There's another way that hasn't really been mentioned yet, and that's to work for yourself via your own quantitative trading system or through Quantopian's crowdsourced hedge fund (https://www.quantopian.com/managers). Disclaimer: I'm an employee there
How to Get a Quant Job in Finance
71–80 of 143 posts
Re: How to Get a Quant Job in Finance
#72Earlier quoted context omitted.
Can you do 2 or 3 without a CompSci/Math degree?
My team is a mix of 2 and 3, we have comp sci, math, actuarial, engineering and physics people with about an even split. Oh and one quant dev who was a medical doctor but found programming more fun. So it's all sorts.
You mentioned actuarial - as an actuary interested in quant work, I'm surprised they are so well-represented on your team. Do you find lots of them in the industry? I'm taking the Quantitative Finance specialty actuarial exams and figured it'd be a long shot to break in, but maybe there's hope.
Re: How to Get a Quant Job in Finance
#73Earlier quoted context omitted.
Because you get to work on really interesting math problems, in an environment that isn't stingy with pay or equipment and has clear objective measures of what things are important for the business?
I think the question that rhodri poses is an important one. For me, satisfaction comes from more than just the solution to the immediate problem, or the amount of money I'm being paid to solve it. Satisfaction comes from knowing that what I'm spending my life on is meaningful in some greater sense. Other ML fields like robotics and deep learning have virtually limitless applications that may benefit society in some w…
> I think the question that rhodri poses is an important one.
And I think kasey_junk answered it pretty succinctly. That's not to say that it's the only valid reason to want to do anything. It just happens to be quite a common reason for people to become quants.
If what you want to do is answer the great questions in life then I'm not sure that being a quant is necessarily going to help with that.
Re: How to Get a Quant Job in Finance
#74Having hired a lot of quants and programmers in finance I can probably give a bit of background on what to expect: Get this book, read it and understand it. http://www.amazon.com/Heard-Street-Quantitative-Questions-In... Quants tend to be in 1 of 3 categories: 1) pricing quants, you work for a bank or investment house like Goldamn. You know stochastic calculus very well, you know finite differencing like the back of…
>Good traders seem to be exceptional at mental math, with very, very few exceptions. I would have thought no exceptions. What are the characteristics of the few who make good traders despite not being exceptional at mental math?
I know very successful quant traders who are so poor at mental arithmetic that they reflexively use ipython to compute 20% of $100M.
Writing correct trading algorithms has more to do with knowing what your blind spots are than being good at math party tricks.
Re: How to Get a Quant Job in Finance
#75Earlier quoted context omitted.
As in most industries, I think you are undervaluing the importance of sales. It's true that long term performance dips will cause a fund to go bust, looking at the number of funds that don't outperform (or only marginally outperform) the market, year after year, makes it obvious that sales are an important part of the hedge fund industry.
Right, but it's not sales in the sense of "lets convince stupid people to waste money by giving it to us", it's more in the sense of "trust us, we're smart, have a good strategy and good past performance". Of course, the average hedge fund under-performs the market (for a particular measure of performance), but rich people might have other investment goals (the chance of finding alpha & beating the market, diversific…
Interesting point, but given that the average performance is ... average, most rich people would be better off investing in an inside edge on a deal. Which is what I suppose they do.
Re: How to Get a Quant Job in Finance
#76Having hired a lot of quants and programmers in finance I can probably give a bit of background on what to expect: Get this book, read it and understand it. http://www.amazon.com/Heard-Street-Quantitative-Questions-In... Quants tend to be in 1 of 3 categories: 1) pricing quants, you work for a bank or investment house like Goldamn. You know stochastic calculus very well, you know finite differencing like the back of…
This is a great rundown. It's worth mentioning though that if you are interested in HFT in particular but not necessarily being a "quant", there are lots and lots of really interesting technical problems to be solved as a pure software developer.
The upside is not the same as being a very successful trader, but it can still be head and shoulders above working at the Amazon/Google/Microsoft's of the world. Writing high performance, high availability trading infrastructure is hard, and scaling it globally is even harder. A successful HFT firm will be iterating on it's infrastructure fast enough that there is always interesting work to do, especially if you like distributed systems.
Re: How to Get a Quant Job in Finance
#77Earlier quoted context omitted.
Now admittedly this is sampling bias, but I have never seen code written by a quant that could be put into production without being reworked by a software professional. The skill sets are in some way exclusive of each other. Quants do lots of exploratory work. This involves tons of one-of experiments and throwing away things that don't work. They often frequently don't have the operational understanding of the way th…
Sampling bias. At least in HFT, the days of hiring quants who can't code are over.
I can personally vouch for the fact that there is a large space between "can't code" and "write high performance production quality code". Quants are no exception.
Re: How to Get a Quant Job in Finance
#78I got an applied math Ph.D. with a good course in measure theory and stochastic processes from a star student of E. Cinlar and a lot in optimization, wrote my dissertation on stochastic optimal control, had a solid background in software, especially in scientific computing, including a lot of applied statistics, sent a resume to Fisher Black at Goldman Sachs, and still have his nice answer back that he saw no opportu…
When was this?
Long time ago, e.g., Fisher Black
was still alive (maybe he's not now).
I hadn't yet heard of James Simons. The rumor I heard was that Simons liked to hire mathematical physicists from Russia.
I had no way to go to Wall Street and already know all about everything they they were doing. The martgingale convergence theorem, measurable selection, power spectral estimation, sure, all about Wall Street, no.
When I was in graduate school, people who understood both measure theory and martingales, Markov processes, etc. were like hen's teeth. Or, sure, essentially every pure math Ph.D. knows measure theory, but curiously, at least in the US, they rarely take a course in graduate probability. It's tough for me to believe that many physics students actually work at all carefully through measure theory. So, hen's teeth.
So, I thought that I had relatively good qualifications. And since I'd read E. Thorpe's book, Wall Street was one of my goals. But I couldn't get the time of day from Wall Street.
Finally, with the letter back from Fisher Black, I gave up. I mean, good grief, a lot of the interest is in the Brownian motion approach to the Dirichelet problem and Black-Scholes, and that was Fisher Black.
In a sense I can't fault Wall Street: A lot of people there are making a lot of money now, with, usually without, measure theory, etc., so clearly they don't need me.
Once again, over again, one more time, in the US the main way to make money is to own a business and make it valuable, not to work for someone else. So, I'm doing a start-up. Based on some mathematics, including measure theory? Yes. Having to do with Wall Street? No.
Right, LTCM: So, let's see, independent increments with the same distribution and not much more and satisfy the central limit theorem and, thus, get a Gaussian process, really, an approximation to Brownian motion. So, ..., and LTCM should have worked, right? Wrong! Those assumptions are only approximately correct, and moreover need some work on the rate of convergence to a Gaussian, with good attention to the tails, and, there, tilt. Boom. Someone kicks over a bucket of fish heads in Asia and ..., down goes LTCM.
Re: How to Get a Quant Job in Finance
#79Earlier quoted context omitted.
My team is a mix of 2 and 3, we have comp sci, math, actuarial, engineering and physics people with about an even split. Oh and one quant dev who was a medical doctor but found programming more fun. So it's all sorts.
You mentioned actuarial - as an actuary interested in quant work, I'm surprised they are so well-represented on your team. Do you find lots of them in the industry? I'm taking the Quantitative Finance specialty actuarial exams and figured it'd be a long shot to break in, but maybe there's hope.
Nope don't see many of them but some.
Re: How to Get a Quant Job in Finance
#80Having hired a lot of quants and programmers in finance I can probably give a bit of background on what to expect: Get this book, read it and understand it. http://www.amazon.com/Heard-Street-Quantitative-Questions-In... Quants tend to be in 1 of 3 categories: 1) pricing quants, you work for a bank or investment house like Goldamn. You know stochastic calculus very well, you know finite differencing like the back of…
>Good traders seem to be exceptional at mental math, with very, very few exceptions. I would have thought no exceptions. What are the characteristics of the few who make good traders despite not being exceptional at mental math?
It depends on the type of trader. Before the days of automation, it was essential. If you could do the mental math the fastest, you would get the best trades. Not surprisingly, this skill matters less when all your trading activity is conducted by algorithms.