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In what ways has the introduction of new technology influenced the candidate profile at the firms you work with over the years? Since your last AMA in 2007 A LOT has changed on the data and infrastructure side - cloud computing, big data tools, blockchain, etc. Do see an increased demand for...

@Shashi_Kn thank you for sharing your journey. Very interesting path and it's clear that you've learned a lot and internalized a lot along the way. Also it takes courage to acknowledge when a concern or vision is not aligned and to seek that alignment elsewhere versus accepting the status quo...

The company I work for - Arbol - works with companies to forecast climate risk and then hedge that risk via structured parametric financial products. I'm not sure if it directly fits into the framework you mention here, but for example for the Environmental risks of ESG impact of climate can be...

Wow small world. Absolutely happy to answer your specific questions. Just send me a message.

Thanks @Andy Nguyen . While at Baruch I was consistently challenged to keep up with my international peers in math courses. So much talent and knowledge out there in the world. Eventually I did a MS Business Analytics & Project Management at Uconn - it was less quantitatively rigorous than MFE...

Hello everyone! It has been a long time since I first joined this community as an undergrad at Baruch college - I created this account in 2007! Much has happened since then, and recently Andy reconnected with me on LinkedIn encouraging me to reconnect. Happy to! Here's my background and what I'm...

I already use this search engine and think it's very interesting. I find that searching for math topics it is a great resource as all the information is in one place, not scattered on different web pages.

I did go to Baruch, but I haven't applied to any graduate schools yet so I wouldn't know. As far as undergraduate recruiting, I can tell you for sure that it is much stronger at Cornell.

Yes.

At nearly $900 the Amazon Kindle looks like a steal. Does anyone have one?

I really enjoyed reading this article. Not really sure that he's guilty though.. Perhaps we have an example of self-assigning guilt in order to feel like one's status was much higher than reality.

Andy, I want to apply for that job, but the website is down. Must be too many applicants.

Great article. Beyond being hard-working and very intelligent, Muting, Andy and Phat have exceptional personal character as well. I have found this of every Baruch MFE student. As for the picture on the top - Asian invasion, anyone?

Ilya, You have a bizarre way of doing two things. One is to glorify those who specialize in mathematical finance to levels previously reserved for gods. The second is what seems like an unending need to justify where you are studying and your academic background by trying to convince yourself...

=D> Great reply and insight, woody. Ilya, I hope the response to your comments have caused you to think and approach problems from a different perspective. On a side note - "I remember one day in college a long time ago, I looked over at my roommate's bed. His girlfriend had carved into the...

Good call, Alan.

And by the way Doug - I do. I could probably build two cars.

First, what the writedowns don't tell you is the quality of assets that are still on the balance sheet (or the off balance sheet items). Lehman Brothers went bankrupt because it became apparent that they could not fund their current short-term obligations. The result of this fall out of...

For some bizarre reason that horrific story about the women that shot herself became national. It would have been media suicide for Fannie if they forced the debt to be paid.

Alain, From 1000 Barrels a Second by Peter Tertzakian (which references the US Energy Information Agency) one barrel is divided in the following way: 47% Motor gasoline 21% Distillate fuel oil 8% Jet fuel and kerosene 6% Propane 1% Lubricants 3% Asphalt & road oil 4% Residential ful oil 2%...

Ilya, Which past are you looking at as a frame of reference? I would agree with you that the recession proceeding the bursting tech bubble was not very long, however I think that the problems today are MUCH more significant than a simple unwinding of speculative investments. Remember that...

Ilya, Look at market capitalization, not absolute numbers. Bear Stearns market capitalization was ~$20 billion, while Goldman Sachs was over $90 billion. Those writedowns mean much more when viewed in relative terms rather than absolutely.

Happy birthday, Muting. I hope you could barely walk last night!

I will post the code for the solution when I am at work next week. Update: Doug - here is the code I used. Public Function annualror(dataRange As Range) Dim rngLength As Integer Dim dataLength As Integer Dim TempRange As Range Dim ACReturn As Double Dim i As Integer...

Thanks for the help Doug. A coworker here was able to help me out. I appreciate the quick replies though, Quantnet is the best!

The function does need to be in an array and it does not ignore blank values. Try it out with just a few random values and you see the problem that I am having. Edit: The process of adding 1 to every data point will be very time consuming, I want this function to be useful for future use as well.

Hello everyone, I am trying to write a user defined function in Excel that will allow me to select a range of cells and calculate the annualized return from monthly returns. I can accomplish this using an array function: {=PRODUCT((1+ET17:HS17)^(12/COUNT(ET17:HS17)))-1}. The problem, however...

The formula I wrote won't work for that. Now that I understand your problem, let me give it a go and I'll post my results later.

Did you try using a conditional formatting formula before this? Tools -> Conditional Format formula: "=mod(row(),6)=1" and choose the format as bold. Does this solve your problem? Please correct me if I misunderstand your problem.

Extraverted: 78 Intuitive: 50 Thinking: 25 Judging: 44 These results hardly surprise me.

Where countries like Russia and Britain value intellectual and academic superiority, America values winning, individualism and material wealth. Hence the status given to successful businessmen/women that never completed high school or college, or poor people that have made it to the top...

Happy birthday Mike! May all your vodka come true!

I found the problem was that too much of the volatility was occuring between the first few data points. To smooth the returns a bit I constrained the cumulative volatility of the first six months to roughly 50%. The data comes out much nicer and the problem of repeated values is much less...

Normal is the goal, using skew and kurtosis as constraints. However we are talking about 12 values here - not enough to give a real approximation to a normal distribution. Perhaps I will relax the constraints slightly to get a better variation of numbers. However, after many times running...

This tool needs to be written for Excel. Is it possible/reasonable to to stochastic volatility models in Excel? This data stream will be used as a rough estimate for a much bigger project, so keep in mind that I am not looking to kill a squirrel with a rocket launcher here.

I am working on a project that generates twelve months of random returns subject to certain constraints such as annual return, annual volatility, and upper and lower limits for any single month return. Other constraints are a skewness of +- .03 and a kurtosis >= 2 and <= 4 To do this, I am...

I use the website at my internship for various reports/data and find it to be quite good.

=D> Someone is having fun.

Happy Birthday Professor!! You destroyed me and now I am a better man as a result. Thank you!!

Hey Woody, Thank you for the great party over the weekend. Your BBQs are legendary, and I always appreciate the invite! Thanks again.

Keep it wild, Vladimir. Happy birthday!

Thank you for the interview and your insight, Dominic. I have been reading your posts on various messageboards for some time, so it's great that you could address Quantnet personally!

I like this philosophy much more.

Nice, alain.

Thank you for joining Quantnet Niraj. I think I can speak for everyone that your joining the forum is very welcome and we look forward to becoming familiar you going forward!

I was just kidding, Andy. I agree with you, thanks for giving real advice to Quantnet's new poster :-)

When in America, do as the Americans do: put yourself into a massive amount of debt. :-) Seriously though, you sounds like a very intelligent and academic individual. I personally am not an expert on the process for a PhD in the USA, but I know there are several people on this forum that are...

Happy birthday Andy! Thank you for all the hard work you put into Quantnet. It really shows!

Happy birthday Akino! :tiphat:

I know Muting has not eaten since last night in anticipation. He is a rapidly growing young man, so I hope you have ordered enough food.

Welcome to the forum. Would you mind telling us a little more about your background?

However, the less than obvious correlation is how a thread about QF academic programs turned into a religion/racism issue. ;-)

John, would I be able to use the function 'tapply' to accomplish this?

This is definitely on the right track. What I need though is a way to distinguish between the data for each symbol. The data is laid out like this: | RETURNS symbol date bin1 bin2 bin3... 1 Oct1 .002 .042 .220 1 Oct2 .052 .041 .020 1 Oct3 .034 .742 .245 1...

I am working with a data set that is set up as follows: There are several thousand ticker symbols whose daily returns are binned in 18 sections throughout the day. There are between 25 - 30 days of data for each ticker. I want to find the mean return for each symbol and create a data set...

That would be great. Please keep us updated on the details.

Good advice Gw. However, before you enter a room and criticize the advice of people inside I suggest you find out a little about their background first.

It takes brass balls to sell real estate. YouTube - Alec Baldwin - Best performance

I'm sure everyone will agree that it's never too late to start anything. Several previous posts will echo this sentiment. However, I don't think being sad about your position in life is a great way to start anything. Read up on finance and become active on Quantnet. If finance is for you...

Great question, finnsite and great links, Bastian. I am quite interested in these markets as well. Finnsite, you also might be interested in Sterling Planet They help institutions and businesses offset carbon emissions. I attended the JPMorganChase Carbon Stewardship workshop with one of...

What makes you suddenly interested in quantitative finance if you have never taken any math or programming classes? I'm not trying to be combative, I am just wondering what draws people with little background to undertake the huge amount of coursework and studying for mathematical finance...

I'm not sure if this is the right forum because I'm not exactly recommending a book, but does anyone have A Practical Guide to Forecasting Financial Market Volatility by Ser-Huang Poon? Here's a link to the amazon page: Amazon.com: A Practical Guide to Forecasting Financial Market Volatility...

I think the firm will provide a useful guide to the Series 7. During a previous internship, I was supposed to be qualified and was given a guide with all of the important parts highlighted. Of course, due to complications with the company's internship department, none of us received...

Where are you from, DingDong?

Wise call, Gus.

Hey Richard, welcome to Quantnet. Your job sounds very interesting. Do you specialize in certain products? Also, I notice you are working in Singapore - are you mainly focused on the SE Asian market?

I came across this job posting for a position at ICE as a quantitative energy and commodities analyst: ICE: Job Listing They are seeking those with an MFE degree, so I'm sure more than a few on this board will be interested. -Christian

I will consult some of my banker friends. They know shortcuts to have Excel brew cups of coffee :-) On another note, does anyone else hate Excel 2007 that comes with Vista? I want the old version back.

Andy, if you go to 'Format' and 'Cells' there is an 'Percentage' option format. This takes care of the multiplying by 100, so you can omit that part, and it will add the '%' symbol automatically.

Thanks for this woody. Does anyone have the IEA 2007 World Energy Outlook report?

Sounds like we have a number of people interested in the energy industry. Woody gave this link a while back - EnergyDesk. I have found it to be a great resource for daily energy news.

Kean, I think you're confused. You need to get the manual from Vladmir. Unless you were asking how I found these different companies.. the answer to that is open ears and reading the energy news!

Speaking of energy trading.. does anybody have experience working at an energy company? I'm exploring career options and considering career options at a company like BP, Exelon, Statoil, Louis Dreyfus etc. Can anyone offer insight as to the training, culture and career paths for these firms...

Yesterday I visited Citi with Baruch's undergraduate Wall Street Careers Program. One of the panelists was a quant - his background was mathematics and computer science. He said that most of his work was related to programming and model building, but the natural progression to be a trader...

So the USA creates a trade deficit with China. China has loads of US dollars that are losing value relative to the other major currencies. China then puts the dollars back into the US economy via investments. Seems like a great system to let Americans consume more than we produce. This...

http://www.ederman.com/new/docs/gs-volatility_swaps.pdf This is a pretty good paper from the Goldman Sachs quantitative research team. I referenced this paper extensively while I was doing research on VIX over this summer.

For me, sometime last year, I don't actually remember how I found it though. I do feel that it's really developed a great deal since I started viewing the site regularly, and I have to applaud Andy for all the work you've put in!

Everyone that participates will be competing against each other. For example, in the equities simulation there will be a certain time frame, and each person will be given some different, but incomplete information regarding the final value of the security. It is up to everyone to use what...

Thank you for this correction. I've lived in Nakhon Sri Thammarat, in the south, and in Din Daeng, Thannon Wittayut (Wireless Road), and Banglampu, all in Bangkok.

If you guys/girls want to organize a simulated trading session, just take a look at our calendar for the Subotnick Center and let Professor Holowczak a time/date and either Richard or I can run the session. Also, don't forget that the 'developmental classroom' and the 'seminar room' are...

Kean, I think it's important to consider the context of the economic environment as well. Why was Thailand forced to devalue the baht in 1997? While there were a gigantic amount of non-performing consumer loans, more importantly the central bank was using its currency reserves to keep the...

Hi Robert. I'm also an undergraduate mathematics major at Baruch. Which courses are you taking this semester?

Did you make any bets, Andy? I bet a 25 basis point cut with my friend, and we all know how that went for me today.

I don't know what country you're posting from, calvin, but why would you want to buy more dollars as it's becoming weaker in order to spend them later?

Phew, I can have faith in humanity and justice once again.

I don't know whether to laugh or be embarassed for being American. The legal system here is bizarre sometimes.

Tim Sykes annoys me. I remember in the "Wall St Warriors" movie where he whined because he got out of his "perfect fade" trade too early and missed out on a couple thousand bucks, then proceeded to brag to his buddies that "up $50,000, down $50,000, it doesn't matter to me." I definitely...

Does anybody have a copy of the textbook 'Advanced Calculus (3rd edition)' by Taylor & Mann that they would be willing to sell or trade?

Naeron - check out VIX options. You could be making a killing. Anyone have much experience with these?

Have you seen MIT's OpenCourseWare? There is a wealth of knowledge spanning a variety of subjects available for free. I use this resource pretty often - I think it's amazing.

I'd appreciate a copy as well. Thanks man :-)

Dmytro - I can see your good intentions, but I don't think attendance to any party has ever been increased by bringing attention to the lack of girls that will be showing up :D

fixedincome, I can't sign up for your forum. When I press 'Submit' I get a page that says 'An unexpected error has occured.' Does anyone else have this problem?

Incoming students could do what I did when I came to NYC. Pack one small duffel bag two hours before you leave and have no job, or apartment when you arrive. It makes for a really interesting two weeks before you establish yourself. At least for me it did.. :-)

Andy, can you please remove this post until further notice?

Compustat can be accessed through the Baruch database list. Here's the link for those that are interested. This week I will check to see if we are connected to any other databases at the Subotnick center.

Take STA2000 before you take MAT4120 (Probability). I didn't, and regret it because I feel like I could have been reviewing for 3-4 weeks at first, and then the subsequent material would have been much easier for me.

I'm currently an undergraduate at Baruch doing the math major with a concentration in finance. I love it - it's the reason I chose to come to Baruch initially. While people may think you're studying something obscure and useless (as people have said to me), I think in the very near future they...

Interesting article from Bloomberg today - http://www.bloomberg.com/apps/news?pid=20601109&sid=aJ5z5JLM4JP8&refer=home "Wall Street and Silicon Valley are courting Zhang and graduates like her -- kids with top grades, finance and math skills and a couple of languages -- more heavily than...

Jim Simons, of Renaissance Technologies and the Medallion Fund (the super $6 billion quantitative hedge fund) was first a mathematician, then a fund manager. I came across a paper that he wrote. [math/0701077] Axiomatic Characterization of Ordinary Differential Cohomology Interesting, but...

Hot Commodities as well, if you could? What can I trade you for it?

I am also now looking for the book "Hot Commodities" by Jim Rogers. Does anyone have this up for trade?

Welcome pauljack. I'm a fellow upstate New Yorker as well - I actually grew up about 20 minutes from you in Skaneateles, and we have a family business in Syracuse. Small world. I'm currently an undergraduate at Baruch, but let me give you some advice. Don't go to Buffalo. That city is not...

Do I hear an offer?

If anyone is like me, they have some finished books that won't be read anymore. I want to start a thread where people can connect to trade books. At the moment I have: Liar's Poker - Michael Lewis - this one shows all the antics and craziness in 1980's Solomon Brothers When Genius Failed -...

Would be nice, right? But hey, what are you still doing holding Delta stock?

My guess is that they have the freedom to do this because of their bankrupt status. The airline industry in the US is really hurting - I could not even get a blanket on my way to Las Vegas, and they wanted to charge me for the in-flight food. If this is the case, they're certainly not going to...

Professor Holowczak, thanks for the promotion for our club, and also all the great resources you provide to us at the Subotnick center :-)

DO YOU SMOKE?: Yes, but not tobacco.

It's the "donation boiler room." I meet in there every week for our Portfolio Management Club meetings, and I can't help feeling like I'm sitting in the JT Marlin office. I'll definitely help with the technical analysis, let me know when you want to meet up. I'm sure we can both teach each...

You mean the Baruch "boiler room?"

Andy, thank you for the promotion! I'm glad you liked the article. I would think that only works if YOU are the dinosaur in the market. If you can identify where other stop losses are being placed, you can definitely place an order against them at that level and ride a small wave of...

First, it's important to understand what a short position is. You are borrowing a security from a broker, and selling it, then hoping the later you can buy it back for a cheaper price to pay back the broker and keep the difference. For example, let's imagine that we have an account in US...

Thank you, everyone, for your informative replies. pardasani - I'm glad to hear you had such a great experience. Sounds like a great place to work. As I'm looking for a summer internship, if the Calyon today is anything like the Credit Agricole of Zurich, it would be a great experience to...

Does anyone know anything about Calyon Financial? I've looked at their website, so I know the basics, but I'm wondering more about prestige, size, influence, culture, etc? Has anyone worked there, or known anyone that has? If not, have you heard anything about the company? I'm being very...

Touche. Hahaha =D> I saw an article on CNBC a couple of weeks ago about hedge funds investing in movies, and applying a monte carlo simulation to allocate their funds. Instead of factoring in inflation, they used parameters such as the probability of a movie's success based on the lead actor...

How about "Venture Capital in Dallas?" Because we do some of that too ;)

Andy, that's a very good analysis of what I've been thinking. I've been wondering this because I landed an internship at a private equity firm this semester. I'd never thought about PE before (I was pretty set on derivatives or strictly trading), but applied for it anyway. Now that I'm...

As I understand, much of the skills gained in this financial engineering are geared towards working at hedge funds specializing instruments such as derivatives, or developing trading methods, but I'm wondering what other areas of finance could these skills apply? Would other buy-side firms...

I read the book Understanding Derivatives by Bob Reynolds. I found it very clearly written, and finished it in a few days. It explains how and why derivatives are used, who uses them, and goes into the basics of some hedging and speculative positions. From Amazon, it's only around $10...

That's true, but it seems the larger the fund, the harder is to keep the secret about what you're doing. It seems like many of the large trading houses use to be private partnerships - Goldman Sachs, Solomon Brothers (although the latter went through more complications) and eventually went...

Up 67.5% on the IPO today. Does anyone see more US hedge funds following suit?

Anybody here interested in forex and pay attention to the NFP report today? Here's a link to the article. http://biz.yahoo.com/ap/070202/economy.html?.v=6 Here's a chart from dailyfx.com http://www.dailyfx.com/charts/Chart.html?symbol=EUR/USD Open up the 15 min candlestick chart. Notice the...

Hey Vladmir. Funny to see you on this messageboard since I always see you at the gym. I had no idea you were interested in this program as well. We should get together and talk some math. I'm taking Intro to Probability this semester, what are you taking?

I'm just curious, how did you approach this problem?

For number three I got after 1 hour, 6 minutes and 27 seconds.. Any other takers? How much time do they give you to work out these problems? Are you allowed a pen and paper?

Re: For all new Quantnet members, please say hi here Is that first picture yours? It's incredible. The food looks good too. I have a friend from Vietnam whose entire family lives in their house (uncles, cousins, nieces, etc) and there is always a feast prepared and ready to eat. So...

Andy, I was in Thailand, Laos and Cambodia. I was an exchange student for one year in Thailand in 2003-'04, and actually at this time last year I traveled back to visit my friends in Thailand. I took a trip the day after Christmas to Cambodia by myself for four days as well, what a wild...

My name is Christian Lemp, and I'm currently a student at Baruch College. I'm interested in quantitative finance and have been studying several books on my own along with attending one of Professor Stefanica's classes this past Fall semester. Outside of finance, I'm interested in travelling...