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Andy!!! A walk back through memory lane. I became a Quantnet member back in the old days, probably 2004 when Phat was running this operation from his bedroom computer. I went to school with Andy and graduated in 2008. I have done a lot of things in the financial Industry, from IT to Portfolio...

FWIW, I moved away from my Mac. I gave it to my wife just because I do a lot of Windows at work now and wanted to go back and write on the screen using a stylus (like the really old days). I'm using a Dell 5285 2-in-1. It's similar to the Microsoft Surface but uses WACOM technology. I'm...

Again, if the brand name is so important, apply to Harvard in some easy to get program and you will sail through with a Harvard degree. You can't beat that!

It sounds you are more concerned with the name brand than your education. I can't help you with that.

This is absolutely nonsense. Courant is a well known institution in Math and top notch in Math Finance. Even the often cited US News Ranking (if you don't want to look at QN) has it #1 in Applied Math for graduate programs...

this is my very personal opinion. The CFA will open more doors than any other schooling.

That was five years ago. In finance, it's like couple of centuries ago.

it's the same thing, for and do...while are syntactic sugar around a while loop. @pingu made it clear before. I don't get your point.

He wants to do the coding in Visual Studio. That's the IDE. He can pick any language that works within Visual Studio. I gave him storage options. These are orthogonal concepts.

Store the information in a fast <key, value> store and then manipulate from other language. I did this before with BDB and Java and it was lightning fast. Check Tokyo Cabinet and its successor Kyoto Cabinet. You could use HDF5 and then use Java, Python, C, C++ or whatever. This is how CERN does...

This was almost 6 years ago but I can tell you. Two of them were specialist in Particle Physics. They used to work at CERN and the younger of them was very good writing C/C++ code. Both of them were very bright. I don't know the specialty of the other one but I'll ask him (we very good friends)...

why MFC's Threading library? Why not C++11 Threads? What sort of optimization? Mathematical Optimization?

Trading on your friend's account might be at unethical or illegal. You might be playing with fire. You will be breaking all sorts of compliance rules but it might depend on the bank. I might be wrong but I will be surprised if any of the big american banks will allow you to do this.

Fifty Challenging Problems in Probability with Solutions (Dover Books on Mathematics): Frederick Mosteller: 9780486653556: Amazon.com: Books

Not a bank. This is the article I read. It's kind of old but I don't think the failure rate has changed that much: How To Start Your Own Bank Also, if you want to start a bank in the US, it might be easier than you think...

That is easier than you think, at least in a Caribbean island. 10 years ago you only needed 50k in Cayman island and you were in business.

start your own business. Even better, start your own bank. The probability of failure of a bank in US now-a-days is less than 1% (any bank - I'll find the link and post it here)

Legacy code gets replaced. I don't know what you mean by "storm" by Python is here to stay and for the long haul. It's free. There are tons of libraries for it and it's very easy to learn, read and understand FORTRAN is with us. I don't think FORTRAN is going to be replaced (at least not in the...

@Daniel Duffy , I don't know if you are familiar with medical education system in the US. It's very different than most of the countries and with a high barrier of entry. They have been trained to analyze problems. Remember, the average MD in the US starts practicing at the age of 30. That's...

What you need from Stochastic calculus, PDEs and ODEs is not that much unless you go to derivative pricing et al. What you know is exactly what people are looking for now. P vs Q. P won. Read Meucci's article: 'P' Versus 'Q': Differences and Commonalities between the Two Areas of Quantitative...

Value-at-Risk: Theory and Practice, Second Edition - by Glyn A. Holton

Please do so we can give you better suggestions on how to proceed.

I like the ones mentioned by @pingu instead of boost uBlas.

Professor Jim Liew asked me to post this for all graduates out there: ------------------------------------------------------------------------------------------------------------------ I'm very curious to catch-up with all the NYC MSF students that have since graduated. Where did you go? What...

Read about the impostor symdrome You are going to be fine.

which version of Xcode are you using? A quick google gave me tons of answers. Did you try this? http://stackoverflow.com/questions/19089293/xcode-compiler-cannot-find-c-11-includes having Macports is good although I prefer homebrew.

Following Ken's advise. if you have already accepted and then decide to go back on your word, you will leave a mark. People will remember (I will if I'm the one being rejected).

Piece of advise, go back and be a doctor. You already tried finance and it was boring. What makes you thing it won't be boring the second time around?

https://www.quantnet.com/threads/rutgers-mqf-vs-nyu-poly-mfe-vs-boston-msmf.19753/#post-148836 why did you turn down UW-CFRM?

Why should they be regulated?

it's not as stupid as you think. It's just opportunity cost. If he/she is willing to take the hit in time, it might as well try to get in. That will be its meal ticket. You might be upset but if he/she gets in, he/she probably deserves it. The world is not fair and now that you want to work in...

The Black Swan is not the right book about NLD/Chaos. To read a "fluff" book about this topic in finance, check the following book: http://amzn.com/0805057579 BTW, I love that book. If you want to know more, check these guys and their writings (the main characters in the book): Doyne Farmer...

The low level stuff that you learn building a compiler has very little to do with HFT.

whatever you do, don't take the compilers class unless you are forced to do it.

I don't know if any of those jobs will lead to portfolio manager.

It's not only a tool, it's also a platform. The tool is zipline. You can use it directly without quantopian. They are giving you the chance to prove if you can manage money or not, free of charge. So everybody that comes here asking, can I become a quant? am I too old? Do I need a PhD? or I...

https://www.quantopian.com/open

I would say becoming a PhD

That's what people usually said before they meet "Measure Theory".

why would you want to transfer?

after hours of working, here are the answers: http://bit.ly/16VoTVm http://bit.ly/16Vp5nC

why did you regret taking the structuring role? What was so bad about it? Why do you think the algo trading role would be different? It would be good to know more.

This is the only thing that matters. Go for it and don't waste your time.

What's your definition of superior? Are we talking about C or C++?

Would you care to give more details? I didn't see any explanation of what you are proposing.

They will need to rent from somebody.

Ask your friends to hook you up.

any name that conveys the content of the worksheet. Sheet1 is definitely not a good one though.

As far as I know, MBA programs last between 3 and 4 years. It means that those 3 years of yours are going to grow.

in that case, change the name. That's what needs to be done.

I don't disagree with that. However, using the ordinal number assumes you are looking at the first sheet. If a new sheet is inserted the code stops working. I rather use the name since Sheet1 is going to change to something meaningful (you don't plan to keep Sheet1, correct?) and you can use...

doesn't it make it placement dependent? I don't think that's necessarily an incorrect call

difficulties will show up in memory management, threading, templates and Object Oriented Design. C++11 improved the language a lot. That was a welcoming refresher.

Correction, you were able to quickly learn a subset of C++. Also, you won't easily figure out the syntax in C++ and the transition from Java to C++ is not very easy. The other way around is a little bit easier. I don't know how much C++ you know but from that comment, I would guess that is not...

Check this book: http://www.amazon.com/dp/B004OR0YEW/ Solve all the problems on this book to get your feet wet (it's old but it will give you a good baseline): http://www.amazon.com/dp/1557389152

http://www.thewholestreet.com is a nice aggregator for quant finance blogs/articles. Check Patrick Burns' blog selection: http://www.portfolioprobe.com/2013/10/22/quant-finance-blogs/

I see that you are just following rankings. I tend not to trust rankings that are mostly based on opinions. Let me give you a piece of advice, try to find people who have gone through each of those programs and ask them about their experiences. Send them a quick email if you can (People in...

why do you think Purdue is much better than FSU and SB? And why do you think the SB is better than FSU? I'm unable to make a distinction on one over any of the other ones. So, I'm curious how you arrived to those conclusions. I don't know if you have seen this thread but it doesn't paint a...

you might have a shot them. Call any of these guys and see what can you work out: http://www.cmegroup.com/market-data/licensed-quote-vendors/

Who is going to have access to this site?

That's not going to fly if it is on a public website.

you can pay the fee for yourself but I don't think you will be allow to redistribute the data. So, displaying it on your webpage is out of the question.

if you want to display real-time future quotes, you will have to pay the exchange. They usually don't let that information out for free.

real time futures? who is paying the CME?

help you out with what exactly?

Depends? let the people in HR shut you down or in the interview. Who cares what this forum says. What's the most you can lose? Time?

Let's say we say "No, that won't qualify you for interviews. Don't even try it.". Would you still try to get interviews? Will our opinions stop you?

much happier or less miserable as in "if I'm going to be miserable I rather get paid for it"?

@Daniel Duffy http://blog.jetbrains.com/blog/2014/01/24/live-webinar-python-for-the-c-developer/

So you create the assembly on the fly and then load it in the same process? Trying to understand.

what's the reason?

What do you mean generate code? Like JAXB generate a class that can parse this code automatically in Python? What you are looking for is probably here: https://wiki.python.org/moin/PythonXml

What this guy is missing is the ingenuity of the human being. New problems will come up and humans will find a solution.

Pressure and stress? So, in finance, you will get something like that or a little bit higher (since you have no experience) with an order of magnitude higher in pressure and stress and less time for yourself.

What do you mean when you say you are trying to break into finance? Which reputable dotcom you left behind?

I don't know how much experience you have with R but there are plenty of examples of R in research and production systems. Check the R in finance conference: http://www.rinfinance.com/

This podcast says a lot about education in US and the world. http://www.econtalk.org/archives/2013/12/lant_pritchett.html

SWIG is a huge PIA for C++ when it gets complex. I have tried it once with the Numerix Library and hate it with passion.... but it's a possible solution though.

The same approach holds. Write code in python that calls or wraps the legacy code either using Cython or SWIG. That C++ libraries are robust is a discussion for another day.

I don't know what you mean by using C++ for integration. However, the common usage is to write mostly Python and use C/C++ when you need to really speed up some routines. Then you can integrate them by using something like Cython (this is usually the preferred method) or SWIG.

Python has been replacing Matlab in a lot of scientific fields and in Academia. You should attend a PyData conference around the World. They are extremely interesting.

- The New York Times - JPM Athena (http://www.securitiestechnologymonitor.com/reports/22_16/jpmorgan-field-report-re-engineering-IT-29978-1.html?pg=4) - BAC Quartz These are some of the examples.

@bigbadwolf You should be writing the 200 lines of tests for everything, not only python.

For a given problem there might be multiple solutions (e.g. look at Perl). However, there's usually only one obvious solution. Python strives for that.

Here is The Zen of Python: In [1]: import this The Zen of Python, by Tim Peters Beautiful is better than ugly. Explicit is better than implicit. Simple is better than complex. Complex is better than complicated. Flat is better than nested. Sparse is better than dense. Readability counts...

Base should be probably in the 150-250 range. The rest is in bonus.

it all depends where do you land and what is your expertise. Take Sergey Aleynikov as an example. He was making $400K at Goldman Sachs and Teza Technologies offered to triple its pay. Read more here if you haven't done it already...

The TIOBE index is a poor measurement when you want to know about how good or even popular is a language in a quantitative field. I expect python to grow in usage in general since it is now taught as introductory programming language in a wide range of colleges in the US. In finance it has...

... also, python has easy interoperability with C/C++ (see Cython and SWIG).

The latter is good. Satisfying your own curiosity and checking how the algorithms work. The former shows inexperience. Linear Algebra libraries have been around since the 60s and those problems are well understood and research. You should check latest implementations of BLAS and LAPACK from...

@Gene Boo , How did you profile your code?

Greg Maddux, Tom Glavine and Frank Thomas into Baseball Hall of Fame http://espn.go.com/mlb/story/_/id/10261922/baseball-hall-fame-class-2014-announced

the whole NASDAQ infrastructure is written in Java so there is some sort of a contradiction here. NASDAQ is not the only one, the LMAX exchange is also completely written in Java. The whole speed bottleneck is something very rare nowadays (it was 3 years ago). Check the LMAX architecture and the...

these are two different things. Do you want to do Data Science or you want to do Finance? If you want to do finance, what are you looking for? C++ might not be the right answer and while some employers in Finance might like it, people from the Data Science camp are not too fond of it.

Before I'll go into details, let me ask you some of questions regarding your application. - When you say millions of points, how much space are you referring to in GBs? - Are you working in 32 bits or 64bits? Which flavor of Unix/Linux? I used to work with around 40GBs of data on a daily...

do whatever your friends are doing. Since you are going to know more than them (your own words), you would probably get higher paid offers.

Is this a homework? You should post the full problem.

If you can't combine what you learned in OR with finance, you have some other issues. For example, these two guys: http://www.math.cmu.edu/users/reha/home.html http://public.tepper.cmu.edu/facultydirectory/FacultyDirectoryProfile.aspx?id=48 Wrote this book http://amzn.com/0521861705 which I...

This is an issue all in itself. You should be able to apply what the guide mentions to your specific case.

CUNY has a MS in Data Analytics http://sps.cuny.edu/programs/ms_dataanalytics

http://queue.acm.org/issuedetail.cfm?issue=2523426

Both of you are right. I tried to be clever and it didn't work out.

Do you mean Visualization Library? C++ is a very low level language. Those libraries do exist but are not included in the standard of the language (and they will never be): - OpenGL http://www.opengl.org/ - Qt http://qt-project.org/ - wxWidgets http://www.wxwidgets.org/ - Windows has its own...

Here is the advice I received from a previous manager. If you want to do a PhD, do it full time.

Your comment was not very constructive either.

I can say the same thing about COBOL.

get a PhD. They usually pay for it.

A machine won't know this and the admission committee won't know this either unless, somehow, you explain that to them (you might not get the opportunity though).

you won't like them.

I haven't tried the latest version. What I did is to install RandFriends. That's the R version that site prepackaged. I think it's version 2.15.2

This is what you are looking for: http://rcom.univie.ac.at/download.html It only works in Windows and it won't be in CRAN because it uses DCOM. I have used it and it works great.

Maybe that tells you something about Technical Analysis.

you don't need a degree to run a HF. You just need to convince people to give you money to manage for a fee.

I don't think Baruch allows that but check and post it back.

what kind of books are you looking for? Inspirational books? Technical books? How-to guides?

Neither. From the article: The TIOBE Programming Community index is an indicator of the popularity of programming languages. The index is updated once a month. The ratings are based on the number of skilled engineers world-wide, courses and third party vendors. The popular search engines...

What are you gunning for?

expect questions that deal with multithreading and garbage collection.

HFT will never die and you don't want it to die either. It will change and take another shape and that's a good thing.

No need for Government regulation, the market will take care of HFT by itself: http://www.businessweek.com/articles/2013-06-06/how-the-robots-lost-high-frequency-tradings-rise-and-fall

4 years ago they were. Look at the date in the post.

You can think whatever you want, they might not offer you a job.

Stop orders... poor souls... :(

Yes. I'll go even further. If you become very good at your chosen topic (regardless what it is), you will find a job no matter of what. However, if you laze it out you won't get anywhere.

how did you know this? Could you post some examples from your application?

Since you want to do NoSQL, here we go. I used BDB and Tokyo Cabinet and they were really fast but it was a headache to do anything. They are just bare bones. Just keep that in mind and allocate time accordingly. You will spend a lot of time in plumbing. It seems that Tokyo Cabinet is being...

Believe? until you profile your code/application you won't know anything about performance. http://c2.com/cgi/wiki?PrematureOptimization NoSQL is no panacea. Try a relational database first. You can always switch.

unifinished as in "no dissertation"? That's actually very common.

$ sudo apt-get -y install libboost-all-dev

sure you can but nobody is going to knock at your door and hire you.

honeycrisp hands down

This concerns me. Maybe I'm getting the wrong idea but what makes you believe you won't be making the same sacrifices (or worse) by switching to finance?

what kind of job? Any job?

why?

good post regarding same thing http://blog.fperez.org/2013/04/literate-computing-and-computational.html

Actually no, read Attilio's papers to convince yourself.

Here are my 2 cents. Programming in R will make you an order of magnitude more productive than using C++ for the tasks that you are usually going to face. RCpp allows you to speed up your R code but that is not going to make you more productive (unless I don't understand what you mean by "being...

why? I learned memory management before learning C++. Anybody who learn C first would've learned memory management the hard way. The same applies if you learn assembly language.

the were out of the money and my decision was based on the economics of RIM at that time.

is this a good thing or a bad thing? I really don't know. I have heard opinions from both sides of the fence regarding Thatcher.

Armadillo is used by RCpp http://arma.sourceforge.net/

as usual, when in doubt: https://www.freakonomicsexperiments.com/

I'm almost 90% sure Datastream has that information (http://thomsonreuters.com/products_services/financial/financial_products/a-z/datastream/). We used it in our prop model 3 years ago. However it is not cheap. Ok, let me re-phrase it. From what I remember, it was extremely expensive. If you...

not all the toolboxes are implemented in Python but most of the functionality that you need in finance is... and for free. Matlab licenses cost money. I don't know if you have ever paid for them but it will put a dent in your budget and if you don't do it, it will only take an unhappy employee...

You are completely missing the point. This is not learning a language for raw speed. This is to learn a language to be productive in solving finance problems. You can produce elegant code, maintainable and with less development time than if you use C/C++/Java and even C#. Python and R are good...

SEC

you can convert vim (and probably emacs but... everybody knows vim is the best :) ) into a powerful IDE with what you call intellisense and more bells and whistles.

vim, emacs, eclipse + pydev, spyder.. however, since you are so familiar with VS, you are in luck. Check this out http://pytools.codeplex.com/

knowing Linux will be an asset.

I know Baruch teaches Python besides C++. Here is the thing, usually when you going to an interview for a so called "quant" position, people will tend to ask you C++ questions regardless if you are going to use it or not. Historically this has been the case. Maybe things are changing now but...

1) It takes time to be really productive in C++ and you will be spending more time in C++ than in doing real quant finance work. You can become productive with Python and R in relatively small time. 2) C++11 just landed. Boost is a great library but it's not easy to work with and if there is...

execution speed? Unless the code is profiled first there is no point on talking about execution speed... Regarding re-usability, C/C++ don't have a good track record. I'm lying, C has a sort of ok track record, C++ is a nightmare. Again, learn a language that is going to make you really...

what engineering field? how did you try to find a quant job? did you talk to a recruiter?

The orinal poster doesn't want to be a programmer but a quant. I guess he/she wants to do analysis using code and implement his/her own algorithms for this. This was the original question In today's world C and C++ are horrible at this. That's also why big financial institutions are moving...

start with a language that is going to make you productive.

when in doubt: https://www.freakonomicsexperiments.com/

That probably means the school is not going to help you. You might be able to get a loan but not through the school.

what's your definition of a "great job"? lots of money?

Well, those quants are creating value for their customers.

these were naked puts. I closed the positions before expiration.

I have done it as a pure speculative bet. I did it on RIM and it was a good bet.

when in doubt: https://www.freakonomicsexperiments.com/

what did you use to do? were you the only one let go?

Maybe this is like "double secret probation".

for those who want to get into HFT, this might be helpful: http://queue.acm.org/detail.cfm?id=2443836 PS - Fig 1 and 2 seem mislabeled.

you are not switching because of the money, right?

I have only one advice, make a decision and don't look back. Being undecided about which PhD to do could be a very bad idea. This is something that will stick with you for 4 or 5 years of your life.

Thanks for the reminder. sparks here is the link to help you solve your dilemma https://www.freakonomicsexperiments.com/

I wouldn't say is very 80's but it's not very useful if you want to go into finance (you want to go into finance, right?).

talk to recruiter first and see how things develop.

You won't need Compilers.

instead of saying "flip a coin", I can send you to a place where they will do it for you. I could go on a rant about been indecisive and going into this industry or about asking strangers to make a decision for you. However, I have read that studies show that human behavior likes when somebody...

I like these two books better than the one mentioned before: http://goo.gl/DQ7TG http://goo.gl/dNCnb

if you go to an interview and they asked the same question I did and your answer is that, the interview will stop right there.

don't be scare. This will be the norm. It's part of being in the financial industry.

friendly reminder https://www.freakonomicsexperiments.com/

physicist, if you have to make a hard decision and you are undecided, this can help https://www.freakonomicsexperiments.com/

how much money did you make on your personal portfolio per year? what is your Sharpe Ratio?

when in doubt, https://www.freakonomicsexperiments.com/

I got it. Make a list of the programs you want to apply and then https://www.freakonomicsexperiments.com/

it looks this problem doesn't affect Yale http://www.law.yale.edu/studentlife/employment_2011.htm

P&L? Sharpe?

Check the past results: http://ritc.rotman.utoronto.ca/results12.asp http://ritc.rotman.utoronto.ca/results11.asp http://ritc.rotman.utoronto.ca/results10.asp http://ritc.rotman.utoronto.ca/results9.asp

$ sudo apt-get install python-numpy

which distro?

I don't think this will ever happen.

What kind of PhD? what kind of jobs are the recent graduates of your program getting?

That's easy. Check this out

was it a yes?

http://bit.ly/WltlDW

Nope.

I don't think the pain justify the gain in this case.

One more thing, if you are going to learn C++, learn the new standard. It will make your life way easier.

I can tell you that today, they use C++ for production, very little use in research, too much of a pain.

You are going to be under a lot of pain. You will hate it and what use to take you minutes or hours to finish will change to days and weeks. You will spend more time writing C++ than solving the problems. In today's terms, there is no such a thing as prototyping in C++. Actually C++ is not...

summer is usually a dead. If you are finishing your PhD this Spring, start to apply now.

wait, then decide. Did they give you a deadline?

were you accepted to any other program?