those roles are more sought after by the typical college student looking to get into finance. It IS hard to express on a resume, that's why there's such value...

I'm not trying to put you off, but if you have such a high opinion of your social skills, why not lean more towards the traditional front office (client relations etc)?

My personal experience: I took and passed the level 1 test. If you really study and understand the material, you will gain a much better feel for finance and you will be able to talk about it much more intelligently than if you have not. As far as passing all 3 levels, I don't think it's...

Speaking as an alum, Caltech is a small school and therefore chronically undermanned.

I'm a TAMS alum, I had Dr. Q for precal, cal1, and diffeq. Tell him I said hi if you see him. Risk management is a growth area for the industry, with increasing regulation and scrutiny. I'm not really qualified to talk about it, though. As far as dealing with career/MFE prospects, good...

UNT ehhh? You ever take a class with Dr Q?

Ahh that's one of the beauties of C++ 2/3 is done using integer math...:devil:

Your formatting isn't quite working. Be sure to read other peoples' solutions as well, you really get an appreciation for the diversity of programming languages and their various degrees of power. I found some of the Haskell solutions particularly elegant. Edit: looks right now.

I was going to suggest Project Euler as well. Generally what you need is real projects.

Chrome.

It's meaningless to calculate an IV then ask how far market prices stray from BS values. To calculate a BS price, you need a separate source of volatility measurement. You need to ask whoever gave you the problem to clarify.

http://en.wikipedia.org/wiki/Arbitrage

Right, but the number I cite is for the combined rent of 2 people. I actually pay ~1100, so my total expenses add up to about 30%. Interesting benchmark though, never heard of that but it does seem to mesh with my experience.

Just to clarify, I assumed rent budget of 1500. I am done with MFE at this point and have a roommate, and probably am going to move out to my own place, so sorry on that front. However, my current apartment is a 2BR @ $2300/month in Upper East Side (77 ish). I feel fairly comfortable here for...

You can work your way into Manhattan with that budget. With a roommate it gets better from that.

sample(1:3, 1)

1.3^12=23.29 Just FYI, a lot of the stuff being sold on trading is predatory selling.

You missed the point. Most likely, our sense of ethics evolved from the need to balance short term greed with long term greed. His point is basically that Goldman is being too short term greedy at the expense of its clients, and therefore its own long term welfare. That you think he's wrong is...

A guy who has enough money already and values his free time more than earning more. Seems the utility of money is logarithmic.

There's the definition of arbitrage, which is what you mentioned (and might I add, extends to any strict mathematical relationship between assets), and there is the practical implications. In this case you are not looking for arbitrage, rather you are pricing by NO arbitrage. This is extremely...

Just a nitpick with your terminology: you do not hedge your exposure through arbitrage. Rather you replicate the payoff as close as you can with vanilla instruments and try to make sure you do not violate arbitrage bounds so that your client doesn't take you. Then you charge a spread. There is...

It's much easier to score top 1% in one of these online courses than if you were taking it at the school since the population is just so much larger. Most students at top schools are by construction already in the top 1%.

Good job dude, and good drinking with you. Where'd you go after Hemingway's?

Hey, are you Julian from Concordia?

http://andrewvos.com/2011/02/21/amount-of-profanity-in-git-commit-messages-per-programming-language/

oh man, as long as somebody is willing to make you a price, you can bet on just about anything including volatility.

Black-Scholes is great for intuition, but for actual pricing it is way too simplistic. Pricing is primarily not used for managing portfolios, it's used to trade options, (i.e., to make sure you are not getting screwed on the trade). Hedging is very important since option positions have...

The typical use for pricing exotics is at IBank options trading desks. A client calls up a bank and wants some type of exotic (Asian option, barrier, etc) and the desk makes him a price which he can then choose to trade on. So the bank desk uses a model but the client may or may not, although...

For what it's worth, the consulting gig seems to be closer to pricing. Also, you should realize that derivatives pricing is no longer so hot.

I think there's both cases, but my experience has been that peer pressure enters the equation well before actually getting into Wall Street. There's probably a bias there from me coming relatively fresh from undergrad.

These days, there are so many different flavor of "quant" that your statement amounts to saying you don't know what you want to do. My suggestion is to do some serious soul searching and figure out which one you would want to do.

The people who go to Wall Street tend to be the same people who want the lifestyle/status/etc. Buffett is an anomaly.

Do you want to be a trader or a consultant/model validater?

You guys did a very good job with this, and it must be very difficult especially with a case like BP. This sounds amazing. We will get to see trading strategy evolution happening much faster with a league. I definitely felt this year's cases were more interesting. Excellent job all around. I...

You guys did well, congratulations are in order.

Overall I liked the cases more (more variety) and it's definitely more competitive.