Search results

KEVIN! Thanks for having us again! Don't worry about the random walk haters, they are chasing dragons ;)

As was I.

If you want to do quant trading because it "sounds sexy", it's my belief that you are woefully misguided. As far as the necessity of traders... I agree with Ken here and also... see "Sussman attains enlightenment": http://catb.org/jargon/html/koans.html Quant trading is a specific subset of...

Generally SQL is more useful in the real world. Except in the crazy world of algo trading where all the really low level stuff matters.

As far as writing models, you can certainly learn a lot about modeling techniques, but nobody is going to teach you the "secret sauce" of what makes money. Depending on the frequency, the model can be macroeconomic, security-specific, or completely time series based, so those are the broad areas...

Ideally you want a guy who can both program and do theoretical CS, but given the choice of only one, I'm guessing an employer would settle for a guy who can program over the theorist. The thing is at high levels of algo trading, the theoretical CS matters in getting the most juice out of your...

IBD is more about people skills than math.

Which of the two would you recommend more/what are the essential differences?

What I might end up doing is feeding R through Python and matplotlib via RPy. I've tried some of those packages and overall it's still pretty painful to get what you want, although there are some good parts.

To me the downside of R is the plotting - not interactive, so it's much harder to explore the data naturally. As far as speed, vectorize the code.

Just because your program died doesn't mean your networking contacts did....

??? It's pretty well known that simple Black-Scholes doesn't cut it... It sounds like you don't need to understand a few models, but that you need an overview of the field http://www.amazon.com/Volatility-Surface-Practitioners-Guide-Finance/dp/0471792519

Stephen, I think you're confusing terms. An IB Analyst... is not a quant and the work usually requires no higher math. A quant working at an investment bank is for the most part not an IB Analyst. Quants in banks usually are programmers, model validation, risk management, derivatives traders...

None of what you describe are "classic" roles for MFE. They are more B-school or MFin type roles. Mergers and Inquisitions has a lot of the nitty gritty of the IB Analyst life. http://www.mergersandinquisitions.com/

It just feels weird that you would forego a trading job to go do a Masters. Having some experience helps you realize what you need to learn as you see what people do in the real world.

How fast is "instant"?

Python=> numpy+scipy+matplotlib is supposed to approximate a large portion of basic matlab functionality. sympy is a symbolic math library for python. Plus you learn python so if your program turns out to be useful, it's much closer to being production worthy.

The common wisdom on the forum for the PhD question is that you should never do a PhD specifically to get into finance, with a possible exception if the PhD is actually in finance. As far as MFE, my reasons for taking one: 1) It was a structured way to cover the bases and learn relevant...

It's only hilarious because it's filmed in situations where the power dynamic is inverted from what it would be, i.e. it's social mis-calibration. In these situations, the vendor clearly has the power. It wouldn't be so funny if the client actually had the power to make these kinds of demands...

Time to demonstrate my nerdiness... "Kahless said, 'Great men do not seek power... they have power thrust upon them.'" -- Worf

I was briefly at a job where if you were there for a few months and told your manager you were thinking about quitting, they would give you a $2/hr raise in an effort to keep you. Are they discriminating against people who aren't thinking about quitting? Obviously, discrimination is a real...

Oh also, you can use library(compile) compiledversion=cmpfun(myfunction) which compiles it into bytecode, should get around a 2x or 3x improvement for very little effort.

My impression is that your work background could in no way detract from your application. As far as looking for alpha, MFE can only teach you parts of the process and tools, but in the end those who know don't say, those who say don't know.

It sounds like you have a a pretty strong resume already. Also, I'm not sure for your purposes that you would need a full blown MFE program to accomplish what you want to accomplish.

Woops I must be getting senile.

I will add that having basic economics knowledge is very useful. So while Stats minor > Econ minor, a few econ courses (basic macro and micro) are very beneficial.

You guys make good points, but at an interview what I would actually do is to clarify the purpose of the question if objections are raised to my martingale assumption/answer. Without knowing the purpose of the question, it is impossible to determine whose answer would be "accepted", although...

GBM implies no drift. The median of a lognormal distribution is less than the mean of the same lognormal distribution. But the mean is 20 since GBMs are martingales. That means it is more likely that the stock prices is less than $20.

http://stackoverflow.com/questions/5260068/multithreaded-blas-in-python-numpy Go about halfway down, there are some benchmarks. Indeed, the Mac BLAS is already much better than the basic one that would come on a Linux system. The most important thing is to convert as many for loops as possible...

For loops suck in R because it has to re-interpret every line inside the loop on every evaluation. Try to vectorize the code as much as possible. And if that isn't good enough, consider using Revolution-R as it's built against Intel MKL linear algebra libraries which offer about a 10x or more...

I paid for them. It might be wasteful in that you can find other resources to get the same broad level overview that the CFA Level 1 gives you. But this is highly dependent on your school, your personal network, etc. If you can find somebody who works in the industry and who will sit down and...

Yeah you can, typically it is before graduation, in the summers after your sophomore or junior years. After graduation, I think it tends towards full time or nothing, although you can certainly try to get an internship. From my experience, big banks will hire the largest number of students, so...

The bounds of my particular task do not require I keep a server running over the long haul. I'm not setting up a production server of any kind, so there's really no need to do production-grade learning.

You have enough time left in undergrad to learn about QF, get an internship, etc... BEFORE making the step of committing to an MFE. I recommend you follow this path. It may turn out MFE is totally unnecessary for you, it may turn out that you end up hating working in finance. Any number of...

I don't see the point beyond use as a coding exercise, unless you are a researcher in the field or your job is to develop such applications (e.g. you are a developer for Intel MKL). And even as a coding exercise, you are going to have to be more explicit with why it's better for students. What...

There is no line. It is not a dichotomy, it is a continuum. In your example... if the LU code is buggy... probably the most efficient thing to do is to try to find a different version that isn't buggy. Next step is to try and debug it. FINALLY if there is no other option, you write your own...

Much of the time, this type of superficial acquaintance is all that is needed to get a specific job done. I needed to quickly put up a web server yesterday with no frills, and I got it done by looking up tutorials. Did I learn the ins and outs of webhosting? No. Did I need a deep understanding...

Agree. Why memorize what Google maps will tell you with one quick search?

I like python+numpy+scipy+matplotlib. I am making an effort to ditch R and MATLAB for this new stack. That said, I am making a serious effort. Remember that programming languages are habits of the mind. People use what they are familiar with. If it's a suboptimal choice, they will often keep...

Typing gg=(shift+g) in VIM will autoindent it, assuming your VIM has an indent package for the language installed.

God wrote in LISP. http://www.gnu.org/fun/jokes/eternal-flame.html RIP

Numpy. Also, you can install a monolithic Python distro from Enthought (EPD). If you are an academic, you can get the full distro for free, which links Numpy and Scipy against Intel MKL for a big performance boost.

It is its own dialect. But for example you can do things like: select from table where date <= x; select avg vlm by date from dailytrade; delete from table where sym= x; However one big difference is that update and delete work on both columns and rows, and that most of the operators reside...

As much as I love kdb+, not everybody uses it due to its price tag. However, kdb+ does use a dialect of SQL, so the skills are transferable. Edit: not only its price tag, but its very steep learning curve.

Ahh I apologize for the earlier misunderstanding then. I'm rather particular about language.

1) No it is not, but it covers topics that aren't directly stochastic related. 2) Baruch does have Probability Pre-MFE which should at least help. As far as sufficiency of the probability course, it depends on what level you wish to understand stochastic. A lot of what everybody else has...

This is the point of the US Courts system, even if it's not perfect. It is part of the system of checks and balances. Remember that vacuums tend to get filled and this goes for power vacuums as well. So the idea of "just keep to the Constitution" as a guideline, without the legal and enforcement...

Again, I have no conflict with you on the foundations of the Constitution. However the notion that laws are immutable/inflexible or do not need interpretation is erroneous. I read very well your sarcasm, it clearly indicates your opinion that the Constitution does not need to be interpreted...

You have a poor understanding of the law, and the US Constitution is a legal document. In addition, since you regard anything written as not needing interpretation, you show a poor understanding of language in general, as all languages need to be interpreted to have meaning. The entire legal...

Not as a freshman I didn't.

I fondly recall cursing Apostol's name as a freshman. His Calculus book is much different from other Calculus books, and is the required text for Caltech's "Intro to Calculus" class.

Obviously limiting number of trades is bad. But limiting quotes to trade ratio is largely innocuous. If you aren't getting trades, then your quote engine is either ineffective (and would signal your algo is not performing correctly) or specifically designed not to trade most of the time (which...

But what constitutes over-regulation? In what way, for example, does what I mentioned constitute over-regulation? I agree that it's a slippery slope, but having no regulation tends to lead to abusive and predatory behavior.

Why not limit number of trades? You aren't limiting number of quotes. Why disallow selling stock for 2 minutes? Why not 1 minute, or 5 minutes then? And do you think market makers will really go for it?

Treat this decision as a trade. You are exchanging four years of your life and tuition (which may or may not be trivial to you) for.... well you should figure out what you would be getting in return and if that's important to you. You should also figure out if you could potentially do...

The simplest solution is to put everything into a for loop which accesses spot and expiry lists that you initialize outside of the loop.

RIP.

When you work for a hedge fund, you eat what you kill. For all the crap they take, banks do have large lines of business which are non zero-sum (loans, IPO, M&A, underwriting). So while hedge funds are certainly more discretionary and flexible, I'll let you make the connection between pay and...

To join the editor wars... VIM-TeX http://vim-latex.sourceforge.net/ Don't forget you can copy and paste TeX directly from Wikipedia.

I remember this point was brought up in that flame war in the ranking thread. If it's true, I wholeheartedly applaud UCB and their director for providing this extra service to their applicants. I took CFA level 1, and it definitely helped me understand the broader field of finance more and also...

This is exactly what Marketable Limit Order IOC addresses, and this specific order is indispensable for HF arbitrage.

For once I see a reasonably cogent argument. Seems like they are arguing more about conflicts of interest, investor confidence, market fragmentation etc than whether or not people should be allowed to trade quickly. I don't disagree with the general thrust of any of this, but again that doesn't...

Bob, while I generally respect your opinion, you are going to have to provide a concrete argument for why the system is unfair and inefficient. Otherwise, it just sounds like conspiracy theorizing.

Impose a limit on the ratio of orders submitted to actual trades, then fine people who go over their limit (measured on a daily basis). Would cut down abuses and reduce bandwidth issues.

I personally think a programming book for quants that covered C++ only would be incomplete. This is probably how I would lay it out myself: 1) C programming. Memory management, pointers, all the low level constructs you need to write blazing fast code. 2) C++. Object-oriented features...

Programming competence is a thorny issue because it's more art than science. See Paul Graham: http://www.paulgraham.com/hp.html As with any art, this means experience is the only way to get good (but at the same time, experience doesn't guarantee that you're good). The basic concepts are few...

If it's been published in a paper, it's either 1) Already arbitraged out 2) Not quite what it seems MFE can provide you the tools to identify alpha when you see it, but the search will be your own.

Nobody wants to be that guy, but everybody is that guy to some extent. It's rather rare that a quant can manage to avoid cleaning data. As far as programming, some flavors are more palatable than others.

I don't think this is the attitude you should be taking. The datasets quants work with are typically huge and can be very heterogeneous. To get any traction on that type of data, you need to know some programming. That said, research and trading roles typically require less low-level dev.

:D Oh the ironies....

RIP

If you're trading... you're constantly faced with whether or not the process is a martingale, as the answer to the question determines whether or not you can consistently make money trading. Quant shops are deeply aware of this fact.

Names can be deceiving these days, what with Volcker Rule and all. In any case... what if the upside/downside is 2:1? You are really going to tell me you would not take that trade?

I can do better: what is the expected value and is it significantly larger than zero (nobody said the upside and downside were symmetric)? If so, what is the standard deviation of returns? We can form some type of Sharpe ratio to measure the reward/risk ratio.

Loved this from the article http://imgs.xkcd.com/comics/sports.png

Ok, I just confused myself twice.

Ever heard of Archimedes?

Bookmarked. This is one for the ages.

I will say that regardless of overqualified or not, you should not do a PhD in order to get into an IB. Only do it if you really enjoy the subject. Most people here would tell you the same. My impression re: career advancement with/without PhD is that the really senior quant positions require...

http://www.michaeleisen.org/blog/?p=358 Amazon arb...

The point is we have no idea where that number came from. I wouldn't go so far as to accuse Berkeley of cooking up the number, but it would be useful to understand where they got the number. It's not inconceivable that they poll their alumni after a year and ask them about their bonuses.

Right, but it was some sort of higher dimensional probability density of future possibilities. Especially towards the later books, there was a sense that Muad'dib and Leto had explored the possibilities to their end and saw no surprises in the future.

"They tried and died." The part that stuck with me the most was the idea that to see the future is to become trapped by it, and how prescience can bind humanity.

Gom Jabbar test was administered by the Bene Gesserit to their acolytes. As far as I remember, the books never mention how often males are tested with it.

I read the books many years ago, including the prequels (no Butlerian Jihad and nothing post-Chapterhouse). Re-read the first book recently. I feel I should re-read the rest, as much of the finer points of characterization and politics were lost on my young mind. I enjoyed the two SF...

I agree, but then it's easy to say we should all act civilized. A much harder question is what should we do when somebody doesn't act civilized.

You missed my point here. Let's play judge, jury, and executioner here, and to make things concrete, let's cut out the charade and acknowledge that we're discussing EMalu and the people who responded to him. If you want there not to be any emotionally biased personal attacks, let's go through...

Let me ask you the following: If any level-headed intellectual may cast doubt... Then is it not a level-headed and intellectual act to doubt the original voice because it is clearly biased by emotion? If you would not disqualify/qualify someone's argument because of his/her way of expression...

Live by the sword, die by the sword.

Thank you for the straw man sir. I am merely saying there is no way to include what you desire into a ranking. Anybody who bases their decision solely on a rank such as this is, as you imply, is misguided. Andy would agree with that statement. This ranking is not meant to be used as the sole...

It is impossible to produce a consistent, objective, unbiased measure of course setting and quality of teaching. Not to mention that it would be operationally prohibitive to actually gather the data necessary for such a measure if it did exist.

Right, but Ken, the point is that generally there's no reason to go outside of policy if a trade shows a win. The only reason I see to conceal a large winning trade is if the trader has some "once in a lifetime opportunity" (or so he thinks) and he loads up on it past his limits. But generally...

The train of thought is this... The illegality is based on fraud that conceals the position and loss. Nobody would bother concealing a position that resulted in a win. If a position resulted in a win and the trader wanted to increase the size of the trade, he could yell at risk to resize his...

I'd argue it's a waste of time even for English majors. Essentially English majors study to be writers, and good writing does not involve lots of extremely high vocabulary, as it would be unreadable (where is Professor Bob?). On the flip side, when reading literature, unrecognizable words are...

I'm so glad they did this. I may have scored high, but a large amount of the vocab tested is just a waste of time.

In quant, CS is leverage for math skills. If you have no math skills but a lot of CS, that's when you go to the back-office. 0 times anything is still 0.

Actually, the question might be mis-phrased. In any case, I realized it's not nearly as complicated as polar coordinates. All you need to do is look up and visualize the probability integral.

Polar coordinates.

That's because most GRE words ARE useless. I got a 700, but had a head-start prepping for the SATs earlier in life. The words for GRE that go beyond the SAT are useless. My general take on GRE verbal is that prep via memorizing words is not going to yield a big improvement on your score if you...

http://www.rinfinance.com/agenda/2011/ClementDunand.pdf Earthquake microstructure... This is the presentation. Look for the paper.

Lyosha loves the straw man.

Personally, I think the biggest and most reliable way to get a leg up is to get good at software/CS. I'm not sure how right this is, but I feel that software companies, even big ones, are less elitist than finance companies. So get yourself into one of those, then your experience at that place...

I would probably try signal processing, or suggesting a hardware architecture. Not many places are going to tell you what they use. But to really say anything substantial, you need to dig deeper into the issues... massive data requirements, need for speed, etc.

You mean practically every programmer that's ever lived? And as I recall, a certain somebody tried to do a stat arb project in... PHP??? Once upon a time, I tried to build a database (though I didn't know it at the time) in C++ overnight, also to do stat arb. That's the point really, you never...

It's the most succinct way of expressing the idea. But here's a more understandable version: If all you've ever had is a hammer, and a hammer and a screwdriver can complete the same tasks, you will have no idea why anybody would ever want a screwdriver.

When all you have is a hammer....

If you don't know much programming, probably the most bang for your buck is to do some computer stuff. I am hesitant to recommend flat-out CS, but you need to know how to "get things done" with computers and quickly; you do not need a lot of deep high level theory, although a basic knowledge of...

But not for credit either.

It's not that relevant, but the field is full of people who have taken and understand it, so my recommendation for Complex is more of a social thing than anything else. It's far more universal than say Quantum Mechanics or Topology, as it is common between Physics, Math, Applied Math, and...

The coursework varies. I barely had any extra math relative to the minimum - my extra courses were Complex Analysis and a class in Group Theory for physicists. The rest of my classes were all physics. For usefulness in MFE, the two math classes I would add to your standard list are Real and...

When all you have is a hammer, everything starts to look like a nail

Gotta optimize that fantasy draft!

As explained to me by my parents, the Chinese emphasis at least comes from Western domination in these areas leading to physical domination of China in recent memory. So the logic is: if these fields lead to domination, then we should study them and similarly dominate. That certainly makes sense...

I addressed them specifically, although looking back at the essay, I would have written part of it a little differently.

That's funny, remember what Jim said? I can see your point, although I don't think you have a convincing general case. Everybody that writes an explanation will write it differently, and the reader will interpret it differently, although the interpretation is heavily influenced by the writing...

I addressed the low grades that I had directly in my essay without being asked. Remember that this is not an interview, in the sense that any unanswered questions are going to remain unanswered. So the question is, are you comfortable with an admissions officer looking at your bad grades and...

From Paul Graham: "[Working] for a big company, [...] is like reverting to high school," which in large part is popularity contest and highly political. The Indian and Chinese immigrant cultures specifically emphasize math, science, and engineering in the belief that studying these fields is...

Ken, I think that type of assessment is a bit naive for a few reasons: 1) I get the feeling the finance is somewhat of an exception to the rule, as money talks, and some of the best of any ethnicity are attracted to the field. 2) This is not about blatant racism so much as it is about immigrant...

As we've been discussing here, it's more about the cultural and language differences (and probably more cultural so long as language meets a certain threshold). Some immigrants either know or learn how to play the game, although this is a relatively small proportion, at least in the...

This quote was hilarious... From the looks of it, it's "barely" on either side...

I remember reading this back when it was published. I agreed with the overall point, however the author is over-bitter. The point about tiger-moms, over-studying, and the eventual backlash from college admissions I find to be true, but also an interesting example of a multi-participant...

Hah. I started talking to Cleverbot after seeing this. It is quite amusing... User: Where are you? Cleverbot: I am from your imagination. User: What is an electric sheep? Cleverbot: It is like a sheepbot. User: What is the square root of 2? Cleverbot: 1. User: That is wrong. Cleverbot: 7. User...

As far as I know, the closest analog to support and resistance is moving min, moving max. As far as pre-built packages, you need to be skeptical of backtest results that seem to be too good. I've seen some very bad look forwards hidden in R code. A very common pitfall is in using moving...

??? Panama is a song about a car...

Fundamental analysis and how markets work fundamentally are not the exact same thing either.

It's posts like these that make me want to contribute And posts like these... That make me delete a well thought out reply at the realization that there is no convincing a zealot.

That's funny, because what other people are going to do is precisely how markets work fundamentally.

Perhaps not terrorists, but covert operations. Think about it - power is down, police are distracted, peoples' attention is probably away from whatever you are trying to do...

I remember they did that with Romeo and Juliet. That was very interesting as it was the first time I saw Shakespeare done with professional actors, and it was much much better than plain reading it.

While I'm not a conspiracy theorist, natural disasters provide opportunities to terrorists as law enforcement is heavily occupied elsewhere...

It's a Unix-like OS. Give me crontab, sed, awk, grep, and a Unix-based OS to place them on, and I shall move the world.

I'd just like to point out that most universities are non-profit. Not that they don't want your money... but ostensibly the purpose isn't for profit, but rather to improve other aspects of the university.

I'm curious as to your opinion on the recruiting practice of e.g. Jane Street using OCaml to attract smarter coders? Another example is F# at CS. Lack of side effects means most programs written in functional languages are embarrassingly parallel. Any function done on a single item can easily...

With CS/Applied math (probably the two most practical technical majors in this day and age) dual from MIT and an intense interest in the field, I'd expect you can go straight into trading, so I would try for that before thinking about MSCF and PhD.

Salary is not why people become traders/PMs and/or join hedge funds. If you are getting a good cut of the PnL and some management fee from the model, then the choice is primarily to do with your risk preference when it comes to the $$$. As for your future career goals, your current job is far...

The other thing is that I'm not sure why you need to be very accurate about the very back months? Excluding the effect of the Roll, typically the farther out the contract, the more thinly traded and thus less significant. Also, typically the day it starts trading is not constant, but the rule...

If you have the data, why not let the data tell you?

It is hard to put this into words, but as I understand it: Portfolio management connotes investment rather than trading or speculation. In that case, it will be a decision more of what assets to hold, for how long, and in what proportion. Holding periods would typically be longer, months to...

I passed Level 1 and I agree with the other sentiments provided so far. The CFAI books are far more complete than 3rd party resources and they provide a lot of context for what is going on. With that context comes valuable intuition as to the financial markets. The trade-off is of course they...

To really understand the programming language question, you have to understand the strengths and weaknesses of each language. C++ is standard for certain things, R is standard for other things. And then some companies like to differentiate themselves in recruiting by using different languages...

Well on this point I agree with Ilya: either do something about it or get out of the way. Doing something about it could be complaining to your superiors to get things changed, or walking away, but it does not entail whining on a forum. Barny: it is the perogative of the coach. Most of our...

Speaking as a Caltech physics major who did experimental HEP research, I am very skeptical of the usefulness of high level theoretical particle physics, especially string theory, even for the sake of advancing physics. Ask Prof M Lancaster at UCL (he teaches the Master level Particle Phys class)...

There's an optimal point. More practice => better preparation. But also, more practice => players taking more punishment, injury risks etc. Of course I am talking about long full-contact style practices.

To expand on the NFL point, this same internal debate has been going on since the times that players could NOT make enough to support themselves on football alone (60s-70s), through the current big money years. Always the same arguments... you're getting paid to play a game... you're lucky to be...

Ilya, while I certainly get your sentiment, this sort of thing happens in everything ranging from menial retail jobs up to the NFL, and the same arguments have been played out time and again. I've seen guys in retail who complain about not making enough turn down rare opportunities to earn 1.5x...

That's probably the single most important question economies will face going forward. As technology advances, the percentage of the population that falls under the "surplus" banner will only increase. At what point does our economy cease to function as we currently know it?

Probably brainteasers.

http://aws.amazon.com/ec2/pricing/ I'm not sure how useful a PhD would be for finance, but knowing how to use multi-threading and being able to use/construct highly parallel software architectures is certainly helpful. As far as GPUs, you just have to understand what they are good at... e.g...

Depends on the style of brokerage - agency or principal. The link above has some info on retail brokering, but institutional brokers are more diverse. Principal brokers take the other side of the trade, so profit from charging you a worse price or speculating against your trade. Agency brokers...

Don't read too much into it. I'm from Caltech and I know a fellow alum who works at Tower. If you look at the list of schools on the right, it's all about career fairs i.e. big recruiting events. It's simply not economical for a firm like Tower (vs say a bulge bracket bank) to go all the way to...

The ultimate stat arb credential is a profitable track record.

And don't follow the rules all the time...

Makes me wonder if they use graph theory.

Logarithmic utility...

Live by the sword, die by the sword.

I was told the following on an interview for commodity derivatives trading with regard to Electricity trading: "Black-Scholes fails completely."

It's quite a bit more complicated than that... All the deliverable bonds will have to be repriced - there will be potentially a new CTD. As for the price, it depends on what interest rate changed vs the underlying maturity of the bond future, even before taking into account the CTD. It's in...

Gladly. Save up money, work a second job, take out a loan, ask friends for help, live at the office. And if all else fails, beg. This is the difference in mindset. You act as if there's nothing else a person can do to make something happen... instead of looking for ways to make it happen. You...

This is starting to happen more and more. As our culture becomes more aware of social issues, "green" and socially responsible companies will start to gain more market share and become more profitable. I've seen the beginnings of that shift even in my (relatively short) lifetime. Now obviously...

http://craphound.com/usrbingodexcerpt.txt

Granted, but what's the point of HPC if speed isn't of the essence?

It's a useful concept for backtesting. For live trading not so much; you would want a co-lo and your own HPC to go with it.

That's your problem. With appropriate shortcuts/plugins (VimTeX as I mentioned for instance) and the generally faster rate of typing (80 WPM... can you write that fast?) mathematical typesetting can come close to handwriting in terms of efficiency. Another point - one big reason I typeset my...

Latex? I still use sheepskin... Dirty jokes aside, I like VimTeX. Have written my homework in LaTeX since jr year of college, much to the amazement of my professors.

This can vary depending on what flavor of quant you want to become. However, it appears that the derivatives heydey is gone... so the jobs will be either high frequency trading or risk management. In the HFT space, you are dealing with massive amounts of data... on the order of 10+GB/day. Even...

Hah I've heard the same thing except with "programming" replaced with "math" and "software design" replaced with physics".

The question you should be asking is "How do I figure out if stock prices are mean reverting?"

This cannot possibly the whole truth by the simple fact that UK unis are 3 year institutions. Unless US schools are still bitter about the war of 1812....

Some people find it much easier and less stressful to deal with other people than to deal with math. That probably stands in stark contrast to most on this forum.

What kind of person/career does the program target? Are we talking about institutional asset managers, guys who want to start hedge funds, etc??

You becoming disillusioned Andy?

I also think this may be part of a trend of there being a lot of news articles detailing lay-offs. It's like how the nightly news is always negative - layoffs are just the newest incarnation of that. Not to say there isn't stress in the BB banks... just something to be mindful of. Nobody...

The main thing I can think of on this front would be to write a program that takes in the huge amount of equities data and parses it. And by this I don't mean market data, but rather financial statements. From there you can pick out promising stocks and do further research. It would more likely...

For buy-side style trading: Theoretical stochastic is not very useful for linear instruments (i.e., no optionality). Time series analysis is far more useful. One could argue that since time series is based upon stochastic, that stochastic is necessary to understand time series. This is...

Yeah, when it comes to equity research, it's more important to be able to read between the lines of financial statements/news articles, make inferences where there are gaps, and tell the stock's story. No PDEs necessary. CFA (at least level 1, I can't comment on higher levels) is excellent in...

There are a host of problems with "stock simulator" competitions, the biggest one I know is the fact that since no real money is at stake, everybody has a call option to win it. So the logical strategy would be to simply bet the farm on some penny stock (note, no market impact!) A better...

Known mean (acceptably high), known standard deviation (acceptably low) vs unknown mean and unknown standard deviation? Somebody needs to brush up on their asset allocation theory ;)

Not all quant models are based purely on Time Series data. The ones you see in books are usually applicable primarily for option valuation (the continuous time SDEs).

I took a course on Nordic Histories and Cultures when I was at UCL. Every immigrant group clumps; it has nothing to do with ethnicity. Scandinavian immigrants clumped, Italian immigrants clumped, Irish immigrants clumped... and on and on. You will find small country towns in the US called...

"One of the most common reactions to our early research was surprise and disbelief. Indeed when we first presented our rejection of the Random Walk Hypothesis at an academic conference in 1986, our discussant - a distinguished economist and senior member of the profession - asserted with great...

I quoted you and you specifically were complaining about physics, not engineers having to take cross-disciplinary engineering. You are changing the subject. And in any case, you AGAIN missed my point. Is it not clear that EE is broader than IEOR? And therefore it makes more sense for an IEOR to...

With any complex system you need a basic understanding of the components of the system and where they may possibly break. For a Civil Engineer, something with the materials you use could cause some kind of electrical flaw in a building you design, or a chemical flaw that makes it degrade over...

I agree with this for the most part. I know that the UK system is like this. On the other hand, I've talked to UK professors who acknowledge it as a limitation because one cannot easily draw from an interdisciplinary knowledge set. Innovation and inspiration come from a lot of different places...

Agreed, but as always there's a trade-off. I spent a semester at UCL and yes it was a good deal easier than Caltech (though I was taking Grad level courses). Yet at the same time, the ability to spend more time socializing had incalculable benefits to me personally, to the point where I do not...

I was going to post something, but then my spiel got deleted. Here's a shortened version. It's not accurate to say that the education is only marginally better. You start with better students, so you teach them more advanced material, and the gains are not simply linear, but they compound over...

Yeah, I really love it when a bunch of would-be quants make claims without any NUMBERS.

I have mad respect for guys like you Anthony. In my opinion, this is the way most people should do it.

I both agree and disagree here. When I think back to my teachers at Caltech, well let's just say I wasn't exactly the model student who attended his classes. And yes, you do learn a LOT on the job. I also missed out on a lot of social stuff that helps in the real world, something I would have...

Also, as far as why there is a large number of Chinese in quantitative disciplines - I have posted this before, but as my parents explain it to me, the Chinese are overcompensating for their lack of quantitative education in the past, something that cost them a great deal in the last two...

I knew plenty of Americans at my high schools (both the math/science magnet and the public school) who went on to complete quantitative degrees, though not all at prestigious institutions. You must have no sense of who your competition is. I went to Caltech and I would give you 100:1 odds that...

I disagree with Andy. I agree that CFA will not improve your "PROFILE" substantially. But if you are relatively unfamiliar with finance, it will drastically increase your chances of admission and subsequently finding a job by: 1) Forcing you to learn all the stuff that is too boring for a quant...

I have to echo Alain's sentiment. Also, I repeat to you: think about how much time you are going to spend doing something you potentially do not like.t Finally... ask yourself... how risk averse are you?

If you actually like Particle Physics and are willing to do it for 5 years by all means... you will likely be in high demand after graduating. If on the other hand you don't... why would you do that to yourself just to get into quant finance? There are far better ways these days.

There are two reasons 1) The toolset is becoming more computational and less pencil/paper math. You may have laughed when your high school teacher told you that "use a calculator" was a valid approach to solving a math problem, but you won't be laughing when you realize that the set of...

It depends heavily on what you want to do. For what I'm doing, I don't write much C++, although I'm sure my employers feel more comfortable knowing that I could if I wanted to.

That is really disturbing. The first thing I thought about when I saw this was social unrest. Millions of empty homes and millions of people unable to afford them.... something is deeply wrong.

That's because all those languages were made intentionally to be terse. It's true the functional style may contribute because you don't see those nice int/float/double etc declarations to tell you what i/o you have, but that's only a small component as you could always just comment your code to...

I did HTML in 5th grade. Not really "coding" per se. And then I avoided any type of programming for the longest time. I'm not even close to a hardcore hacker.

IMO it will depend on the person using it. Because of Q, my coding style now revolves a lot around functional concepts so you will see a lot of implicit loops, anonymous functions, and elided function variables. But this is a rather simple application. I'm sure there are wilder applications one...

Functional constructs make your code more terse. You type less to do the same amount of work. The tradeoff is of course that your code is harder to read. But code maintenance is still easier because what you lose in trying to understand your own code is made up for by reducing dependencies.