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Tech trends to watch in 2010

Andy — Tue, 26 Jan 2010 03:48:02 GMT

I'm no David Pogue. I'm not even a tech blogger. I visit few very specialized blogs or sites to find info or help on a specific project/problem I face at the moment. Having said that, there are big shifts in how the net is moving according to what I have seen the past year or so. This is my attempt to put down the narrow list of what I have noticed.

1. Open API
Everyday, I read my popular tech sites and one by one, big service providers start to open up their API. Facebook, LinkedIn, Amazon are the big names. There are little ones but very useful and niche that start offering this as well.
I believe the push is to attract more developers to use their API and hopefully come up with a game changing app. Proprietary software vendors are making their API accessible to anyone with an internet connection.

To see a list of all available API and what kind of mash-up (combine many APIs in one application) people can come up with, see ProgrammableWeb - Mashups, APIs, and the Web as Platform

2010 is a big year for developers who can utilize the massive amount of data and available API to come up with a creative app that will change the way we use the internet. Web 3.0, here I come. Someone somewhere out there is working on his next Google startup in his garage right now.

2. Social networking
They are everywhere. You, I, and our friends all have Facebook, LinkedIn, Twitter. Websites are coming out with creative way to make update, data sharing extremely easy.

You run out of idea to tweet? Don't worry, just click on the Retweet button.

Tired of updating your Facebook's status with "Going to the store"? Don't worry, click on that button to share a piece of news you are reading to your FB friends

linkedIn? Got it too. LinkedIn now allow you to connect your Twitter and blog account so people in your professional network can see what you are up to.

If Web 3.0 is somewhere around the corner, these social networking tools will be a big part of it.

A big fan of social networking? You must have seen this site Social Media News and Web Tips – Mashable – The Social Media Guide

3. New type of discussion forum
If you read this, you are probably members of a few other forums who run software that are in existence for many, many years. That provides a welcome familiarity to people who don't like sudden change on how they read the post or sign up. You know what to expect when you click that Register button.

What else is out there?

I have recently been using a few Web 2.0-ish sites that use a different type of discussion software. They are made popular by the guys at Stack Overflow. Their diagram says it all

These are very popular now with the developer community. While the UI is completely oversimplified, the biggest difference with the other forum software is how answer are voted and how people earn they "badges" for contributing.

Here is another site I frequent that use the same Stack software implementation.
OnStartups Answers

4. Freemium
According to wikipedia, "Freemium is a business model that works by offering basic Web services, or a basic downloadable digital product, for free, while charging a premium for advanced or special features. The word "freemium" is a portmanteau created by combining the two aspects of the business model: "free" and "premium". The business model has gained popularity with Web 2.0 companies."

We all know this without actually recognizing it. You can get a free account on LinkedIn that does pretty much all you need. When you want to send a message to someone who requests to be contacted only by premium members, you need to buy their site credits to unlock more features. It's "freemium" model at works.

You use Facebook and want to send your friends some virtual gifts? Buy Facebook credits.

You all heard about NYTimes.com planning to install a meter that will require you to pay to read over a certain monthly free limit. It's "freemium". Samething works on WSJ.com site.

When revenue from advertising is disappearing quickly, it's inevitable that companies will have to rely on other source of revenue without turning off their base of customers who will not pay a dime for things they are accustomed to get for free.

5. Conclusion
The internet is constantly evolving and the past year has proven we are just beginning to see the real promise of what an open internet, open information area can do for innovation. This makes the biggest recent net darlings like MySpace, Wikipedia so yesterday. I still don't know what the real business plan behind popular sites like Facebook, LinkedIn, Twitter but they need to keep innovating or be left behind by another fad, next hot thing. So does this site.

Baruch MFE, the insider view

VladimirBunicu — Thu, 21 Jan 2010 22:16:27 GMT

It has been a while since I hit the blog. Actually, the last entry was posted when I got accepted to the MFE program, oh, three semesters ago! Even though I still have one more semester to go, probably now it is a good time to make a wrap up and tell about my experience in the program.
Since 2008, I have learned much, which implies that I also had a chance to forget much. The knowledge got refined, some knowledge got shelved somewhere in my long-term memory, but experience have shown that all of it is accessible upon request.
The summer before the first academic year here started with a bundle of refresher courses, which were very useful later throughout the program, not to say they were crucial for academic survival on the program per se.

Firstly, my class of about forty students is worthy of note. It was a portfolio of forty diverse assets. Students with diverse backgrounds from finance, computer science, electrical and mechanical engineering, physics, statistics, pure math, law, liberal arts, and any combination of the above; each person is bright, sharp, "hand-picked" to succeed on the program and later on Street. Most of the students had graduate schools or vast experience behind them; five had doctorate degrees already.

The academic load was time-wise distributed with the main weight on the first semester, slowly decreasing towards the third, and had the spikes every week in the second halves of each semester (ah, those homeworks). I switched to part-time during my second semester, as it was really hard to keep concentration on both work and school. The second and third semesters were more practical, however all classes had some application to the industry. We had to code in almost every class (except for two pure math classes), with the emphasis on C++ (although for some projects we also used R, VBA, Python). Most of our homeworks had two practical parts: analytic and coding. Each homework project can be applicable in the industry, therefore organizing solutions and codes must be a habit from the first day of studying, starting with the refresher courses. Basically, one creates a library of solutions, applicable later at work. This way, when one gets to Street later, one not only knows how the things are done, but also has ready solutions, that could become ad-hoc with small modifications. Each homework is submitted by a team. We worked, collaborating in teams; I was in one of the strongest teams.
The concept of teams, by the way, is also worthy of note here. Each team is comprised of four to five students; the teams are fabricated with students with different backgrounds, so that the balance of financial practice, mathematics and programming is achieved. This way the work could be distributed appropriately among the members, and students could learn from one another. However, the relative work load in teams can be distributed unevenly, and that very much depends on one's background and relative strength to other teammates. Being in a strong team is not necessarily the best choice, there are cons and pros. If the team is relatively weaker, you will be spending more time doing homeworks and learning more by yourself. If the team is stronger, you will be the follower, and learn more from your teammates. In the end, no one gets a free ride regardless. However being in a well-balanced team is very important.
The classes are mostly organized as lectures; the practical part is moved from in-class seminars to homeworks. This is different from the system I was used to back in Russia (we had a mixture of lectures and seminars), however is well familiar to the US students. The core instructors are professors from academia, but we also had classes (whole course or guest lectures) taught by practitioners from the industry. And, of course, at all times we had Dan, our vigilant Director, who was going through our experience with us. If we, students, were the assets in a portfolio - Dan was the Portfolio Manager.
This pretty much summarizes the studying experience. Of course, standing shoulder-to-shoulder with classmates for more than a year, we have made good friends among students and faculty. There were "Thursdays at the Globe" - the socializing/drinking tradition after Thursday's classes; there were picnics; there were home parties and other events... but this is yet another story ;)

John Thain on the Financial Crisis and Beyond

Victor — Tue, 19 Jan 2010 14:16:05 GMT

"In this Wharton Leadership Lecture, former Merrill Lynch CEO John Thain offers his opinions as to what caused the crisis, what can be done to prevent it from happening again.." . Also, why shop at IKEA, what is a commode, and how to avoid charity events.

QuantNetwork is looking for beta testers

Andy — Fri, 15 Jan 2010 02:51:49 GMT

We're preparing to launch a new site with cool, exciting features and looking for a few beta testers to identify and report the early bugs. Testers will have early access to our beta site.

Ideally, you would use various browsers, have a twitter/facebook account. Your input will help shape the next Quant Network site.

Send me a message.

Thank you.

New Year's Resolution Oh Yea I Made One of Those

Andy — Wed, 13 Jan 2010 05:19:04 GMT

Every New Year, I follow the same ritual. I made a New Year's resolution and broke it. I barely remember what was last year resolution when another New Year comes around. This year figures to be no different so I'm going to do something different this year.

I will not make it all about myself. And I will have a concrete plan on how to achieve it.

Step 1: Figure out what my goal really is

Of course, I will need to lose weight. I will need to exercise more. I will need to drink more water and eat more organic fruit.

Does this sound similar? You probably have the same resolution for 2010. As does millions of other Americans.

The problem with my goal and probably yours too is that it�s generic. So what do you have to do? Refine it into something more tangible.

Assume I'm working for a company. My goal for 2010 is make more money for my company. That in turn will be more money in my pocket.

To make more money, I will need to get more clients. And to get more clients, I would need to come up with attractive products that my company can market. And since we are not in producing physical goods, it means I have to come up with new, unique virtual content/features.

So what's my real resolution for 2010? It's to produce more content. I'll start by putting more content out for the members of this community, the Quant Network.

I have put in some work since late last year and the fruit of it will come out soon. I'll start by blogging again and hope to see many more fellow QN members to join. It's another year, another decade, another chapter.

So, take a few minutes and tell me what's your real resolution for 2010?

Step 2: Get everyone on board

Behind every successful venture, there is a dedicated team. It can't be truer for the people behind this community, even more so for 2010 and beyond. We have big plans for 2010 and there are many people involved, both long timers and new comers.

Once everyone's on board, keep the plans front and center. Remind everyone what we plan to achieve for the new year and mark every little step/milestone in our road map.

Step 3: Break up your resolution

Most people fail because they set up a goal to big to achieve. You can easily get more things done by break them down to smaller, manageable goal. According to a study, 78% of the people who make resolutions fail because their goal is too large.

As I stated earlier, my goal is to produce more content for QN in 2010 and here is how I plan to break it up to 12 smaller goals. For example, I can set up a small goal for each month. It's certainly easier to achieve. It looks manageable and little things add up.

January: get at least 5 more bloggers to join and start a blog here. Ideally, they will be current MFE students or graduates and they will share their experience with us.
February: release the first version of the new QN. It will come with new content and features. Release the first mailing campaign for QN.
March: and so on.

Step 4: Conclusion

Just because you�ve already failed to achieve your New Year�s resolution like 78% of all people, it doesn�t mean you should give up. You just have to change your approach and the way you are thinking about it.

Here are the things you need to do:

1. Figure out what your real goal is. What�s the thing you have to do to achieve it?
2. Get your team pumped up! If your team isn�t on board, you�ll never achieve it. If you are not working in a company, get people around you, such as your classmates who can share your goal to work with you. If not, get your sisters, your mom to work with you.
3. Break up your resolution into 12 small goals. It�s hard to tackle a big problem, but it�s easy to tackle 12 tiny problems.

Here is to an exciting and busy 2010. The last decade has been full of big bad news. Let's hope the new decade will be full of good news.

Google Quant Staff

tigergb — Thu, 07 Jan 2010 21:28:27 GMT

Sharing a Google Quant Staff page I created initially for myself, the motivation was to make the job more convenient since I had to search in Google too many times per day, what's worse is sometimes I prefer video results, while sometimes what I need is just PDF documents or Matlab files. Adjusting frequently with Google advanced search makes me feel silk.

Google Quant Staff is by no means an invention, I just put several searching filters in one page, that's it.

For example, to find pdf documents about "Asian option", simply type "Asian option" in the form and click the PDF icon

Similarly each icon stands for one filter:

Searching results will be openned in a new browser window in Google as what I did was creating a page to filter results. You can also choose to search books in Amazon below.
PS: the page can also be used for keywords nothing to do with Quant staff as long as google catches them.

Anyway, hope you find it somehow useful: Google Quant Staff, bookmark if you like.

Top Quant codes collection you shouldn't miss

tigergb — Sun, 22 Mar 2009 16:08:39 GMT

To search and backup easier, I make a PDF file which includes so far most of entries of the Quantitative finance collector blog. This Quantitative finance codes list is partly what I have collected during my financial engineering learning journey. Most of the entries were written when I was at university, apparently many codes can not be used directly for a certain purpose, we can, certainly, learn the way the coders applied.

Although I try best to check each file before recommendation, downloading and using are at your own risk. Should you are interested and would like to track my latest collection, please visit my blog.

You can distribute this list as you want, the only wish from me is please ’do not change the sentences’ and leave the original links when you want to post somewhere, thank you.

Pricing ABX index for Newbies

Andy — Wed, 03 Dec 2008 03:59:41 GMT

Got asked this from one of my friends today. I found a bit of info here and there via google but no "ABX.HE for dummies". I thought I would put this article together for future reference in case someone (or myself) may get asked this during an interview with some of the credit rating agency or hedge fund working with mortgage portfolio.

All data reference is from MarkIt website since it's readily available and I've worked with their dataset before.

What is ABX.HE index?

When Markit Group Ltd. started indexes of the subprime-mortgage market in 2006, there was no fanfare. They were called the ABX.HE indexes, and for many months, most investors had no idea of the market measures with the wonky name.
Now, the indexes are some of the most closely watched barometers on Wall Street. They are a focal point for trading in the U.S. subprime-debt markets -- which lately have come to dominate attention on Wall Street because of problems at two big Bear Stearns Cos. hedge funds.

How does MarkIt collect ABX.HE index data?

From offices in London, Markit collects credit-default-swap pricing data from about 80 credit-market dealers. Markit's computers then compile and clean those data and distribute them early the next morning to clients

How does MarkIt publish ABX.HE index data?

Any given ABX.HE index comprises just 20 names, all of which are mortgage-backed securities with the same credit rating, and all of which were issued within six months of each other. Each name carries a 5% weight in the index.
The level of the index reflects not the price at which those names are trading, but rather the price at which credit default swaps on those names are trading. (The MBSs themselves barely trade.)

How does ABX.HE index data look like?

Source: http://www.markit.com/information/pr...dices/abx.html
If you click on each index name, it will show the constituents (20 mortgage-backed assets).

What does each column mean?

Here's the definition of the various columns:

Index. This is ABX-HE, the index for mortgage loan insurance derivatives.
Series. This incorporates two subfields:
Tranch. The values are: AAA, AA, A, BBB, BBB- . These are the investment grades. "AAA" is the highest investment grade, representing loans to the most creditworthy corporations. "A" is the investment grade for standard prime mortgages (the old fashioned kind, where you put down a 20-30% down payment, and then make monthly payments based on a fixed interest rate). "BBB" and "BBB-" are the investment grades for the riskiest subprime mortgage loans, with "BBB-" being the riskiest.
Version. The values are: 06-1, 06-2, 07-1, 07-2. 06-1 refers to loans made prior to the first half of 2006 (H1 2006 or 1H2006). 06-2 refers to loans made prior to the second half of 2006 (2H2006). 07-1 refers to loans made prior to the first half of 2007 (1H2007). 07-2 refers to loans made prior to the second half of 2007 (2H2007). The launch date for the index is determined by the Version: 06-1 was launched on January 19, 2006; 06-2 was launched on July 19, 2006; 07-1 was launched on January 19, 2007; 07-2 was launched on July 19, 2007;
Coupon. This is the annual payment. When you purchase this insurance, you have to pay this percent of the amount being insured at the beginning of each year.
RED ID. This is the index code identifier.
Price. This is the current index value, and it represents an additional premium price above the Coupon percentage. This price index is always 100 on the day that the index is launched. As investor confidence changes, this value increases as confidence increases, and decreases as confidence decreases. This is the value that analysts are watching, because it's been dropping like a stone.
High and Low. These are the high and low daily values of the index price since the index was launched.
Factor. The portion of principal currently outstanding is expressed as a Current Factor, which is initially 1.

How ABX is priced?

The ABX.HE indices trade based on price rather than spread, with a pre-determined fixed coupon (i.e., Fixed Rate) unlike the indices of corporate CDS, such as the DJ CDX and the iTraxx, with the exception of EM and HY. The fixed coupon is determined before the launch of the new series. If the quoted price of an index is different from par, the seller and the buyer of protection settle the difference when they enter into a transaction.
If the quoted price is below par, the protection buyer makes a payment to the protection seller. Over the life of a contract, the protection buyer pays the Fixed Rate Amount14 to the protection seller, based on the current notional amount of the index. As in the cash bond market, a market price above par means that the market spread is tighter than the fixed rate, and vice versa.
As in a single-name ABS CDS, the notional amount of an index is adjusted as any of the reference ABS (1) amortizes or prepays, (2) is written down, (3) defaults, or as (4) previous floating amount events are “reversed” (i.e., reimbursements occur). Unlike the single-name case, however, the index notional reflects change in the notional amount of all reference ABS in the index portfolio, which are initially equally weighted.

Now, let's take an example. Let's suppose that you're a bank, and you have $10 million in high-grade "AAA" mortgage loans on your books, and another $10 million in "BBB-" subprime mortgage loans. You're afraid that some of your borrowers won't be able to pay, and you want some insurance.
If you buy that insurance on the day that the index is launched, July 19, 2007, then you pay only the coupon price. In the case of the highest rated "AAA" loans, the coupon value is "76", and so you pay (0.76% x $10 million x Factor), or $76,000 for $10 million in "AAA" loans.
The rest of your loans are "BBB-" quality, and there the Coupon value is "500", and so you pay (5% x $10 million x Factor), or $500,000 for the same kind of insurance on your "BBB-" loans. Quite a difference.
That's what happens on the first day (July 19, 2007), because the Price index is always 100.

But now let's suppose that you waiting until today, Dec 2, 2008, to buy the insurance. (These are still loans that were granted in the second half of 2007, and so the "07-2" version is still what we want.)

On Tues, Dec 2, the price index for ABX-HE-AAA 07-2 (from the MarkIt table above) was 30.34. You still have to pay the $76,000 coupon price, but you also have to pay an additional ((100% - 30.34%) x $10 million x Factor) = $6,966,000. So, if you bought the insurance on Friday, you would pay a total of ($76,000 + $696,600) = $7,042,000.

LOOK AT THE DIFFERENCE YOU HAVE TO PAY TODAY VERSUS OVER A YEAR AGO. THIS SPEAKS VOLUME FOR THE QUALITY OF MORTGAGE SECURITIES.

Let do the same thing for our BBB- tranche.
On Tues, Dec 2, the price index for ABX-HE-BBB- 07-2 (from the table above) was 3.65. You still have to pay the $500,000 coupon price, but you also have to pay an additional ((100% - 3.65%) x $10 million * 0.861757612) = $8,303,034. So, if you bought the insurance on today, you would pay a total of ($500,000 + $8,303,034) = $8,803,034.

Here's a summary of all four computations:

Code:

Date           Index            Coupon  Price      Total payment computation
---------  ------------------  ------  ---------------------------------------------------------------------------------
19-Jul-07  ABX-HE-AAA 07-2       76     100.00   $10M x (0.76%) =    $76,000
19-Jul-07  ABX-HE-BBB- 07-2      500    100.00   $10M x (5%) =   $500,000

2-Dec-08  ABX-HE-AAA 07-2       76      30.34      $10M x (0.76% + (100%- 30.34%)*1) =    $7,042,000
2-Dec-08  ABX-HE-BBB- 07-2      500     3.65       $10M x (5% + (100%- 3.65%)*0.861757612) = $8,803,034

Conclusion

Now, armed with this newly found knowledge, let try to understand mortgage lingo talks in serious financial publication like Bloomberg.
During my google search on this instrument, I found a few people commenting that they couldn't understand the calculation found in this piece on Bloomberg published Feb 21, 2007.
http://www.bloomberg.com/apps/news?p...d=avEt.7ldbFGM

Prices for credit-default swaps linked to 20 securities rated BBB-, the lowest investment grade, and created in the second half of 2006 fell 3.9 percent to 78.59 today, and are down 19 percent since being introduced Jan. 18, according to Markit Group Ltd. The drop in the ABX-HE-BBB- 07-1 index means an investor would pay more than $1.1 million a year to protect $10 million of bonds against default, up from $389,000 last month.

Here is the calculation:
To buy protection for $10M of ABX-HE-BBB- 07-1 tranche in Jan 19, 2007, you would have to pay $10M * 3.89%= $389,000 using the data from the Markit table above.

The downsizing of prop trading

Andy — Wed, 05 Nov 2008 20:49:32 GMT

Recently, there has been reports of many investment banks cutting down on their prop trading operation. Much of these cut are not made public since prop trading operation remains somewhat secretive. Nonetheless, the downsize is very noticeable via gossip publication like Creditflux. Some announcements even made it to the mainstream media.
This represents a change in risk appetite among many banks. Many have shut down only a few desks, while others shut down the entire prop operation.

JPMorgan Chase
http://www.cnbc.com/id/27540074

NEW YORK - JPMorgan Chase & Co. is closing down a 75-person group that traded the bank's own money in everything from stocks to commodities, a person familiar with the move said on Tuesday.

The stand-alone proprietary trading desk had worked separately from traders doing similar work within various business lines. While most of the traders from the group will be laid off, some will be shifted into similar positions within the bank, said the person who asked to remain anonymous because he was not authorized to speak publicly.

My contacts at Barclays prop trading desk also reported downsize due to their taking on Lehman.
Creditflux reports that Merrill Lynch significantly downsized its US prop trading operation. It also reports that UBS is considering slimming down the operation or even shutting down their US desk.
Dec 4,2008. Bloomberg just reported that Credit Suisse will cut 5300 jobs or 11% of its workforce. The investment bank will reduce the scale of operations in complex products and exit some proprietary trading activities in the reorganization, Credit Suisse said. The majority of job cuts will be implemented by the end of June 2009.

Programming code for quantitative finance study

tigergb — Sun, 24 Aug 2008 14:47:14 GMT

There are many methods an investor can use when it comes to speculating on a financial asset and the minority of people who make a decent income from investing will almost certainly have a set of rules to which they adhere. There are those that are less complex and those that are more and the use of quantitative finance is definitely one which requires some level of technical knowledge.

But these techniques are becoming more accessible to your average investor thanks to programming languages and mathematical software that allows complex data sets to be processed and relatively simple outputs delivered.

The quantitative finance code index is a new website that has been set up to bring together examples of code that can be used with certain softwares to take data on an asset, particularly derivatives, and produce simple information that can greatly aid the decisions of an investor, for instance, black scholes model implementation.

A program called matlab is one of the most popular software packages to use for this sort of financial calculation which is why it is no surprise that the matlab code for financial engineering category is the biggest on the site and still growing. The code samples provided will help teach you many aspects of quantitative finance from the basics right up to advanced manipulations such as quantile regression.

Another well populated category utilises Excel VB code in finance to enable Visual Basic to model various things such as the multi-period binomial case and the Rainbow option price.

So you see these complex and yet effective investment techniques are no longer reserved for investment houses in the city. Any investor can now learn to use quantitative research at a much higher level than before to make sense of chaotic systems such as stock markets and derivative markets.

Finding a job in finance - Emanuel Derman

Andy — Thu, 14 Aug 2008 15:49:17 GMT

Here is an article by Derman appeared on Risk magazine (2004). This was before his book "My life as a quant" got published.

When you do get a job, even if it’s not exactly what you thought you were looking for, stick with it for several years. Get to be an expert in your firm that people around you can rely on. Make the best of what you’ve found and then, if you move, move cautiously – there are idiot bosses everywhere. A resumé filled with short innings doesn’t look that good. And when you leave, don’t tell your boss off; he may be interviewing at the same place you just moved to.

Download the pdf here http://www.ederman.com/new/docs/risk-job_market.pdf

Beijing 2008

Andy — Fri, 01 Aug 2008 02:53:57 GMT

Is anyone getting anxious? For all the Chinese members on Quantnet, this is probably one of the best highlights of their life so congrats ;)
The two events I'm most looking forward to is basketball and swimming. I expect to see Basketball USA revenges their embarrassing loss 4 years ago and reclaim world domination (whatever that means today). The first game would be again China (Yao Ming and friends).
Look for Kobe, LeBron to put on a good show.
As for swimming, the story would be Michael Phelps. It would be exciting to see how he tops his performance 4 years ago.
Next Friday, the big game will begin. Pollution in Beijing and all the side stories are a different matter, right :D

Let's see who will have the most total gold medals.

UPDATED: The complete Olympic TV broadcast schedule is here
http://www.philly.com/philly/sports/..._schedule.html

Top 10 reasons why Baruch MFE is for you

Andy — Tue, 29 Jul 2008 02:48:00 GMT

Top 10 reasons why Baruch MFE is for you

1) You do or want to live, study, work in New York City.

2) You want to study in a close-knit program that feels like a big family and be part of a growing, caring of group of alumni

3) You study part-time but want equal placement support and personal attention as full-time students

4) You want to join one of the most C++ intensive programs in the country

5) You want to get the most bang for your buck

6) If job placement is very important to you

7) You want 24/7 access to class, homework material from anywhere in the world with just a browser..

8) You want to build teamwork skills

9) Your input is highly valued and taken into account to keep the program ever evolving

10) The director
................

Feel free to add to the list and make it complete.

High living cost in NYC

physics — Fri, 18 Jul 2008 18:19:19 GMT

I am curious that how earnings of quant job beat to the high cost of NYC. I have never lived in NYC, but I am learned that NYC is so expensive. As a quanter, do you really save money in NYC? If I move to NYC for study, how difficult it would be for my kid's school?
After graduation as FEM, what places good for quant jobs except NYC? Currently, I am living in Maryland . The Washington DC area has been really great for us.

ex physicist

physics — Wed, 16 Jul 2008 17:19:33 GMT

Is there any one who are doing quant job without MFE degree, of course, except Derman?

Reference data - the complex life

Andy — Wed, 25 Jun 2008 10:17:08 GMT

I have a chance to work with a few data providers mentioned in this 2-year old article. Even though things have improved significantly since, it pains a good picture of what trading desk and hedge funds in the credit space face when it comes to clean, good data.

I found this article when looking for a new data provider.
http://db.riskwaters.com/public/show...ml?page=343550

If you work with CDS data, you will find much of the article spot on. If you interview for some of the credit desks, read this article.

Spain win EURO 2008

Yuriy — Sun, 08 Jun 2008 20:08:13 GMT

Saturday 7 June 2008
Match 1 Group A : Switzerland 0-1 Czech Republic
Match 2 Group A : Portugal 2-0 Turkey

Sunday 8 June 2008
Match 3 Group B : Austria 0-1 Croatia
Match 4 Group B : Germany 2-0 Poland

Monday 9 June 2008
Match 5 Group C : Romania 0-0 France
Match 6 Group C : Netherlands 3-0 Italy

Tuesday 10 June 2008
Match 7 Group D : Spain 4-1 Russia
Match 8 Group D : Greece 0-2 Sweden

Wednesday 11 June 2008
Match 9 Group A : Czech Republic 1-3 Portugal
Match 10 Group A : Switzerland 1-2 Turkey

Thursday 12 June 2008
Match 11 Group B : Croatia 2-1 Germany
Match 12 Group B : Austria 1-1 Poland

Friday 13 June 2008
Match 13 Group C : Italy 1-1 Romania
Match 14 Group C : Netherlands 4-1 France

Saturday 14 June 2008
Match 15 Group D : Sweden 1-2 Spain
Match 16 Group D : Greece 0-1 Russia

Sunday 15 June 2008
Match 17 Group A : Switzerland 2-0 Portugal
Match 18 Group A : Turkey 3-2 Czech Republic

Monday 16 June 2008
Match 20 Group B : Austria 0-1 Germany
Match 19 Group B : Poland 0-1 Croatia

Tuesday 17 June 2008
Match 21 Group C : Netherlands 2-0 Romania
Match 22 Group C : France 0-2 Italy

Wednesday 18 June 2008
Match 23 Group D : Greece 1-2 Spain
Match 24 Group D : Russia 2-0 Sweden

Thursday 19 June 2008
Match 25 Quarter Final : Portugal 2-3 Germany

Friday 20 June 2008
Match 26 Quarter Final : Croatia 1-1 1-3(p) Turkey

Saturday 21 June 2008
Match 27 Quarter Final : Netherlands 1-3 (aet) Russia

Sunday 22 June 2008
Match 28 Quarter Final : Spain 0-0 4-2(p) Italy

Wednesday 25 June 2008
Match 29 Semi Final : Germany 3-2 Turkey

Thursday 26 June 2008
Match 30 Semi Final : Russia 0-3 Spain

Sunday 29 June 2008
Match 31 Final : Germany 0-1 Spain

Spain win EURO 2008

Note: advancing teams in red

Boston Celtics Win NBA Title

Yuriy — Fri, 06 Jun 2008 04:09:10 GMT

Game 1: Los Angeles 88 - 98 Boston

Game 2: Los Angeles 102 - 108 Boston

Game 3: Boston 81 - 87 Los Angeles

Game 4: Boston 97 - 91 Los Angeles

Game 5: Boston 98 - 102 Los Angeles

Game 6: Los Angeles 92 - 131 Boston

Boston wins 4 - 2

Detroit Red Wings win the Stanley Cup

Yuriy — Thu, 05 Jun 2008 03:24:52 GMT

It happened in game 6, Detroit won the game 3 - 2. Trailing 1 - 3, Pittsburgh managed to score a goal 18:33 into the 3rd period but failed to score the 3rd.

French Open in Rain

Yan He — Tue, 27 May 2008 18:02:05 GMT

Kuznetsova, Safina advance at French Open

By CHRIS LEHOURITES – 2 hours ago
PARIS (AP) — Russian players Svetlana Kuznetsova and Dinara Safina advanced to the second round of the French Open on Tuesday before rain again disrupted play at Roland Garros.
The start of play was delayed by 2 hours, 50 minutes. Fourth-seeded Kuznetsova defeated Aiko Nakamura of Japan 6-2, 6-3 before the rain returned.
"I was first. I was lucky with that," said Kuznetsova, the 2004 U.S. Open champion. "I get in my match, so I have the rest of the day to relax, to take it easy, and tomorrow I practice and get prepared for my next match."
Safina, seeded 13th, defeated Kateryna Bondarenko of Ukraine 6-1, 6-3.
"I'm really happy that I could go through in two sets, especially before the rain started," said Safina, who missed the Italian Open with a back injury.
Each of the first three days of the French Open have been affected by rain, but Tuesday's weather was the worst. It led to the postponement of at least 20 matches, including top-seeded Maria Sharapova's encounter against Evgeniya Rodina.
Later Tuesday, Rafael Nadal was scheduled to begin his quest for a fourth straight French Open title against Thomaz Bellucci of Brazil. Nikolay Davydenko won the first two sets of his match before play was halted early in the third, and Lleyton Hewitt and 2003 champion Juan Carlos Ferrero were scheduled to play later in the day.
On the women's side, two-time Grand Slam champion Amelie Mauresmo was in the second set against Olga Savchuk on center court when the rain returned.
On Monday, Roger Federer added another win to his already burgeoning clay-court record this season.
Federer improved to 16-3 on clay in 2008 by beating Sam Querrey of the United States 6-4, 6-4, 6-3 in the first round. Federer is attempting to become only the sixth man to complete a career Grand Slam.
"I've played well all clay-court season long," said the top-ranked Federer, who is 27-7 overall this year. "Didn't have many hiccups really, and I have plenty of matches. That was my goal as well."
Federer came into the French Open with only one title this year, which he won on clay. His seven losses are more than he had for the entire season in 2004, '05 or '06.
No. 8 Venus Williams joined sister Serena in the second round, completing her win just before play was suspended Monday. The eight-time Grand Slam champion overcame a second-set lapse to beat Tzipora Obziler of Israel 6-3, 4-6, 6-2.
"It's nice to have a quick match but it's nice to have a challenge also," said Venus Williams, who had eight double-faults. "I'm glad at the end that I figured it out."
Third-seeded Jelena Jankovic also advanced, defeating Monica Niculescu 7-6 (3), 6-2. Anastasia Pavlyuchenkova of Russia, the youngest person in the singles tournament at 16, reached the second round by cruising past Maria Emilia Salerni of Argentina 6-1, 6-1.

:-\":-\"

What to do when you lost your Wall Street job

Andy — Sun, 25 May 2008 12:20:39 GMT

I saw this article on NYTimes late last night and I tried to stay awake to read this whole article. I find it to be spot on, straight to the point and a very good read for people who is about to enter the industry. I sure learned a few cold hard facts about Wall Street jobs i.e it's a high pressure job. Certainly not everyone can make or strike in this environment.

Wall Street Exodus: Fear, Panic and Anger

By SARAH KERSHAW
THE mind wraps itself around losing a job, one of life’s great traumas, in jagged and swerving fits. When the call comes in, when rumor turns to reality, when it’s not the broker in the next cubicle but you who is presented with a stack of severance papers, the psyche takes over.
It goes numb. It goes into survival mode. Fear quickly turns into anger. For some, there may be relief in saying goodbye to what therapists call the “psychological terror” that has haunted the corridors of troubled financial institutions since last summer. But what follows — the unknown — may be no less frightening.

Since August, banks worldwide have announced plans to eliminate as many as 65,000 jobs. Many losing their jobs now have lived through other crises on Wall Street — the 1987 market crash, the widespread layoffs of the early 1990s and the financial upheaval of 1998. But investment bankers, recruiters and psychologists say the current economic downturn, the cascade of layoffs and the steady beat of grim financial news have exacted an especially daunting psychic price.

“These are people’s lives,” said an investment banker in his 30s who was laid off in November from his job at a Bank of America office in New York. “It’s not head count. We’re not cattle.”
Like other employees interviewed for this article, the Bank of American employee spoke on the condition of anonymity. He and several others who were laid off said that under the terms of their severance packages, they are not permitted to sue the company or to speak out negatively about it.

In an e-mail message, Bank of America said: “Job reductions are sometimes a necessary course of business, but they are never easy, whether you are receiving the message or delivering it. We always try to be as respectful as possible.”

Even for some of those who survive a job cut, the emotional landscape can change. “It’s like I woke up and I’m in a different country,” said a person who has worked for Merrill Lynch for more than two decades and has weathered a recent round of layoffs there.

He described widespread anger, mistrust and angst at Merrill, both among those leaving and those staying. “People are reeling,” he said. “The culture has turned. It is a nasty culture.”
Merrill Lynch laid off 20,000 people in the wake of the Sept. 11 terrorist attacks, and while many Wall Street workers say the deaths of co-workers were a shattering experience, they draw a distinction between banks’ actions then and now. Merrill has laid off 4,000 employees this year. In this round, “these were self-inflicted wounds,” the Merrill employee said.

The Merrill banker spoke on the condition of anonymity, saying the company does not permit employees to speak to reporters without permission, and he said he feared retribution if he sought that permission or identified himself.
Officials at Merrill Lynch declined to comment.

MARLIN S. POTASH, a Manhattan psychologist who specializes in financial issues and whose practice has been overwhelmed with new clients from Wall Street in recent months, describes the emotional reaction as “the depression of the depression,” even as she acknowledges that the economy hasn’t ground into a recession, let alone a depression.

“This time versus other times, it feels like there are more moving parts moving faster, and more unpredictability,” she said. “The lack of predictability seems to be taking a huge psychological toll.” After the crash of 1987, for example, the markets stabilized quickly.

And even with the financial markets gaining some ground recently, analysts say that there is underlying panic, a sense that more bloodshed lurks, that upturns are only fleeting.

“The financial market volatility leads to a kind of emotional volatility,” Dr. Potash said. “There are seismic shifts, up and down and up and down: ‘I’m optimistic — the market’s looking good, the mortgage crisis is over. Oh, my God, they canceled an order. I can’t concentrate.’ ”

Among the patients who have seen Alden M. Cass, a psychologist who treats Wall Street traders and executives, are several who were laid off from Bear Stearns after the bank collapsed.

“They felt as if they were led with blindfolds on into a firing squad,” Dr. Cass said.
Officials at JPMorgan Chase & Company, which is acquiring Bear Stearns, declined to comment.
Dr. Cass and other psychologists and researchers who have worked with Wall Street employees say that these workers — often drawn to the intensity and volatility of their profession — are more prone to anxiety, depression, substance abuse and other mental stresses than the general population. They drive themselves hard. Working 10, 12, 14 hours a day is not only expected; it is also a badge of honor.

In some ways, these experts say, Wall Street types are perhaps better prepared to handle the shock of sudden change than those in more stable professions. But because they are typically measured by the size of their paycheck — bonuses, in particular — their self-worth is deeply threatened when the money evaporates.

“We’re talking about individuals who base their identities and egos on what they do for a living and how much they make,” Dr. Cass said.
Yet Wall Street is also a macho, “don’t let them see you sweat” world where showing self-doubt and weakness, whether to clients or co-workers, is about as welcome as a stock whose value is taking a nosedive.

Still, psychologists say, for those being laid off, whether or not they are comfortable expressing it, there is boiling anger, a sense of betrayal and loss that is bound to rise to the surface.
That appears to be true for the former investment banker at Bank of America who talked about being treated like cattle. He said he went numb when he was brought into a conference room with his manager and told he was being let go. He would get no bonus for 2007, either, typically 40 percent of his $120,000-a year salary, he said, and he was offered eight weeks of severance pay, which he accepted.

“I had no emotional response,” he said. Yet he is clearly angry now.
“Someone who shows up to work every day, that should engender some sense of loyalty,” he said. He was at Morgan Stanley in 1998, when it and other Wall Street banks were laying off thousands of workers. He had joined the bank in 1997, and before the layoffs, he said, “There was a sense of loyalty, they got my back, that sense of pride.”
“But that loyalty idea is gone for most of these banks,” he said.

He had been with Bank of America for three and a half years when the layoff rumors, swirling in his department for weeks, reached a high pitch. Since October, the bank has cut 1,150 jobs.
He looked for work for six months, ran through his savings and recently found consulting work. He is single, rents an apartment in Manhattan and is still paying off loans from business school, as well as several thousand dollars of credit card debt.

He says he decided to stick to consulting because he no longer believes he can rely on bonuses or the guarantee of a long-term full-time job. With the layoffs, he said, the banks are “destroying their greatest assets. It’s an us-against-them mentality now.”

KATHLEEN GURNEY, a financial psychologist, a researcher and the author of "Your Money Personality: What It Is and How You Can Profit From It," has developed several personality profiles of workers on Wall Street. Each, she says, will respond differently to layoffs.

The “High Roller” lives on the edge financially and becomes addicted to the thrill of earning large sums of money. But when things go bad, “they feel the greatest frustration both financially and psychologically,” she said in an e-mail message. The most common profile is what she calls the “Entrepreneur,” thriving on ambition but not taking as many risks as the High Roller.
“But they can be their own worst enemy in setting up ever-larger challenges and more rewarding challenges,” she said, and in the face of losing a job, the Entrepreneur may deny the emotional impact.

“Denial is a wonderful defense mechanism as it eases the pain,” she said, “but it also delays the day of reckoning.”
A third type is what she calls the “Money Master.” People who fit this profile typically earn less than and take far fewer risks than the other two types and are better prepared to handle market swings and even layoffs, she said.

“They can come out of it feeling even more confident than before if they use their flexibility and figure out a new game plan,” she said.

A 50-year-old Merrill financial adviser had already survived the 1987 stock market crash and crushing waves of layoffs before the Bank of America employee had even graduated from business school. For him, the layoffs at Merrill were not surprising, and the opportunity he took this month for a buyout felt like a gift.

He said that because Merrill would not authorize an interview, he did not want to be identified and risk jeopardizing the package, which provided him with 67 weeks of pay on a $101,000 salary, and the ability to stay on the company health plan, paying out of pocket about $400 more per month than he did when he was with the company.
He said he was sometimes irked by news media coverage that described the layoffs as shocking and devastating.

“If you went to school and you studied this industry and you studied economic cycles, why are you now surprised that this is happening?” he said. “It’s like going into politics and saying, ‘I didn’t know I could be voted out of office.’ ”

He described himself as very cautious in his own financial affairs and said he began planning for retirement early in life. “I’m in financial planning,” he said. “Isn’t it a sin not to do so for yourself?”

For others, though, especially those not close to retirement, the trauma of losing a job and the uncertainty in its wake can be devastating. That is particularly true for Wall Street workers, psychologists say, because their colleagues, family members and neighbors typically consider them to be financially secure.

“Since they are expected to be experts, job loss and financial strain can trigger shame and embarrassment,” said Bradley Klontz, a psychologist who specializes in financial matters. “The shame can be similar to a cop who gets mugged.”

FOR a 40-year-old midlevel employee at Bank of America in New York, being laid off was akin to losing her identity.

She had been in the industry for more than 15 years, and at Bank of America for five. But she was quick to say that no one should have a “pity party” for her when people earning far less were losing their jobs. In good years, with a good bonus, she earned as much as $400,000.
Still, it was the money that made her feel worth something, she said. “There’s not a sense that you’re helping the world,” she said. “I’m not curing cancer. If the money goes away, then what?”

She was offered 10 weeks of severance pay. “When I got laid off, I felt a sense of panic — what am I going to do next?” she said. But after that initial shock, she grew calm. “I don’t have to get up anymore and go and pretend things are fine when they’re not.”

She spoke on condition of anonymity because she said she feared retribution. She has been looking for jobs, but, as many recruiters say, it is an employers’ market.

She has had trouble sleeping; she has lost weight. She started therapy but wonders whether it is helping. Not having a schedule is disorienting. She was accustomed to leaving the house even before her child woke up and getting home after dark.

“The first thing people ask you is what you do,” she said. “If you don’t do anything anymore, then how do you feel about your- self?”

Stanley Cup Finals, Game 5

Yuriy — Sun, 25 May 2008 06:03:55 GMT

Game 1: Pittsburgh 0 - 4 Detroit

Game 2: Pittsburgh 0 - 3 Detroit

Game 3: Detroit 2 - 3 Pittsburgh

Game 4: Detroit 2 - 1 Pittsburgh

Game 5: Pittsburgh 4 - 3 Detroit

Detroit leads 3 - 2

Manchester United wins UEFA Champions League

Yuriy — Wed, 21 May 2008 22:12:33 GMT

Manchester United won the UEFA Champions League by beating Chelsea 6-5 on penalties.
The teams were level 1-1 after extra time. MU were better on penalties: even though Cech saved one from Ronaldo, Terry missed the penalty, and at the end Anelca's shot was saved by van Der Saar to give MU the 3rd UEFA Champions League win in their history.

Canada 4-5 Russia in 2008 Ice Hockey World Cup Final

Yuriy — Sun, 18 May 2008 20:54:00 GMT

2008 Ice Hockey World Cup Final

Canada 4-5 Russia

1st period 3-1
2nd period 1-1
3rd period 0-2
Overtime 0-1

Russia won in overtime playing 4 on 3 after canadian player was sent to bench for 2 minutes.

This is the 1st World Cup medal for Russia since 1993.

Zenit Sankt-Peterburg (Russia) won the UEFA Cup.

Yuriy — Sun, 18 May 2008 01:48:36 GMT

Zenit from Sankt-Peterburg (thats how it reads in Russian), Russia, won the UEFA Cup beating Rangers from Glasgow, Scotland. This is the 2nd time in the last three years a Russian team wins the UEFA Cup. The first was CSKA Moskva (correct prononsiation) in 2005.

The UEFA Cup is the 2nd most important club tournament in Europe. Next week in Moscow, Man. United will play Chelsea in the UEFA Champions League final.

Who do you think will win?

Also, EURO 2008 starts on June 7. Most (if not all) European leagues will either finish by May 18 or have a break for the duration of the championship. I plan on posting some info about the games, stats etc.

For those who watch hockey

Yuriy — Sun, 18 May 2008 01:40:53 GMT

Sunday is the last day of the 2008 Ice Hockey World Cup. The final game is Russia vs. Canada. Both teams played extremely well in play-offs and qualifying games. If you get a chance, watch this game. There is plenty of info about the World Cup on the IIHF (International Ice Hockey Federation) website www.iihf.com

Time to overabuse dancing bananas!

VladimirBunicu — Sat, 17 May 2008 15:18:40 GMT

To put it in three short words (and many more dancing bananas!)
:dance::dance::dance:I AM IN!!!!!!! :dance::dance::dance:

Thank you to those of you who were there to support and encourage me to prepare and apply to Baruch MFE program, as well as to those who made the final decision. :tiphat::cheers:

BE WELL

Yan He — Thu, 15 May 2008 17:23:12 GMT

看了这篇文章，泪水不断。可爱的孩子成了孤儿。
Toddler survives quake after 43h, thanks to dead parents

2008-05-14 00:32:13 Xinhua English

Song Xinyi, a 3-year-old earthquake survivor, is saved in earthquake-hit Beichuan County, southwest China's Sichuan Province, May 14, 2008. Song was saved after being buried in the ruins for more than 40 hours. (Xinhua Photo)

Soldiers carry Song Xinyi, a 3-year-old earthquake survivor who was saved in earthquake-hit Beichuan County, southwest China's Sichuan Province, May 14, 2008. (Xinhua Photo)

Song Xinyi, a 3-year-old earthquake survivor, is saved in earthquake-hit Beichuan County, southwest China's Sichuan Province, May 14, 2008. (Xinhua Photo)

Song Xinyi, a 3-year-old earthquake survivor, receives medical treatment after being saved in earthquake-hit Beichuan County, southwest China's Sichuan Province, May 14, 2008. (Xinhua Photo)

BEICHUAN, Sichuan, May 14 (Xinhua) -- A three-year-old girl in Beichuan, one of the counties that suffered the most from Monday's earthquake in southwest China's Sichuan Province, has magically survived under the dead bodies of her parents.

Song Xinyi's legs were seriously injured under the weight of her parents and many layers of rubbles, but she could still talk when rescuers pulled her out at 9:40 am, after more than 40 hours.

She explained the three Chinese characters that made up her name, and told everybody she loved painting and watching TV. Despite a coin-sized wound on her forehead, she still looked pretty.

Doctors checked her wound and bandaged her, but said an immediate operation was probably the only way to save her legs.

Premier Wen Jiabao, who visited Beichuan on Wednesday morning, consoled her and checked her wounds before she was carried onto an ambulance and sent to hospital.

Rescuers found Song on Tuesday morning, but were unable to reach her right away. Her head and shoulders were seen but her legs were buried under her parents' bodies, and any careless moves could cause her further injury.

They gave her food, milk and sheltered her from the heavy rain as they cleaned the ruins to approach her.

Early on Wednesday, a group of rescuers from Liaoning Province brought tools to lever the wreckage while others supported the ramshackle wall with chunks of wood to prevent it from toppling.

As the crowd celebrated Song's survival, they lamented her parents, who sacrificed their own lives at the critical moment to save the little girl.

Attached Thumbnails

Financial health of citi bank

siddhartha — Fri, 02 May 2008 08:41:14 GMT

Hi,
In the last few months there is lot of things being told about citi banks financial health. Can we have a discussion over citis various aspects on the blog. We can put our views over the blog and can start discussion................

Hi I want to know something

siddhartha — Wed, 30 Apr 2008 13:10:38 GMT

Hi, I am a biotechnology graduate from India. I am working with a Information Technology MNC. I want to pursue MS in finance. My gre score is 1390. Please tell me :
1. Do I have to take GMAT for admission and securing scholarship.
2. Which are the good Universities.
3. Will my graduation background impact my chances of getting admission.
4. What are the job prospects after Completing MS Finance.

Actually I will go for it only if I get scholarship. I had been working in IT since nov 2007 and willing to take admission in Jan (spring) 2009 or Aug (fall) 2009

When I grow up I want to become an astronaut. Or maybe a quant.

VladimirBunicu — Wed, 30 Apr 2008 07:09:51 GMT

I am excited, and have been awake for over 40 hours now. I just decided to write down my thoughts and emotions to alleviate the tension so that I could sleep.
There is a famous "blonde" joke :smt061, when a lady was asked what would be the probability of meeting a dinosaur in the street. Her firm answer was, "50 per cent". When she was asked to back up her answer, the blonde confidently explained, "Well, it is simple. Either I meet a dinosaur, or I don't!"
This week I have applied to Baruch MFE :tonqe:, and now, following the above stated logic, I have a fifty percent chance of being accepted :)
This is the first time I apply to grad school. To say more, this June will be the first time I graduate from somewhere! I have changed 3 schools and 3 colleges, but never actually graduated from any of them, always transferring. Even the high school years finished abruptly on the first semester of my 10th grade, when I was accepted to university. So I am kind of jealous to people who actually partied on a prom, holding a high school diploma in one hand and a sexy classmate :smt061 in the other; took a ride in white limo; got drunk like there was no tomorrow :partyman:- and there surely was no tomorrow :):deadhorse:
Regardless of the verdict from admissions office, the studying and preparation for the program is a pleasure by itself; for the last year and half my understanding and interest about finance and mathematical applications in finance have improved drastically :smt115. Before reading the books, articles and posts from Quantnet, as well as taking certain classes, my perception of the word "quant" was pretty childish.
You know, in Russia when asked, "What do you want to become when you grow up?" a kid would answer "I want to be a cosmonaut" (or astronaut, but in Russia we have cosmonauts, they are more cool :smt006). In child's head there is no specific understanding of what cosmonauts particularly do, except for that they fly in space and get awarded with the Order of the USSR Hero. A year ago, my abstract perception of a quant was somewhat similar to a child's perception of a cosmonaut. In real life there is no such unified concept as "cosmonaut", since there are many kinds of them, each having their own role in exploring space. And what is more to it, only one out of hundred gets into space!
I want to thank Quantnet members for being informative, educative, supportive and friendly. I am very happy to meet good friends, among both students and faculty, at Baruch and on Quantnet.

Eliot Spitzer and the call girl

Andy — Tue, 11 Mar 2008 02:58:57 GMT

Probably the story of Monday would be news that NY Gov. Eliot Spitzer has been linked to a prostitution ring. When the news broke on NYTimes and then on CNBC, I heard several people snickered and made jokes. One kept repeating "niceeeeeee" every time a new detail emerged on TV. :D
He probably didn't have many friends on Wall Street and there are people who love nothing more than to see him goes down in this fashion.
Some said he got set up, some questioned who paid for Client 9. He is definitely done with his political career.

A tough time to find jobs this year (Part 2)

Andy — Thu, 06 Mar 2008 06:45:09 GMT

The last time I blogged about the job scene for the 2007 MFE class, things were bleak. Now, it appears things are really, really bad at most of the well-known programs. I thought the Baruch students who graduated in Dec 2007 were in a bad situation but now all thing considered, we do a remarkable job.
The official stat the last time I checked was that 17/20 students got jobs. That means there are officially 3 more students still hunting until the end March. Through unconfirmed, I also heard that one more just got offer recently. I haven't been up to date with this matter but I have absolutely no doubt that my classmates will be able to land good offer by the end of March.

When that happens, we will be able to look back and realize the significance of this. That would mean Baruch is only one of the few that able to place 100% its students despite the deteriorating job market. This is not without some effects. The starting salary is not as high as we hope and some offers took longer to materialize. Also, some positions where our students did internship did not extend an offer as banks pulled back hiring plans.

Now let's make a round to see how everyone else is doing. I will only focus on the programs in NYC and other highly regarded ones.

Columbia MFE program:
This seems to be the hardest hit program this year. To be fair, we don't know how well they placed their students last year since there aren't much info to go around but this year, words got out that their flagship program has placed only 15/67 of MSFE graduates. And no student in MSOR got placed by end of Jan. That does not include the students in MAFN, EMS, Stats, PhD.
This is what being posted around on GD by a student from their program. I also heard this from others with knowledge of their placement this year.

Apparently, the size of their program and a lack of internship are not helpful factors in this market.

CMU MSQF program
This used to be the one that sets a standard very high on placement and salary for their graduates. According to this post, many of their students end up back in Asia. While it was not exactly the location they had in mind when joining CMU, I guess they are just happy with any job now.

Chicago MF program
I haven't heard much about their placement but everything I heard indicates they used to do a good job
Updated: it looks like UChicago is not immune from this year condition either. Read here (post #16)

NYU MF program
Similar to Chicago, NYU has nothing but praise this year. I'm sure Peter Carr and his extensive network of contacts play a big part in this. Actually, both Dan Stefanica of Baruch and Peter Carr are being highly regarded for their tireless efforts to place their student. You can read the remarks by Dominic Connor (Paul Wilmott's partner) on Wilmott here (the 11th post down). It's inside a damaging thread about Fordham program but that's another story.

So after you have a broad picture of how most expensive, well known programs fare this year, you gotta appreciate all the fine jobs that we do at Baruch. When the market is bullish, everyone got jobs and it's impossible to differentiate the good from the bads. When the market hits the fan like this, all the hard work plays up.

I can imagine Prof. Dan Stefanica has to work harder this year than ever but I bet he wouldn't trade his position for others at more prestigious counterparts.

Now that I cover the placement for the 2007 graduates, I need to mention the fine jobs that the 2008 students are doing. The internship positions that they have obtained by now are nothing short of spectacular. If I remember correctly, my class obtained internship much much later last year.

Here is a partial list of the internship positions the Baruch students will be doing in summer 2008. I will be updating this once I got more good news.

BNP Paribus, Fixed Income, Tokyo
BNP Paribus, Index Arbitrage desk, Tokyo
Societe Generale, Option trading, Tokyo
JP Morgan, Structured credit, Tokyo
Bank of New York, Risk Management, New York
Bank of New York, Risk Management, New York
UBS, Fixed Income Sales&Trading, New York
Barclay Capital, Equity/IT, New York

It looks like Asian offices are recruiting heavily. I think most people who intern there are from Asia so they may be setting up themselves for great positions after graduation.

It may be a mourning period at other programs now but I see plenty of positive things we can lean on during this difficult time at Baruch.

What makes an "Ivy League"?

VladimirBunicu — Wed, 30 Jan 2008 06:14:00 GMT

What would be the criteria for college/university to count as an "Ivy League" school?
The Spring 08 semester will most likely be the concluding semester of my undergrad. Each semester has been bringing me gifts, such as new friends, inspiring professors, loads of knowledge, skills, fun and much more. And I expect more of these by the end of the spring :)
This week I got acquainted with some more bright students, sweet girls, and five more professors. Talking about faculty at Baruch I want to emphasize their backgrounds: out of professors whose student I happened to be, about 80% from Finance department and 100% of Math department faculty hold Ph. D. from Ivy League schools (Columbia, NYU, MIT and Stanford) and have sufficient real world experience.
I am turning into a Baruch fan :) Not to mention state-of-art library, trading floor, "smart" classrooms, gym... Career development center with numerous workshops... And the location of the college is at the bull's eye pupil, so to say.

So what makes an "Ivy League"? Is Baruch getting recognition?

Automation

Andy — Tue, 29 Jan 2008 05:16:02 GMT

I was looking for way to access windows api via C# but found the .NET library is rather limited. it leads me to pinvoke.net - a wiki with all win32 api function. Via this, I can access all windows control such as graphic, sounds, etc...much like how WinXP controls it.

I think it's pretty nifty.

Code:

 [StructLayout(LayoutKind.Sequential)]
[DllImport("user32.dll")]
public static extern int ChangeDisplaySettings(
   ref DEVMODE devMode, int flags);

Then I found http://www.autoitscript.com which has a program that allows you to write script that can do lot of useful things. Things i tried to use C# to accomplish now can be done using some short script. For example, we have 3 monitors and we need to disable 2 of them so that we can remote log in from home. It's a hassle to do it manually or C# (this is where user32.dll comes in). With Autoit, I can do the same with this script

Code:

; exec cpanel app `display settings`
Run("C:\WINDOWS\system32\control.exe desk.cpl,@0,3")

; wait for window to be active
WinWaitActive("Display Properties")

; select 2nd display
Send("{TAB}")
Send("{DOWN}")

; work back to the ‘extend desktop’ controls
Send("+{TAB}")
Send("+{TAB}")
Send("+{TAB}")
Send("+{TAB}")
Send("+{TAB}")
Send("+{TAB}")
Send("+{TAB}")

; toggle ‘extend desktop’ control and apply
Send("{SPACE}")

Send("{ENTER}")

Happy New Year!

Yuriy — Thu, 03 Jan 2008 05:43:45 GMT

Happy New Year to everybody! :)

2008 will be a wonderful year with so many things to do and to take care of.

We will have Euro 2008 in the summer that promises to be one of the best Euro championships.

New Year resolutions

Andy — Wed, 02 Jan 2008 03:17:35 GMT

2008 is finally here. It will be a good and full of interesting events year. 2007 was a year of hard work.
I wish everyone a new year with many wishes realized. If you are looking for jobs, I wish you quickly obtain a great job that you truly enjoy. If you are in or thinking about an MFE program, best of luck.

I know that I'm supposed to have only one or two resolutions. I never made any resolutions so I'd just start a new year with something new. I'll make a few resolutions this year and see if I can keep or make it at the end of the year. I'd like to hear from my blog readers as well on what your resolutions for 2008

Be proficient with a new programming language.

I already have Visual Studio 2008 setup and been playing with it for the last few weeks. My resolutions is to be proficient with C# (VB.NET is quite similar and I can pick up along the way). I can see we moving to the .NET platform and it can help my job more efficient.

Maintain a high level of energy, enthusiasm in everything I do

I think it contributes to everything I have done the last year.

So what is your New Year resolution ?

Networking is essential

Andy — Sun, 23 Dec 2007 05:34:21 GMT

You probably have heard it a thousand times before. That's networking is the key to getting a job in the finance industry (any industry for that matter).
It seems everyone knows each other in this business. It's really a small world. It's probably not "six degrees of separation" but rather "three or four degrees of separation" when it comes to people on Wall Street.

It turns out that my boss and I went to the same PhD program, had the same adviser and studied the same subject 10 years before I started mine. It's funny when we found it out.

I came across Roger Ehrenberg a while ago on his blog informationarbitrage.com. And Roger introduced Elias Ladopoulos to me. Eli works for Roger as Director, Applied Research/Analytics at Monitor110.

I grabbed a drink with Eli last week. He is a great guy. Somehow he reminds me of a young Keanu Reeves.

Eli was in the Baruch MFE program briefly couple of years ago before work/family forced him out. I saw his post in the Introduction thread months ago but didn't reconnect it until now.

Roger used to run DB Advisors LLC which is now DB Alternative Trading LLC - the group I work under.

My new year resolution would be to network more. Networking may get me in the door but one can only benefit further in his career when keeping his mind and eyes open to any other opportunity. I would like to get to know more people, learn more about what they do. I'm of the belief that people may work in different product space but there are always things I can learn from their experience, expertise.

And for those still in school, I can't just stress enough how important it is to open up your professional network. Remember that networking is a two-way street. Don't just hit people up when you need a favor, a job, internship, etc. People network with you when you are genuinely interested in their work and offer your time and help in return.

I'm seeing a positive trend in this year group of Baruch MFE students. I see more of them on LinkedIn. I don't remember seeing any of us on LinkedIn the year before. It's a good habit to build and I'm sure they will benefit greatly sooner or later.

HAPPY NETWORKING

A tough time to find jobs this year

Andy — Mon, 17 Dec 2007 05:40:53 GMT

Some of my online friends who study at other programs in London (LSE) told me that their didn't receive any offers from the IB they interned during the summer. Some of them got the offer withdrew due to the desk's headcount being cut.
When you add the immigration issue to the mix, it is not a pretty picture. There was some change in INS policy a few months back that greatly affected H1B visa wait time. Some people told me their firm didn't extend the offer because they can't file the H1B visa for another year or so.

So some of my friends head back home to Asia. It's good to know that China, India market is growing at great pace but it is sad that the market condition in the US has made lot of people unable to find a job.

Who would have thought about this just a few months ago. The market was doing great at the beginning of the summer. Last year job prospect was great.

I heard the same stories from people at NYU, CMU, Columbia as well. This does not apply to any specific program or location. There are people who went on to several interviews without any solid promise of an pending offer.

If you just start your MFE this semester, keep studying hard. Who knows what will happen next year. It may recover as fast as it felt into a slump this year.

If you are on the job market this year, work a bit harder. There are opportunities out there to be found. This is not a time to be pessimistic.
Best thing to do is to take a break during the holiday vacation. Travel somewhere. You deserve a break after a long and hard study. There is no hiring during holiday so take this time off and rest. When you start working, it will be long before you can get a vacation.

When you are back, hit the job market hard. People in the program are working extra hard to assist you but you have to put 100% into it yourself. I would hate to see people just give up when things turn bad.

If you do everything you're supposed to do, instead of getting a job offer by now when the market is good, you will likely get an offer in Jan, Feb. That means having a break between graduating and working.

It's a positive thing, right :)

The pulse of Wall street

Andy — Sun, 16 Dec 2007 05:47:47 GMT

There is no better place to feel the pulse of Wall Street better than on a trading floor. Every movement on the market is quickly shown on the reactions of the traders. You hear people curse, scream in disgust, clap. All sort of emotion.
The flow traders seem to live and breath with the market. They are happy one minute and sad the next with every tick of market prices.
On the other hand, prop traders are mostly out of it. They go about their business every day quietly. There are not as much excitement and chatter as their flow counterpart.
It's amazing to see how much time the flow traders sit glued to their Bloomberg screens. For them, every bps counts. Except when they go the restroom, water cooler, the majority of their time is in front of their terminal. They usually order in and eat in front of their computer.

As their spend so much time on Bloomberg, they kill time by telling stupid jokes, talking about girls, emailing Bloomberg article around, all the usual guys stuff. Since there is no female on the floor, some of the talks are sometimes X-rated. It's hard to keep a straight face when those guys get a bit silly.

When the Fed lowered the rate by 25bps, you can see the disappointment on their face, talks. And you see Bloomberg news about the market reaction. These guys are spot on indicator of how the traders react to the market.

Very nice charts

Andy — Sat, 08 Dec 2007 04:49:32 GMT

My friend mentioned about products from Dundas and ComponentOne. They are advanced visual data tools that provide many features over the basic Excel charts.

I will look into this kind of tools and hopefully play more with the .NET set. It looks really cool.

Deutsche Bank Chief Turns Down Chance at Citigroup

Andy — Wed, 05 Dec 2007 04:57:08 GMT

Dec. 4 (Bloomberg) -- Deutsche Bank AG Chief Executive Officer Josef Ackermann turned down an opportunity to pursue the top job at Citigroup Inc., the biggest U.S. bank, according to a person with knowledge of the matter.
The New York-based bank contacted Ackermann by telephone about two weeks ago to ask the Swiss-born manager if he'd be interested in becoming CEO, said the person, who declined to be identified because the talks were private. Ackermann will stay at Frankfurt-based Deutsche Bank, the person said.

``It would look good for Deutsche Bank if Ackermann was being considered for the job,'' said Philipp Musil, who helps oversee more than $24 billion at Constantia Privatbank AG in Vienna.

``He's got a good track record running a large multinational bank with retail and capital markets exposure,'' said Andrew Lynch, who helps manage $8 billion at Schroder Investment Management Ltd. in London and doesn't hold Deutsche Bank shares. ``It's not as large as Citi, yet it's still a key player in global markets.''
http://www.bloomberg.com/apps/news?p...TMU&refer=news

Very interesting news indeed.

Euro 2008 Groups

Yuriy — Mon, 03 Dec 2007 07:44:35 GMT

My experience finding a job

Andy — Mon, 26 Nov 2007 02:42:55 GMT

So what was my goal when I applied to the Baruch MFE program in 2006 and what did I achieve at the end ? This story would hopefully give readers some realistic perspective when it times to go on their own job searching.
When I learned about the Baruch MFE program in March 2006, I knew right away it was a very good deal. The salary stats on the website were very tempting. While I knew the numbers are not indicative, I knew I would get more return going MFE than doing whatever I was doing at the time.

So here was my calculation at the time.

I was in my second year in a Math PhD program and let's assume that I would continue to find money/time/passion to finish the degree in the next 4-5 years. Let's say I got a PhD 5 years later. Then I would then spend the next 1,2 years doing post-doc and searching for tenured track assistant professor positions at some public colleges in NYC. Best I would hope is to make 50K-60K a year. Then maybe 80K a few years and several pay scales later. Not really exciting when you live in NYC right ?

So what about the Baruch MFE deal ?
Up front investment: 10K in tuition and around 18 months of intense training.
Return on Investment: potentially first year salary in the neighborhood of 100K

I understand that the deal is if I got in the program, work hard and do everything I'm supposed to do, the program will provide me with training and opportunities to obtain jobs with the knowledge I learn.

I understand that under no circumstance, admission to MFE program guarantees a job with 100K base salary. And I'm not aware of any other MFE program that can provide that promise even you pay 60K-80K tuition there.

So the responsibility is in the students hands to obtain the jobs, not the program. I've seen my fair share of people who just sit back and unrealistically expect firms to email them the offers. They should understand the deal when they come into the program. You have to be proactive and spend lot of time to prepare for interview, look for internship and full time opportunities.

Also, be positive. About everything.

If you interview a few places, chances are you will bomb in one of them. If you don't get an offer, just keep in mind that the next offer will be much better. Always.

So where does the MFE program fit in the picture ?
The program will give you access to positions you wouldn't have otherwise. They do it via alumni, networking, relationship with firms. If you look for an entry level job to break into Wall Street, this is everything you need to start your career. And this is why so many people willing to pay $80K a year for expensive programs like CMU and the like.

Now, back to my job searching experience, while I highly encourage all to do the job hunting aggressively, my bet is that you will end up with a job via the program. That has also been my experience.

I was able to get interviews with Credit Suisse, Bear Sterns, Deutsche Bank, UBS and some credit hedge fund via the program contacts. I would not able to get this many interviews without being in the program even if I have a PhD. This just goes to show why Baruch MFE opens many doors. This, in my calculation, is worth all the money and effort.

Just for comparison purpose, I did apply to Fitch internship online and got an interview. But the kind of positions I found online is nowhere near the kind I found via the program contact. Someone mentions that most of the best jobs are unadvertised. This may explain it.

So now it's Nov 2007 and I couldn't be happier of how my decision to join the Baruch MFE program turns out. I am working in a good team doing very interesting thing. It's relevant to what I learn and most importantly I love and learn new thing every single day. I owe this to the director of the program who has helped me along the way. He has his hands on most of the building blocks that leads to where I am today.

In conclusion, I hope that the readers will agree with me that a positive mindset will go a long way when it's time to get an entry level job on Wall Street. And my experience is one I hope will show that if you keep your part of the deal, you certainly will get the outcome you sign up for.

Russia have qualified for Euro 2008

Yuriy — Thu, 22 Nov 2007 11:02:46 GMT

Magically Russia have qualified for Euro 2008 because England lost to Croatia at home 2-3.

Israel 2-1 Russia, a very painful loss

Yuriy — Mon, 19 Nov 2007 06:59:41 GMT

On Saturday, 11-17-07, Russia lost to Israel in their next to last Euro 2008 qualifying game.
Given that Russia are a better team, they were supposed to win. Now that they lost in Israel, the only way Russia can qualfy for Euro 2008 is if England lose to Croatia at home and Russia win against Andorra. The second is not hard to do, but the first is almost impossible, since England and Russia are fighting for the 2nd place in the group (Croatia has claimed the first).

music websites (updated)

VladimirBunicu — Wed, 14 Nov 2007 08:22:00 GMT

Updated: 11-14-2007
From silicon valley comes another music website. :-\"MediaMaster is a player that makes your music accessible from any computer with internet access. \\:D/The difference from an online radio as Pandora is that you can upload your own music files and keep your music library on the web. Again, it is free :)

Updated: 11-03-2007
Yet another nice music website that I discovered recently:
Pandora is an Internet radio by Music Genome Project.
I heard that the inventors researched music recognition to create a search engine - but it didn't work out, however they invented Pandora as a byproduct. Very nice byproduct :)
In Pandora a user creates personalized radio stations by entering a name of a favorite song or artist. What Pandora does, it creates a radio station on this request, searching for a similar songs. One user can create numerous personalized streams.
Ads-financed, though ads are not noticeable at all - just banners, and hey, you don't hear them ;)... So the service is free, I really recommend it.

____________________________________________
09-19-2007
Today I spent more than an hour studying this:
http://www.di.fm/edmguide/edmguide.html

Electronic music is everywhere now, so this approach (as through music history) gives some exposure to fundamentals of day-to-day environment. As a fan of Psy Trance I was happy to find this visual aids.:dance:
I wish they had similar tree for classical music.

I have roots again!

VladimirBunicu — Wed, 24 Oct 2007 18:14:20 GMT

I thought immigration was easy for me. The truth is, when a plant is being transplanted to another location, it loses its roots. Hence, it sacrifices time to root again, instead of growing higher. It might not realize that it is not growing, until the time when it meets the plants that have not been transplanted.
This week I have discovered a website called "odnoklassniki.ru" - a Russian replicated realization of classmates.com. And what I've found, that my classmates from schools and universities are now a) mostly married
b) some have kids
c) most of them successfully work in field of finance and
d) the guys who were studying applied math with me are either traders, derivatives traders, or quantitative analysts in large investments banks and other investment companies! And besides that, few guys have their own successful businesses.

With my reference points restored, I realize that I was growing much slower, and was spending my energy, rooting instead.
At the same time, I also realized that I have great potential for growth and can further absorb knowledge. With the given procrastination, I will be a hot shot in 2 years (and that date coincides with expected MFE graduation date :) ) Its weird to take the acceptance to MFE as given, however I have no other choice to catch up with math and finance, but to graduate with MFE...

Feel soooo energized! :dance: I believe that is what Larry Simons called a "fire in your stomach" on his yesterdays presentation...

Part time or not ?

Andy — Tue, 23 Oct 2007 04:07:19 GMT

I have always been a full-time student my entire life which means I managed to not get a fulltime job while in school. I worked during school before but those jobs are not conflictive with my schedule. Until now.

I can't brand myself a full pledged part timer. At best, I'm just a pseudo part-timer since this is my first semester I have half course load. And next semester will be my last if things go according to plan.

I have seen many of my classmates who work full time, take 2-3 courses, with family responsibility. To top it off, they have children and a long commute to school. My hats off to them.

Working and studying are a balancing act. There are times when I have to choose between staying late at work or leaving early for class. I wish I never have to do it but being new at work, I don't have the luxury as many classmates who have been in the job for years.

The biggest downside is that school no longer interests me as much as it used to since I started working. I find it harder to concentrate on lectures after a long day at work which isn't new to anyone who's been studying and working.

So to all my friends who about to graduate and get a job, enjoy your few months left. You'll be glad you finish school before working. And to all of my friends who working FT and going to school at night, hang in there. It's a big commitment and I hope it pays off handsomely.

This gets back to the advice I've been telling everyone even before I start working: if you can afford it, study FT, get it over with quickly. MFE is a very intense program and working while studying takes away the focus and dedication that your study requires. If you are doing just that currently, stay focused and God bless !

Outlook for Trader Bonuses

Andy — Sun, 21 Oct 2007 05:40:30 GMT

Catch this article on Advanced Trading from a link on Roger's IA site. The article quoted Roger on the bonus issue but I also found some bit of useful info there.

Going forward, more experienced traders, especially in the structured credit world, will work for less money, says Dolfino. Traders in junior positions who can do hybrid trades — equity or fixed income, cash or derivatives or a combination thereof — will still have a role to play to especially on the corporate side as it pertains to high yield and distressed debt, says Dolfino.

Since most Wall Street firms make money through their proprietary traders, the question is how will traders generate profits under tighter guidelines? “They need to define and quantify the nature of risk and not just shoot from the hip, as most traders are known to do,” says Dolfino, adding, “It’s tougher, more commoditized and more regulated market.”

The full article can be found here http://www.advancedtrading.com/blog/...k_for_tra.html

I also found that the site has a photo album of UBS trading floor. We visited them before but no picture was allowed so this is a great time to see up close. I posted the link on the UBS thread but here it is http://www.advancedtrading.com/galle...l?galleryID=20

While browsing through a couple of articles here, this one caught my eyes. It's pretty accurate in describing the problems most desks have trading OTC products. Once a trade is done, there are so much work involving in confirming, clearing between many counterparties and dept within a bank. Money is not that easy to make
Link http://www.advancedtrading.com/resea...leID=201201909

Presents, books, fractals and RAM are students' best friends

VladimirBunicu — Fri, 19 Oct 2007 22:49:31 GMT

Hooray, yet another wonderful present from my boss! =D> He always gives me books, and I already can't follow up reading them.
This time it is "Fractals and Scaling in Finance: Discontinuity, Concentration, Risk" by Mandelbrot. What's funny, coincidentally we were discussing fractals with Christian last week.
Professor Shaw at Baruch had also mentioned fractals on one of his lectures, in regard that some guys were trying to calculate the length of observable plot for stock price movements, and couldn't do so, because the length was not finite, and the function was discontinuous; the observed figure was actually a fractal.

Being a freshman in Russia I used to play with fractal generators under Linux, but I didn't care for its mathematical properties; I simply liked the shapes.
Fractals are also cool looking when being animated. One of my friends is a video DJ, and he uses these to make people happy :)

Today I've received a piece of RAM, and upgraded my Thinkpad right away (I carry around a couple of screwdrivers at any time). Lets see how many running programs will my workhorse be able to handle now.:-k

Very Impressive Euro 2008 Qualifier Game: Russia 2:1 England

Yuriy — Thu, 18 Oct 2007 05:53:25 GMT

Details to follow :) as I am hoping to read more info and watch the game.

Summer gone, Winter here

Andy — Fri, 12 Oct 2007 03:32:35 GMT

Has I missed the Fall and its glorious foliage ?
Got to work this morning and the weather is cold enough to warrant a thick blazer. Office workers in midtown all wear an extra layer of clothes this morning. I like NYC during winter. People tend not to rush as much as during warmer weather.

Just last week, outdoor cafe was packed with people during lunch hour. My coworkers and I used to walk over to 48th and 3rd Ave to order lunch and sit on one of the benches there. Now, the sidewalks are thinner. We now bring our food back to the company's cafeteria or eat at our desks.

It's raining right now and the next few days. Temp is dropping to the low 50. Summer is def gone before I know it. This reminds me that Xmas is coming and I can't wait.

Winter is my fav season because sleep is more enjoyable.

excel shortcuts

VladimirBunicu — Thu, 11 Oct 2007 22:02:36 GMT

The fin. modeling classes continue. All this week I had to skip most of these, as they were at the same time with my Baruch classes. But there are three more days when I don't have school, so tomorrow from 9 to 6 I will be learning how to valuate a company to make a decision about acquisition. Exciting :)
About 8 out of 9 hours in these classes we use Excel, and they've had us to memorize some Excel Shortcuts to speedup work. Was very useful for me, I recommend to learn these to anyone who deals with Excel on regular basis. :smt024

The power of VBA

Andy — Fri, 05 Oct 2007 02:30:27 GMT

I admit that I underestimate the power and importance of VBA. And I'm glad I need to use it a lot at work. I'm a novice at best but I sit next to an experienced VBA specialist so it's a perfect chance to learn it.

I'm using the famous VBA 2003 programming book from John Walkenbach from http://www.quantnet.org/forum/showthread.php?t=1336

I'm planning to buy the 2007 version book from him. It's a HUGE book that even my VBA specialist still looks up sometimes. We have both 2003 and 2007 office suite in our machine and plan to move to 2007 shortly.

There are lot of things I like about 2007. When it works, it works great. There are lot of important add-in we need to ensure 100% compatible with 2007.

I'm writing some addin in VBA that will connect to our database, getting historical data for all credit indices, tranches, clean the data, analyze, output it to Matlab, SAS to do some number crunching and report it back to excel in some nice graph.

All the traders see is a pretty spreadsheet with all nice button.

I think that the closer you are to the front desk, the more VBA you need to know. It's the language of the traders.

Very disappointing Match Day 2

Yuriy — Thu, 04 Oct 2007 04:29:56 GMT

Match Day 2 was very disappointing as my team allowed a goal 5 minutes till the final whistle and tied the game 2-2 at home.

Here are the results from UEFA.com

Matlab is fun to work with

Andy — Wed, 03 Oct 2007 04:31:23 GMT

After playing with SAS for a while, I got to work with Matlab for the whole day. There is a newer version 2007b just got released in Sept. There are a few important improvements over the 2007a version. You can download the change log at http://www.mathworks.com/access/help...b/relnotes.pdf

Excel Link: this is an excel add-in that allows me to use matlab function directly within spreadsheet. We try to work around our way so that the front end would be Excel since the traders feel most comfortable with it. They do not care how we do our calculation, be it matlab, sas, c++, as long as they click buttons and get what they want.

Database toolbox: this allows me to connect to our database and get data out. Here are a few sample of code I use

Code:

conn = database('Server','user','password')
cors = exec(conn, 'select top 100 * from cdsquotes')

This will connect to a database called server, select and return the first 100 entries in the cdsquotes table.

Datafeed toolbox: with Bloomberg, Reuter, Factset installed, i can use datafeed toolbox to get live quote from Bloomberg, Reuter, etc
Pretty useful to create an interactive spreadsheet with up to the minute pricing.

These are the only few I played with today. I have them on my laptop for a while but never got a chance to do anything useful about it.

I realize this is an excellent chance for me to learn new technical skills, financial knowledge and at the same time contribute to the team.

UEFA Champions League, Preview of Match Day 2

Yuriy — Tue, 02 Oct 2007 05:29:47 GMT

The following are the Champions Leagues Games to be played on Tuesday and Wednesday.

Some of them promise to be very interesting.

English Premier League

Yuriy — Tue, 02 Oct 2007 05:13:35 GMT

Arsenal on top, MU second, Chelsea nowhere near the top ...

As of 10/01/07

Attached Thumbnails

No let-up in Kaká's appetite for glory

Yuriy — Sat, 29 Sep 2007 08:03:06 GMT

No let-up in Kaká's appetite for glory

Honoured to be named Best Forward at the UEFA Club Football Awards in Monaco last month – not least because he says he was "born a midfielder" – AC Milan talisman Kaká also topped the UEFA Champions League scorers chart with ten goals in 2006/07. He tells uefa.com that his favourite was the "second one at Old Trafford against Manchester United [FC] in the semi-finals". Not that the 25-year-old Brazilian international is resting on his laurels as the Rossoneri enter this season's European campaign.

Click on the link to watch the video.

http://www.uefa.com/competitions/ucl...id=590418.html

Stats for MFE 2007 Admissions

VladimirBunicu — Wed, 26 Sep 2007 00:33:17 GMT

After reading the stats posted by Dan this week http://www.quantnet.org/forum/showthread.php?t=1747

I had controversial emotions. I'm becoming more and more proud of the program, which I consider as "my program" even though I have not been enrolled in it yet ;) And this "yet" in the last sentence leaves me in nervousness about my admission. :-ssNervousness and excitement about the challenge in front of me.
I recall my admission to the university in Moscow. Getting in the university was not hard. The hard part was to get into the Applied Math program. Only 108 of about 5000 applicants had passed the examination with a score high enough to get into the program that year.

Now things are different: this GRE kills me with its new words, and I'm only through with 1/10 of the flash cards! :sos:
Baruch is getting more and more competitive... I will apply to Columbia too, just to hedge myself a bit :)

new office

VladimirBunicu — Wed, 26 Sep 2007 00:08:42 GMT

On friday our company moved to new office. Bye-bye midtown... Now we are located in the southest building of New York.
I have mixed feelings about our new office. I like the view: Hudson, the statue of liberty, helicopters, battery park, some island - pardon my lack of education about local geography :)
I like the vibe of financial district - on friday we had a lunch right under Goldman's headquarters, and simple acknowledgment of this fact felt warming :) I've been told that firms unrelated to finance are rear to found their offices around Wall Street.

However I liked the midtown, too. :-k Maybe our department will move back - the lease is still alive.
Both offices are about 40 minutes from my home, and 10 minutes from Baruch, so in this sense I'm almost as lucky as Baruch students working in Credit Suisse :)

Good Sunday for NY sport teams

Andy — Mon, 24 Sep 2007 00:50:33 GMT

Finally, the Giants got on the W column. It's been hard the last 2 weeks watching the games when their defense let them down. Their D finally resembled what it used to be. Hopefully this momentum will carry them to more wins.
Yankees won, Red lost. so it's 1.5 games back and 6 to go. Jets, Mets won but who cares ;)
Well, there will be less lazy Sundays watching football games in the future but at least I don't have to go to work tomorrow knowing my team just lost.

United spoil Grant's big day

Yuriy — Sun, 23 Sep 2007 23:11:45 GMT

Avraham Grant began his tenure as Chelsea FC manager with defeat as Manchester United FC beat his ten-man side at Old Trafford while there were also Premier League wins on Sunday for Newcastle United FC, Aston Villa FC and Portsmouth FC.

United go second
Grant took over the reins at the London club on Thursday following José Mourinho's surprise departure but could not get off to the start he would have been hoping for as champions United secured three points that moved them up to second in the standings. Chelsea were always up against it after John Obi Mikel was sent off just after the half hour and the home side made the most of the extra man in first half added time when Carlos Tévez scored with a diving header at the near-post. Substitute Louis Saha then secured the points with an 89th-minute penalty.

Newcastle success
In the day's earlier Premier League kick-offs, an injury for striker Michael Owen took some of the gloss of Newcastle's 3-1 win at home against West Ham United FC. Mark Viduka had scored twice either side of a Dean Ashton equaliser before the England international limped off the pitch. Charles N'Zogbia then added a third for Newcastle.

Kanu strike
John Carew and Gabriel Agbonlahor were on target as Aston Villa won 2-0 at home against Everton FC, while Nwankwo Kanu scored the only goal of the game as Portsmouth earned their first away win of the season at Blackburn Rovers FC. Strugglers Bolton Wanderers FC and Tottenham Hotspur FC shared the points in a 1-1 draw with Robbie Keane's 34th-minute strike for Spurs being cancelled out within five minutes by Iván Campo.

http://www.uefa.com/footballeurope/n...id=592681.html

form a calendar with two cubes (answer)

VladimirBunicu — Sun, 23 Sep 2007 17:19:09 GMT

The puzzle actually became the reason for a patent (http://www.defectiveyeti.com/archives/001580.html) to prove a non-obvious decision of allocation of digits 0-9 on two cubes such that any day in calendar (01-31) can be depicted.
The solution is here:
http://v3.espacenet.com/textdoc?DB=E...X=GB831572&F=0
In my original "semi-solution" i didn't take into account that "6" can be read as "9" ;)
0 1 2 3 4 5
0 1 2 6 7 8
Thanks to Andy for the puzzle =D>

European Leagues from UEFA.com

Yuriy — Fri, 21 Sep 2007 08:18:42 GMT

All change at Chelsea

Yuriy — Fri, 21 Sep 2007 05:43:13 GMT

All change at Chelsea

Friday 21 September 2007

Focus by Michael Harrold from London

What next for José Mourinho? (©Getty Images)
For a manager so often associated with the theatrical, José Mourinho's exit from the Chelsea FC stage was nicely timed. With his squad gathered in a west London cinema for a screening of the club's new documentary 'Chelsea Revolution', Mourinho let it be known to his players by text message that he had decided to leave the club.

Abramovich differences
His differences with owner Roman Abramovich were well known. The Russian billionaire's desire to see a free-flowing attacking style contrasted with the Portuguese coach's pragmatism. Mourinho felt undermined by the appointment of Avraham Grant as sporting director in June and Frank Arnesen as head of scouting and youth development before that. Being asked to shoehorn Abramovich buys Michael Ballack and Andriy Shevchenko into his side was not well received. Something had to give.

Rifts
The fact Mourinho and Abramovich worked together as long they did was perhaps more of a surprise than Mourinho's sudden departure. Stories of rifts and doubts over the manager's future filled the back pages of the British press last season as Manchester United FC deposed Chelsea as champions. Victory in the FA Cup was small consolation after Chelsea had lost to Liverpool FC in the semi-finals of the UEFA Champions League for the second time in three years. When Chelsea stumbled out of the blocks this term, the pressure mounted. A 1-1 draw at home to Rosenborg BK in front of just 24,000 proved the final straw.

Defiance
The sombre mood at Stamford Bridge last Tuesday contrasted sharply with the defiance with which Mourinho announced himself to English football four years ago. Having led his FC Porto side to victory in the UEFA Cup the previous season, he was about to go one better in the UEFA Champions League and not even the might of Manchester United FC could stand in his way. Costinha's late strike fired FC Porto into the quarter-finals - Mourinho marched down the tunnel with fingers raised in defiance to the Old Trafford crowd. It was the first of many times Mourinho would cross swords with United manager Sir Alex Ferguson. His appointment as Chelsea manager after winning the UEFA Champions League in May 2004 made sure of that and the rivalry between the pair would grow as Chelsea claimed the Premier League title in each of Mourinho's first two seasons at Stamford Bridge. The self-proclaimed "Special One" had proven as good as his word.

Transformation
Mourinho transformed Chelsea from an entertaining side more suited to the vagaries of cup competitions to one with sufficient steel and consistency to win the title. Under Mourinho Chelsea were crowned English champions for the first time in 50 years, as well as winning every domestic trophy on offer. But it was not enough for Abramovich. The Russian owner covets the UEFA Champions League and in that competition Mourinho fared no better than his predecessor Claudio Ranieri, two semi-final defeats the sum of his European achievements in London.

Who next?
In the end it was method as much as results that did for Mourinho. The man himself may exude bags of style and charisma, but his Chelsea team did not and that fact ultimately proved decisive. Few would have expected Mourinho to be the first Premier League manager to part company with his club this season, but it is unlikely he will be out of a job for long. Do not bet against Mourinho proving his point at Stamford Bridge at the helm of another English club some time soon. For Chelsea the most pressing concern is Sunday's trip to Manchester United of all places. It is a baptism of fire for Grant who has been named as Mourinho's successor and will lead the side out for the first time at Old Trafford. The 52-year-old former Israel coach, who arrived at Chelsea following a spell as director of football at Portsmouth FC, takes charge in extraordinary circumstances. He will have to achieve something equally extraordinary to eclipse the success of the Special One.

http://www.uefa.com/magazine/news/ki...id=591464.html

Champions League, Group Stage, Match Day 1

Yuriy — Thu, 20 Sep 2007 17:33:13 GMT

Champions Leage Results from Match Day 1 on Tuesday 9/18 and Wednesday 9/19, 2007

Attached Thumbnails

Tasering a student at UF

Yuriy — Thu, 20 Sep 2007 04:07:17 GMT

You have probably heard about an incident that occured during Kerry event at the University of Florida (that I attended a while ago). Here is a link to a newspaper that has the most recent events.
http://www.gainesvillesun.com/section/news07

(they might change the page URL soon)

Current EURO 2008 Qualifiers Standing

Yuriy — Mon, 17 Sep 2007 01:21:43 GMT

Current EURO 2008 Qualifiers Standing

Attached Thumbnails

Arsenal Beats Tottenham to Move Atop Premier League

Yuriy — Sun, 16 Sep 2007 09:21:17 GMT

Arsenal Beats Tottenham to Move Atop Premier League

By Bob Bensch
Sept. 15 (Bloomberg) -- Arsenal rallied to defeat Tottenham 3-1 and move into first place in English soccer's Premier League, while Manchester United beat Everton for its third straight win and Liverpool and Chelsea were held to scoreless draws.

more at http://www.bloomberg.com/apps/news?p...efer=intsports

Culture wars: when morning starts after noon...

VladimirBunicu — Sat, 15 Sep 2007 17:28:27 GMT

:welcome:I believe some topics are not suitable for quantnet main forum, so it is actually a good idea to start certain threads in personal blogs.
Baruch and quantent are highly diverse communities... "Culture wars" will be a thread about culture differences. It is always fun to learn facts about foreign cultures, so any comments are welcome. ;)

When morning starts after noon.
In the United States there are exact time borders for morning, afternoon, evening and night. I mean, if it is 10:45am, an American would say "Good morning", while not a single American would say "Good morning" in 12:20pm.
In Russia the story is different, "Good morning" is a greeting for a person who had just waken up. Hence if one woke up, say, 2:50pm, you could still greet the person with a "Good morning". :smt015

Woody's BBQ party

Andy — Sat, 15 Sep 2007 16:24:51 GMT

So I'm gonna head out to Woody's shortly. it's a long ride but i enjoy his party and my people pretty much to miss it ;)
Big props to Woody for throwing party after party. That guy seems to enjoy life very much despite all the chaotic going on with his work and school.
I like his neighborhood. Seems kinda quiet and safe. Close to the park, train. Parking seems plentiful. I may even seriously think about getting a place to live there. Heard the commute to downtown is much faster than from Queens.

Blu-ray all the way !

Andy — Fri, 14 Sep 2007 22:26:21 GMT

Blu-ray is killing that DUD competing format this week. If you wonder what Blu-ray is, then it's a next generation video format that provides 16 times clearer images than DVD. There are currently 2 competing format: Blu-ray (backed by Sony, Dell, Apple, Panasonic ...and essentially every consumer electronic companies out there). The other format HD-DVD is backed by (Toshiba and Microsoft).

It's interesting to see M$ got involved in this as it does not make player or produces movie content. People have known for a while that M$ is trying to prolong this format war to benefit its own format - movie download service. If both format dies, then M$ stands to benefit hugely.

It's fun but at times frustrating to see M$ throws its money behind studios/CE companies to buy their support. HD-DVD is on their last straws and I hope this war ends soon so all studios release their movies in one format : Blu-ray

www.blu-ray.com is a place to read the latest saga in this format war. It's amazing how low those companies stoop to gain some advantages. Again, in war, everything goes.

I'll put my 2 cents in and hope that Blu-ray blows that HD-DUD format at the end of this holiday season.

Getting ready for my first day at work

Andy — Fri, 14 Sep 2007 21:18:07 GMT

I'm counting down to Monday. I'm also counting down my precious lazy time. Yeap, tons of work waiting for me at work. Gotta get my desk running at 100%
I'm pumped, psyched.

I hope to use this blog to blab a bit about my work without spreading it over the forum. After all, blog is supposed to be personal.

Keep watch of this place as I'll share some interesting things I learn at work.

Euro 2008 Qualifiers

Yuriy — Thu, 13 Sep 2007 16:19:20 GMT

Yesterday, a number of Euro 2008 qualifying games were played. The one of most interest to me was England vs. Russia. England won at home 3-0 and is now second after Croatia to qualify for Euro 2008. With only 3 games to go, Russia must defeat England at home and win the other two games to have hopes to qualify for Euro 2008.

Standings
Group E Pld Pts
Croatia 9 23
England 9 20
Russia 9 18
Israel 9 17
F.Y.R. Macedonia 9 8
Estonia 10 4
Andorra 9 0