Next time my wife starts looking at jobs for me and says "hey this quant thing looks like it pays a lot, why don't you apply?" I'll just show her this.
Quant Job Interview Questions (2009) [pdf]
111–120 of 154 posts
Re: Quant Job Interview Questions (2009) [pdf]
#112Earlier quoted context omitted.
Not a quant, but: Imagine playing a huge board game with a bunch of very smart (as in, MIT math PhD smart) players that spend every waking hour trying to come up with strategies, and every time you come up with a good strategy the entire metagame of all players quickly adapts to its existence so the game stays interesting (except for some that lose before they can adapt and have to leave the game.) Factors in a good…
A good example of real-world application of the donut-receipts idea above is the German Tank Problem[0] from WW2. [0] https://en.wikipedia.org/wiki/German_tank_problem
All the ideas I gave were things that happened (or at least, that I read on the internet from reliable sources.)
Chartering fast ships is from 1790, see e.g.: http://dewinforex.com/forex-basics/high-frequency-trading-fi...
Can't find the link for the donut investor, but I'm pretty sure it was somewhere in Matt Levine's (highly recommended) Money Stuff column.
Sat imagery of parking lots appears all the time in Matt Levine's column, there is a company selling this data to hedge funds today.
Selling pounds is of course George Soros, probably the most famous story in Finance.
Wikipedia claims the Rotschild story about the Napoleonic wars is fake. I read it on Quora here: https://www.quora.com/Whats-the-shrewdest-smartest-maneuver-...
Re: Quant Job Interview Questions (2009) [pdf]
#113Earlier quoted context omitted.
No, I did mean everyone. Or everyone who cares about understanding the world. Or rather, everyone who cares about understanding the world they themselves should be wanting to learn more maths than just sums and multiplications. Anyway, thanks for the feedback.
| everyone who cares about understanding the world. Those fluent in math really need to drop this egocentric view. If you can't do matrix manipulations you aren't curious about the world? Give me a break. The breadth of topics that yield understanding of various parts of our world is vast. Do you have an early university understanding of history, politics, math, sociology, psychology, economics, law, capitalism, etc.…
If you don't grok matrix manipulations (which are a very simple thing to understand: matrices are linear transformations and matrix multiplication is composition of linear transformations; for some reason this is only taught as a theorem, not as the first lesson in Linear Algebra), you're missing on a really great tool that helps us a lot in understanding almost every kind of large scale process precisely. Without this tool, we'd be back to the 18th century in math, physics, engineering, computer science...
It's pretty high up there in "list of things to learn if you're curious about the world". Of course, so are history, economics, etc'
Re: Quant Job Interview Questions (2009) [pdf]
#114I worked at a hedge fund for 4 years, and these math questions are irrelevant to market structure.
Based on the challenge of most of these questions, I would hazard a guess and say only very recent grads would be able complete these. I'm 6 years out of Princeton, but I've forgotten how to do probably 90% of these questions.
Parts 3/4/5 require some pretty specific rules that are more rote memory than anything else.
Re: Quant Job Interview Questions (2009) [pdf]
#115Here's my favorite interview question (spent 10 years as a quant, interviewed a bunch of people, most do not do well on this) We're going to play a game. You draw a random number uniformly between 0 and 1. If you like it, you can keep it. If you don't, you can have a do-over and re-draw, but then you have to keep that final result. I do the same. You do not know whether I've re-drawn and I do not know whether you've…
This seems so simple. Decisions and draws are independent - we can ignore the other guy and just go for the highest value. Draw the first number. If it's below 0.5, draw again, since the odds then are that the next draw will be higher. Is there more?
I am very humbled.
The reason I'm wrong is that you are opposing another person's numbers - the expected dollars for a given number isn't linear. A .30 is worth way less than half as likely win you money than a .60 is.
Because of this, the shape of your distribution matters more than its "average" value.
I can't believe I forgot that AVG(F(X)) ain't necessarily F(AVG(X))
Re: Quant Job Interview Questions (2009) [pdf]
#116Earlier quoted context omitted.
This seems so simple. Decisions and draws are independent - we can ignore the other guy and just go for the highest value. Draw the first number. If it's below 0.5, draw again, since the odds then are that the next draw will be higher. Is there more?
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.
Re: Quant Job Interview Questions (2009) [pdf]
#117Earlier 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?
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.
Re: Quant Job Interview Questions (2009) [pdf]
#118Earlier quoted context omitted.
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?
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 than 1 of you will get a PhD in physics. If you want to keep doing math, most of the jobs are on Wall Street and Vegas." And just turned back to the board and kept writing. Probably something about a Hamiltonian...
Re: Quant Job Interview Questions (2009) [pdf]
#119Here's my favorite interview question (spent 10 years as a quant, interviewed a bunch of people, most do not do well on this) We're going to play a game. You draw a random number uniformly between 0 and 1. If you like it, you can keep it. If you don't, you can have a do-over and re-draw, but then you have to keep that final result. I do the same. You do not know whether I've re-drawn and I do not know whether you've…
Draw. If > 0.5 keep it. If not draw again.
Agreed. I think the other 'more complex' answers assume there's communication or that you know your opponent's strategy. That's not in the problem statement.
Re: Quant Job Interview Questions (2009) [pdf]
#120I graduated ~3 years ago with a CS degree and while I probably could have done most of these questions from sections 1-4 at that time, now all this looks very daunting. Just figuring out how to setup the differential equation for Q1 took a long time and I could, almost physically, feel my thought processes struggling.
It's just such a terrible feeling, knowing at one point in the past you would have been more speedy with something and noticing what time has done to your skills.
Do any of you have any strategies for not loosing knowledge? Would re-reading textbooks every couple months be a solution? How do I decide if it's even worth - I don't necessarily _need_ this type of knowledge for what I'm doing now but loosing skills you know you once had feels awful.