Search results

Congrats on the (semi) retirement!

Glassdoor and Wallstreet oasis have large compilations of interview questions for many of the quant shops.

Of course, Bloomberg requires a subscription. If you're doing this for an "at home" style project, you're SOL

It's trivial and canonical. People buy and sell the strip literally every VIX expiry (which is now weekly)

That doesn't look like a payoff, that looks like a price (as it seems to be a constant). The payout component is presumably $$ (\int_0^T S_t dt-K)^+ $$ In which case, yes, this looks like an Asian option. If you are concerned that there is no 1/T term before the integral, note that you would...

Python... the daddy of AQR's programming team because they are really really really proud of their library

Or he can learn a useful language like C++ like the rest of us did

My life advice is to know your limits and stay humble. For internships just do some software development for now.

Here's how it will most likely work: 1) You pursue a PhD since you believe the people who tell you you *need* to have it to work in industry. 2) You will then work ~5 years doing predominantly programming work, making more money than the average but still not satisfactory to preconceived notions...

lol

It validates itself... computer science is a subset of mathematics. Computer science is true because results are predicated by axioms. If we begin to argue that mathematics isn't a science, we venture into philosophical ground and it is completely irrelevant to the discussion at hand anyhow...

Not at all. Software development is not a subset of computer science. Computer science can be done entirely with paper and pencil, and is as much of a science as mathematics is. Math is maybe 10% aha moments (of course, by time/beauty these take up more than 10%) and 90% stepping through an...

No no no no no no no This is incredibly bad for a billion reasons, but the biggest thing it introduces is all kinds of nasty autocorrelations. You can not do this

Eh, computer science is a science, but software development is exactly what you describe it as. Just being honest, mate. In any case, as someone that works in industry... if you can't program, don't even bother.

I'll take the probably unpopular stance and say that if you really got a C in an introductory programming course, you probably aren't as good at math as you say you are either.

almost considering lifting 90% if you've got size on your offer

Well there's two issues with this: 1) Because of convexity, var swap strike isn't even going to be equal to vol swap strike. 2) Var swaps are not a good way to trade implied vols. Of course, they have vega (which decreases over time!), but it is a really unpure way to trade implied vols...

They are trying to replicate vs realized skew, I am perfectly content (in fact, prefer) to merely bet on implied skew levels.

Hey mates, simple question to formulate, not sure if it's trivial to answer. What's the purest way to trade index skew? On the one hand, it might be tempting to say a delta-hedged risky, but you run into the problem that strikes are fixed, so if underlying moves enough, you might have been...

Anyone know if there's a source online where Multivariate Weighted Least Squares is implemented in Excel/VBA? Would rather not route R code through Excel and I want this to be an easy sheet to work with... Cheers mates!

I'm assuming this is Jump, since KCG is now based on the east coast, Jane Street is in New York, and DRW doesn't have a technical test. If it's Jump, I would say CS related material is going to be very important, since that's their bread and butter. I would say 1) Coding and Algorithms 2)...

Try applying to the Chicago props; they are good firms, and don't care too much about GPA. Prepare to be grilled on interviews, though.

...and into the real world

prop trading master race

First of all, not quite: Because remember, if you tie, you lose. As for the symmetry, I mean in the 20 die vs 20 die game, the ev you get if you're higher is equal to negative of the ev you get if you're lower. The only net contribution of the 20 die vs 20 die game is negative EV you get from...

Some questions you can, some you can't. I would say that for this question you should be able to do it in your head. Just split it into the case where the 30-die rolls >20 and the other case which is equivalent to two 20-dice. Then exploit symmetry. Their solutions are pretty terrible lol

I think that's right, but I didn't spend much time on the problem.

Do you get 8.15?

Why do you need volatility to price futures? Futures are usually considered to be martingales, just use EV. Conceptually, I think of implied vols as nothing more than a price of a contract where you're buying realized vols

Incidentally, this isn't true. Try forecasting the weather 15 days from now.

I am taking a stand here. Black Schole's isn't "wrong" any more than it is "right". It's a useful model that begins to explain some of the reasons options are priced the way they are. Nothing more, nothing less.

Black scholes, along with other reputable models, doesn't try to predict the future. It gives a consistent metric for what the price of something now should roughly be.

I throw a baseball up in the air at a 45 degree angle with a speed of 10 m/s a second. What time will it take to fall back to the ground? If we use a model, we can say that the ball is affected by the force of gravity and experiences a downward acceleration of ~9.8 m/s^2. We get a pretty good...

I think it's easy to forget that models are just that, models.

I mean, you still didn't say what the actual position is, but i'm going to venture that is going to be primarily a coding position. Citadel likes C++ and Linux, so make sure you're completely comfortable with that. Brush up on multithreading and other OS topics. With that said, since you say...

HFT on which side? FTAP or research?

Fair price is an unobservable quantity and is model-dependent. What happens is that a bunch of market makers (I'm assuming the market for the security is dealer-driven here) have their own independent judgement of what the fair value is. These market-makers will make spreads where the bid is...

Chicago Bound

Your answer makes sense, but I don't like it, because you're extrapolating the pattern by complete guesswork... it's not a pattern "found" within the numbers given.

I go to Carnegie Mellon, "where fun goes to die", and is known for being an academic clusterfuck, but still had good enough grades to get offers within finance and the free time to join a social fraternity and enjoy myself. So to the OP, don't stress yourself - it's not an all or nothing...

Knight/GETCO is an HFT firm so you have to be exemplary in your programming ability. In terms of comparable firms I'd probably put Jump or maybe Hudson River - again, the very computer/programming focused ones. Good luck!

yeah, all the props and one major bank. I went with a Chicago prop in the end.

After 3 final rounds at various top props, I am pretty confident. In fact, they explicitly often look for people with no finance background whatsoever. For what it's worth, your second point is somewhat valid - the questions they ask on the final rounds are unlikely to be on the various sites...

This is terrible advice - Jane Street will never ask these kind of questions. This isn't S&T at a bank, after all. To the OP: Practice your fermi probelms (http://www.physics.umd.edu/perg/fermi/fermi.htm), be sure that you can answer all the questions on...

When applying for a PhD, don't apply with the school in mind overall, apply with a specific professor in mind.

Your stats background is fine - since you're majoring in math you should have a reasonable quantitative background going in.

Even if you somehow sneak your way into an MFE, you're going to be completely outclassed math-wise by your peers. You literally have like... no math experience. Calculus 3 and linear algebra are like freshman level subjects.

Both are pretty mediocre. That being said, Group One at least does some market making, so profits are probably a tad bit more consistent.

Didn't know. Why do you think US Universities are typically held in so much regard, then?

That's interesting. Undergrads come in with calculus classes from high school as well, but are exposed to a bit more breadth in their first two years of undergrad before taking analysis (e.g linear algebra, discrete mathematics, etc.)

No, in math. Do Europeans typically take Real Analysis their first year of undergraduate studies? If so, what age do you enter university?

I agree with this point - most capable undergrads take it their junior or senior year here - but they are officially "graduate" courses.

Not sure I agree. We have analysis at undergraduate, of course, but the idea is that if you are interested in taking a course on Measure theory then you are quite ready to take classes within the graduate department anyway, and there's no issue.

They will have your name on file, but they won't remember exactly how your interview went unless it went horribly wrong - you will probably have different interviewers the second time around to boot. In a smaller firm, this is not the case.

Depends on the firm. At a small firm, almost certainly yes. At larger firms, unless you severely screwed up you're usually in the clear.

I've been thinking the same thing - most of these accounts are all new, too.

An MS CS would be a better option.

They already know you're applying to other schools though - it's common sense to apply to many. It's not going to come as a surprise to them. Lying, on the other hand, is just asinine.

Why would you want to keep it a secret?

"Quant" is a blanket term, not a job title. What do you want to be doing?

Applied Mathematics This usually is a tell-tale sign, but good luck anyway, OP :) I was in similar shoes very recently so if you end up having specific questions, holler.

Here you go, OP!

Did you try all the usual suspects via yelp? This

For the record, as someone who has relatives that work in the aerospace industry - a large portion of aerospace hardware/software for other country's space programs are made right here, in corporations based in the U.S... lol.

You can do a little bit better with Milstein, and this one is used for plenty of models in Finance iirc

on the interview grind!

Wow, just saw this - thanks a bundle Ken! Just a note to some people reading this, there is a mix of very cursory (eg the explanatory ppt) and overly-detailed (BASEL regualations). This is a fantastic starting point, but if you're interested in more you should definitely research for your own...

I'm not saying the program is or isn't good, but if you fail a course twice, do you really have what it takes to be a quant?

Prop shops (even the good market makers, eg SIG Five Rings, etc) respond pretty often to resume drops on their website, you should definitely go that route if prop trading/market making interests you.

That's my point - if the tech role is strats, it may be worth considering over prop. Otherwise, tech is a dead-end.

Probably the prop (which one is it) assuming the tech role isn't strats.

Classy response, not of all of us could refrain from snapping at this clown :rolleyes:

Then transferring will not be trivial. You'll want to have a 4.0 for two semesters in RPI at least, I feel.

You participated in IMO? And are in RPI? How did that happen???!

Where would you be transferring to? Also, what are your goals, career/academic wise?

I'm actually pretty interested in S&T roles as well, so your feedback was appreciated!

I'm so sorry, mate.

That sounds awesome, best of luck!

Guys, it's been two years; do you think he made it?

If you want to see what a trader "does" at a bank, this is a pretty good simulation: http://live.marketsims.com/TSDemo/

If you want a technologist role that isn't "back-office" you're pretty much looking at the Strats-desks - these positions are very prestigious and with your experience (lack-thereof) you have pretty much no shot at one. Back office tech is a dead-end and will not help you get into prop.

As someone that takes the Putnam very seriously, the Putnam is a terrible "IQ" test - first, it's got a terrible distribution, and second, practice AND innate ability are necessary for a reasonably decent score. Not sure why we're arguing about this though, this completely veered off the...

The degree is in math. Unless you count internships, no, I don't have any practical experience. Thanks for the advice!

Hey everybody, long time no talk! My dilemma is as follows: although I am technically an undergraduate, I will be receiving a Masters simultaneously along with my Bachelors next school year. So far I've been applying for Summer -Analyst- positions, but would it be a good idea to apply to...

My, my, Geoffrey, from the way your original post is written I would say you should give up a full 20-40 points of IQ for even a farthing more of sociability.

This could be used for anything with Data Analytics, which in turn is used in literally every industry, from retail, to marketing, to energy. Unsurprisingly, "quants" are found in all of these industries.

Pretty much anything. What's the context of the question?

Just saw this - the thread is old but I'll probably still be using this for unrelated thesis work. Thanks!

n has to be an integer by definition, since it's the number of throws missed!

Again, we don't need to restrict and simply extend naturally to all x real. The function becomes continious and we are guaranteed a solution - but not an integral solution. We use the other logic to guarantee that any solution we get needs to be integral.

Ah, but that depends on what you consider the function do be! in general functions of the form x/x+n are continuous (at least when x is positive) if we consider x as reals so we know that the value .75 will be hit for some x. We're not guaranteed that x is an integer until we use the logic that...

I was just thinking that since we know a solution exists, e.g x=3n, then we are good to go simply by the intermediate value theorem.

Care to elaborate?

Oops, massive brainfart. At least it got me to see why the answer is yes - Your free through percentage will be some x/(x+n). We can see there is an x so that x/(x+n)=75% since 4x=3(x+n) has a solution where x=3n. Nifty.

Second Question seems easy: No 0/1 1/2 2/3 2/4 3/5 4/5

Am I missing something here? The rectangle is just the two squares side by side?

easily take the internship

There's a bunch of literature out there about empirical/data-fitting/statistical concerns regarding autoregressive times-series models, but is there anything out there about theoretical implications of a time-series being autoregressive? For example, when does \((\lim_{t \to...

Not quite what I want. I am more interested in empirical data; I believe that this source implies that two factor models would suggest there is a positive autocorrelation in squared (and therefore absolute value of) returns?

Last month I was browsing Google Scholar in search of some stylized facts regarding security returns and I found one that caught my eye in particular: that although security returns are not completely predictable, the absolute value of returns is quite predictable and therefore the uncertainty...

While it's great to know SQL, the fact of the matter is that it's very easy to learn and use and is therefore lackinga niche.

You're going to have to be way more specific. What position is this? What fund?

...

Columbia is very, very good. Unless you already think you're unlikely to do finance, I feel like I would choose Columbia over UW any day.

I feel like the University Quality is important in making this decision. Where are these degrees from, exactly?

Don't take offer 1 with the expectation of not doing solely development. Probably offer 2 if you don't wanna pigeon hole yourself.

For programming (specifically c++): http://www.cs.ucr.edu/~lyan/c++interviewquestions.pdf

This is a classic argument and can be found with a simple Google search. Merely purchase the asset now and borrow the money to pay for it. Net cost is the asset price multiplied by the spot rate. By the no-arbitrage principle that should be the cost of the forward contract and we're done.

That non-perfect quantitative GRE is going to hurt you. I think CMU is a reach as well.

Waiting is agony... :(

What kind of "quant job" exactly. "Quant" is really an umbrella term...

It's obviously an act.

Hey guys, haven't really been on here for a while. I've been accepted to Citadel's superday for the summer FTAP program and was wondering what kind of material is emphasized in the interview. C++ seems to be big; should I concern myself with memory management and the like? Additonally, about...

To be blunt, that is not math. :) At best that is a form of "engineering."

Agreed re: undergrad Math degree. An undergraduate degree in Mathematics is one of the best you can get because it prepares you for a wide variety of Graduate programs (from Economics to Physics to Computer Science to MFE) and also makes you quite employable; most skills are learned on the job...

I would say no. Getting the Masters is not free and Stevens is not really that respected... be wary of diploma mills.

What school?

Kurzweil-Henstock

What happened Quantnet.

I too, am an alumnus of that team :) If anyone has any questions regarding Montgomery I can answer them.

I think some sorts of actuarial roles may help prepare for quantitative roles later (particularly in risk management) but corp finance and PE have nothing to do with quant stuff. IT and asset management definitely are relevant. That being said, any internship is good and demonstrates an actual...

Manifolds...

If only this weren't so obvious :(

If you are using AI it should be a joke to backtest. Seriously, you are looking like a fool right now. 12 trades is not statistically significant.

lol @thisthread Ian R. you should buy your AI's picks on margin for even more profits!

November 29th... hey, I was close.

This is clearly sub-optimal for A; I outlined a strategy where he can win 52% of the time whereas you gave one where he only wins 48 percent of the time.

There are still only so many good ones though.

*slow clap*

You wrote something that you didn't mean :)

Yep, ask them. I'm sure they'll help you out.

:rolleyes:

If you want to do quant finance, the obvious choice is path 2. You need a technical major.

^He's an undergraduate, so while of course there is no drawback to trying them out, the standards are different. Maybe this suggests.... Quantnet needs more resources for undergrads :)

That being said... why are you struggling? Are you sure the quant field is for you?

Bank of America has a quantitative summer internship in Charlottee, forget what it's called. Also nearly every prop shop (think Jane Street and SIG) and fund (think two sigma) has stuff.

Having trouble with geometry your junior year of high school is a major obstacle? Also the grammar is frankly too much too fix... use Microsoft Word please! Also, I might be wrong here but is it really a good idea to emphasize that you're a junior taking 2-Dimensional Geometry? Shouldn't you...

Title pretty much says it all. I'm currently a freshman and will be applying to more financy (read: less quantitative) positions this summer, so I wanted to move a more relevant position ahead of where it should be based on reverse-chronological order. Is this ok, or strictly taboo?

Alright! 4.0 my first semester.

Absolutely; I don't mean to suggest you need a 4.0 in your math courses. But a C in such a math-oriented profession is not really acceptable either... yippee I would still apply but make sure you have back-ups!

I mean... I'm an undergrad, so take my opinion with a grain of salt... But why should the top mathematical finance program take someone who got a C in a math course, when it could take an applicant with a perfect 4.0?

CMU has a Business Administration Degree (your run-of-the-mill business degree) and also a computational finance degree, but you apply to that at the end of your second year and is highly competitive. It's more of a math majors (as MFEs really are)

Heya. You can PM me too if you want; I'm a freshman now at CMU, but high school is still fresh in my mind :) My primary suggestion is to continue searching for internships but switch fields. Specifically, if you get a programming internship you can get valuable skills that you can later put on...

To be fair, the "C++ courses" we took in high school are bullocks. e.g. pointers aren't covered Edit: really

Risk aversion ;)

Edit: Actually, you can see the statistics. There aren't lol. http://www.tradertest.org/img_math.php

I think you mean the Dividend Yield is too low. :P

I just bought a lightly used 4th generation ipod touch (32 gb) for 170$. :cool:

What realm of finance are you interested in specifically?

nice.

Good point :p Anyways I ran: import java.util.*; class Tester{ public static void main(String[] args){ int sum=0; for(int test=0;test<500;test++){ boolean[] switches = new boolean[50]; for(int flip=0;flip<50;flip++){ int toFlip=(new Random()).nextInt(50); switches[toFlip]=!switches[toFlip]; }...

No go. The events aren't independent :(

Bump; can anyone give advice on my schedule (or DanM's for that matter)?

Yeah, but strictly speaking we haven't proved the general case for more than 2 stocks.

He's using the definition of an incomplete market that states that a market is incomplete if there exists a gamble which you cannot buy; stochan provided such a gamble. stochan Yes I suspect you are right; it shouldn't be too hard to prove with simple linear algebra. That doesn't prove the...

Often that depends on the school. Does your business school have a separate career center, for example? All else equal though, an economics curriculum will generally seem more rigorous, especially if the business one is particularly fluffy.

Deliberating my future course schedule. How much programming do I really need?

Albo, and you aren't an undergrad? Cool story bro.

Well generally you can't synthesize the digital with just the two stocks and the risk-free, if that's what you mean. Suppose our portfolio is (a,b,c), or a of stock 1, b of stock 2, and c of the risk free. There are 4 state equations (for 3 unknowns!) that need to be satisfied if our portfolio...

What kind of information is available about the stocks i.e correlation, probability of rise, etc. I do think the market is complete though, I can't see why not.

Ah! Good luck on finals then ;)

Is that normal vector calc, or some-sort of proof based/advanced course? Because second semester junior year is rather late to be taking an ordinary multivariate calculus course, isn't it?

ITT We actually talk about a Undergraduate Quant Education: talk about schedules/internships/whatever, but try to keep off-topic chatter to a minimum. I'll start off by posting my planned dream schedule (this is for Carnegie Mellon.) Any ideas as to what courses I should add/drop? The only...

lol If Putin was an option, it wouldn't matter if you voted for him or not, he'd win anyway.

The Apps are pretty trivial and to be honest most of my friends were programming at that level or higher at age 12. What IS impressive is his speaking ability! For a 12 year old that's fantastic. Good for him.

Well now you know what to practice ;) Which difficulty setting were you on?

Sure. Take a look at http://www.duke.edu/~charvey/Classes/ba350/control/opc.htm You might need to scroll down just a little bit. Also, I edited my first post to address some of your other questions. This is from memory though so I might be a little off.

DOUBLE EDIT: Whoa, sorry. I thought the first equation was defining a utility function for wealth. Forget what I said. They're the same :p (Although equation 2 is still a sub case for equation 1)

Hahahaha... "I'm not saying you can't become a trader but have you looked at http://www.tradertest.org/ recently?" :P

It's fine in this case as long as you do all of your arithmetic inside the sigma but you shouldn't be adding/subtracting infinite sums since re-ordering them can actually change convergence properties.

Although this solution is pretty specious... note how each of those sums is infinite! ;)

Haha, glad you guys like it so much but somebody bump the thread once in a while so other people get to view it ;)

http://www.tradertest.org/ The trading simulation and mental math portions are of particular use..

No problem, let me Google that for you. Edit: tl;dr What you should actually be searching for is "Rho Trading Securities LLC" because they changed names.

yep, and this is especially true in the commodities market. For example, many farmer's livelihoods depend on it!

So, anyway, I was thinking about moving to Singapore some day...

It's an old classic ;)

If bankers don't make bonus, then they're making about 80k a year. They're also working about 80hr weeks, say 50 weeks a year. That's 20$/hr for a very high stress job. No way that's fair; nobody would become a banker.

I think he meant to say a few econ courses lol

How many years have you been in school already?

Good stuff! And good luck with the job Ilya :)

This is a great mathematical solution but would never be expected for an on-the-spot software interview answer ;) But thinking of these as lattice points is pretty clever!

Ah, of course! The second one we use different powers of 10 based on the bounds. Thanks for filling in that gap ;)

The issue is seekers of a graduate degree are pursuing the degree generally for obtaining a job. Thus the curriculum has to be centered around that. If it weren't the case, I'd say more abstract, theoretical math, simply because it trains the mind more! But there are far fewer jobs that need...

I see this question and I instantly think of modular arithmetic. I'll edit this post when I figure out the answer. Edit: Actually, now I'm thinking bases! You could ask x+10^100y+10^200z and obtain x, y, and z in one sum as long as you assume x,y, and z are each less than 100 digits. To verify...

Math! (But if your recommendations would be far better from the finance professor, by all means get it from them, especially if the class that they taught was less "soft".)

The problem is, most people gain knowledge for only a brief time period. They glance at a wikipedia article and forget what they read in an hour or two.

Wow, gee whiz, Ireland's a real country!?! I thought it was a mythical island...

... "We are the 99%" ring a bell? :ROFLMAO:

I'm a little curious how other people would proceed with valuation :)

Are you talking to me or Abdel :) I do have morals and it would absolutely pain me to see to him die! I'm just citing a huge problem that you haven't really answered. If we pay for his health than why should anyone individually pay for their health insurance if the government would take the tab...

He asks for "a fair price for your game piece". That is a going price that the other player will accept.

Although at first I wanted to agree with Alexei's argument, I think the mechanism for obtaining game pieces is important. Suppose you can (like the McDonalds Monopoly) buy as many mystery game pieces as you want for a certain cost (say 1$). Then your friend won't sell it for 27 cents because it...

Although it sounds harsh, supposing that society pay for him, what would incentivize people to ever get health insurance? Because the thought process is that someone else takes care of the bill...

http://www.math.odu.edu/~bogacki/lat/ is a fantastic resource as well. Thanks Andy :)

Why would you make such a brash claim with no evidence? There are plenty of standard libertarians out there that are just for a smaller federal government...

While that is funny and of course fair game, you have to realize that I could just as easily find a stupid Occupy protester and pair him with an intelligent Tea Partier ;) EDIT: The best part is that they spell official "offical" LOL

Not only was that rude, but more to the point, wrong. He's a CMU MSCF alumnus and has offered himself as a contact if you check the Quantnet CMU wiki. But mfe you're right this is the last such post that I'll be responding to.

Not required but as I understand highly recommended.