What is the correct way to get to know this field better?

[Utsav Basak]

I am a banker from India. Currently I raise bonds in the primary markets. My job role does not involve trading in the secondary markets, yet I am intrigued by it. In India, the bond markets aren't fun. The players are few, liquidity is a concern and regulatory oversight is strict, thereby any kind of financial engineering is frowned upon.

I have a Masters in Management (Finance concentration) from a top school in India, thereby I am familiar with the theoretical aspects of finance. My bachelors was in Computer Science, so I am fluent in programming and have programmed in many languages including C++ and R, though in a non financial context.

I read a lot about this field, mostly from books glorifying the field (think: The Quants, Scott Patterson and more). The field excites me, and I am considering pursuing a MFE, but before that I had a few questions about the field.

1. Are there any online groups/forums where I can be a part of a project (preferably opensource) so that I can get a better idea on what it is that goes on here? Or rather, be a part of the process and see how the real quants go about their business of finding alpha. I would also love to contribute (if I can) on such projects. (Anything like github).

2. There was a time when quants were dabbling in instruments such as CDOs, CMOs, CDSs, markets for which were at a very nascent stage and therefore yielded lots of arbitrage opportunities. Are there similar opportunities/instruments in this day and age (given the increased regulatory oversight), or has the time to make money passed?

3. If I want a refresher on the kind of maths needed for this, what can be a good resource?

In conclusion, I want to get my hands dirty and see how the field is before I really go out and try it. Any help will be appreciated.

 

[mhy]

1) You're not going to find code online that actually delivers business value. Those are all extremely guarded trade secrets. There do exist generic open-source quant libraries that abstract away things like market data, creating a bond or a swap, pricing an instrument, etc...

QuantLib is a well-known example

lballabio/QuantLib

2) After the crisis, most banks heavily scaled back trading in those instruments and in some cases entire desks closed down. New regulation doesn't make it easy either. This may change, though.

3) https://www.amazon.com/Mathematics-...&qid=1530721745&sr=8-2&keywords=dan+stefanica

 

[Daniel Duffy]

"finding code" is the wrong approach IMO. Write your own solvers as this is the best way to become skilled at programming. This does not mean that you should not use open-source and commercial libraries.

3. If I want a refresher on the kind of maths needed for this, what can be a good resource?
This might be too optimistic; maths is not a subject that you can 'refresh' (especially if the groundwork has not been laid).

 

[John.Q.Wang]

Thread watched ;-).

I'm also interested in this field, wondering if I can make a living as a full-time quant after 20+years as a Python/Java programmer.
I've limited knowledge in finance/monetary/stocks stuff though, I'm do trying to self-educate by reading books. My math is medium. It'll be really apprecieted for advices on:

1. What is the path of learning to be a quant?
2. Where can I get those knowledge? (any websites or books recommanded?)
3. How long will it take for me, with my background, to be a qualified quant?

I know the last question is highly subjective. just want to hear some comments from others.