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Quant Job Interview Questions (2009) [pdf]

math.kent.edu

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Re: Quant Job Interview Questions (2009) [pdf]

#121

Post by maverick_iceman »

niels_olson wrote: post #118
hendzen wrote: post #117

Earlier quoted context omitted.

If you're making money everything is relaxed. If your strategy is losing money things will be very tense. That's just how it is when you have skin in the game.

>> 12-14 hours workdays not at all uncommon. > That's just how it is when you have skin in the game. MD here, and prior military. That's kind of how it is in any profession where you have skin in the game. Also, for those interested in physics: my undergrad quantum mechanics professor stopped in the middle of lecture once and announced to all of us, the only section of physics majors (17 in all): "Odds are no more th…

What's MD?

Re: Quant Job Interview Questions (2009) [pdf]

#122

Post by reducesuffering »

maverick_iceman wrote: post #121
niels_olson wrote: post #118

Earlier quoted context omitted.

>> 12-14 hours workdays not at all uncommon. > That's just how it is when you have skin in the game. MD here, and prior military. That's kind of how it is in any profession where you have skin in the game. Also, for those interested in physics: my undergrad quantum mechanics professor stopped in the middle of lecture once and announced to all of us, the only section of physics majors (17 in all): "Odds are no more th…

What's MD?

I assume doctor.

Re: Quant Job Interview Questions (2009) [pdf]

#124

Post by JustFinishedBSG »

maverick_iceman wrote: post #107
mrchicity wrote: post #35

Earlier quoted context omitted.

Yes it's an awesome job, and not just because of the money. I've worked for small shops that weren't very profitable and didn't really make a lot those years, but still loved the work. I could see derivatives pricing being boring, not as much room for creativity there. The strategy/trading quant work is like a super open-ended science problem with a constant stream of new challenges as you try to outperform yourself…

I've heard the working hours are terrible with 12-14 hours workdays not at all uncommon. Is that true? Is the work pressure very high?

> I've heard the working hours are terrible with 12-14 hours workdays not at all uncommon.

Derivatives quants have perfectly normal hours

Re: Quant Job Interview Questions (2009) [pdf]

#125

Post by JustFinishedBSG »

deepnotderp wrote: post #34
lordnacho wrote: post #27

Quant dev here. Note there's broadly two kinds of quants. One is a derivatives quant, basically someone who spends a lot of time working out the values of derivatives. So you're looking at ito calculus and iterative methods to find the value of contracts with weird clauses (Knockouts, Cliquets, vanillas, etc), and then building spreadsheets to calculate the hedges for those trades as time goes by. The other is strate…

Is ito calculus really the extent of the math you need to know to go into quant??

For pricing, yes basically

Re: Quant Job Interview Questions (2009) [pdf]

#128

Post by soVeryTired »

ajkjk wrote: post #116
SonOfLilit wrote: post #78

Earlier quoted context omitted.

I was 100% sure that redrawing below 0.5 is optimal, but a simple simulation disagrees: def tournament(a, b, n=1000): return sum(a() > b() for _ in xrange(n)) / n def redraw_below(c): x = random.random() if x `redraw_below(0.5)` only beats `redraw_below(0.6)` 0.4948 of the times, very consistently, over three sets of a million rounds. This is despite `0.5` giving a better average (0.624 vs. 0.620). I'll think about w…

It makes sense that the highest expected value doesn't necessarily indicate the best strategy. For example, suppose you're playing against someone who has taken the "reroll values greater than 0.5", giving them the expected value of 0.625. If you roll the value 0.55, you expected to lose more than half the time, because their expected value is 0.625. So you should reroll anyway.

I think this is the key. Given that the game is winner-take-all, maximising your expected value isn't necessarily the right way to go. To take an extreme example, suppose I had a magic strategy that gave me a value of 1 every few throws and a lousy number most other times. That might give me a good expected value, but I'd still lose most rounds.

So what's the right objective? Trying to beat your opponent's median score, so that you win more than half the time?

Edit: I think you're on the right track, but I'm not sure I believe that you will lose more than half the time if you land below your opponent's expected value. I think that assumes their distribution of scores is non-skewed, which is not obvious to me.

Re: Quant Job Interview Questions (2009) [pdf]

#129

Post by eru »

pkaye wrote: post #30
lordnacho wrote: post #27

Quant dev here. Note there's broadly two kinds of quants. One is a derivatives quant, basically someone who spends a lot of time working out the values of derivatives. So you're looking at ito calculus and iterative methods to find the value of contracts with weird clauses (Knockouts, Cliquets, vanillas, etc), and then building spreadsheets to calculate the hedges for those trades as time goes by. The other is strate…

Serious question... do people really enjoy working on this stuff? Do most quants go to work thinking it is fun to work on mathematical models to optimize financial transaction. Or is it just a job that pays really well towards long term financial independence to do what they really want?

I am working on something quant related---basically the part of the industry spawned by "Composing contrats: an adventure in financial engineering" (http://research.microsoft.com/en-us/um/people/simonpj/Papers...).

I enjoy the domain, but also that I can use functional programming languages.

Re: Quant Job Interview Questions (2009) [pdf]

#130

Post by imh »

laxatives wrote: post #74
hodder wrote: post #73

Energy trading quant here. If anyone interviewed me with this crap I'd walk out immediately.

Care to elaborate? I guess those Ramanujan-like infinite series are a bit like trivia questions, right? Does anyone really have an intuition to solve something like that?

It's just pattern matching. How is this pattern formally defined (for the first problem)? x = sqrt(x + sqrt(x+sqrt(x...))) is informal, so the real definition is a recursion x = sqrt(x + THING), and THING = sqrt(x + THING), which is convenient, because that's just x again. So x = sqrt(x + x) = sqrt(2*x). Oftentimes with mathy stuff (but not always), if you have trouble, right out definitions for the confusing parts and work with that instead, recursing until it makes sense.
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