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Quant Job Interview Questions (2009) [pdf]

math.kent.edu

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

#131

Post by johan_larson »

wildlogic wrote: post #46
rahrahrah wrote: post #3

Earlier quoted context omitted.

I wouldn't be discouraged. I just had a look and parts 1 - 4 are simple maths, and everyone should know those maths anyway. Then part 5 is application of simple arithmetics (except questions 8 and 12) to options, which means if you already know arithmetics you only need to learn what an option is. What I mean is that you should be learning basics maths anyway, and when you know a bit you can solve all those questions…

Hello, I'm hoping for a suggestion for some math courses that will help me understand these questions.. I only took algebra in high school and didn't go to college. Since, I've looked at a couple things (basic proofs, lambda calculus) but quickly was overwhelmed. What is a good starting point for someone who can reverse and exploit all sorts of binaries but does not know what a derivative is? Just start on Coursera?…

Part 1 is geometry, calculus and linear algebra. An advanced high-school education in mathematics would let you answer these questions.

Parts 2 and 3 are probability and statistics, but they are the kind of advanced statistics that is typically only taught to math students. Second and third year university courses in probability and statistics would let you answer these questions.

Part 4 is statistical mechanics, I think. That's a third-year physics course, and one of the more mathematically demanding ones, at that.

Part 5 is specific to finance. The course you are looking for is probably called Mathematical Finance.

The conventional route to learning all this stuff is an undergraduate degree in mathematics, with an emphasis on statistics. Now, getting there is a long road, but you have to start somewhere. You might possibly be able to learn it all on your own, but it's easy to get stuck and hard to get unstuck without a teacher to help you.

If you are in the US, start by taking a couple of classes in a community college. In your case, the course you are looking for is probably called Pre-Calculus or maybe Algebra II. If things go well you can continue from there.

As for what use this is, apparently you can get a good job as a quantitative financial analyst if you know this stuff.

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

#132

Post by foldr »

CalChris wrote: post #119
mirceal wrote: post #61

Earlier quoted context omitted.

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.

Yeah, this came up the last time murbard2 posted this: https://news.ycombinator.com/item?id=8699033

The idea is to find a Nash equilibrium, but the question is stated in the wrong way, since it gives no indication that you're in a position to make any assumptions about your opponent's strategy.

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

#133

Post by hodder »

dvainsencher wrote: post #123
hodder wrote: post #73

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

As a trading quant starting this Friday, are there any good forums on the net for reading up the soft aspects?

What type of trading? Wilmott forums are okay. Any specific questions?

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

#134

Post by Xcelerate »

murbard2 wrote: post #54

Here'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…

The problem seems ill-defined to me in the same sense that Bertrand's paradox is (https://en.wikipedia.org/wiki/Bertrand_paradox_(probability)).

Your optimal strategy involves maximizing an objective function that depends upon your opponent's strategy. "Assume nothing" about your opponent is an incomplete problem specification, because you must assume something in order to determine which function to maximize.

For example, consider that your opponent chooses to redraw any time his number is greater than 0.5. His expected value then becomes less than 0.5, which means that if you choose to redraw any time your own number is below 0.618..., then your strategy is suboptimal.

So, we have to assume something about the opponent's strategy. Is it a uniform strategy state space? Is it a state space where both players are superrational?

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

#135

Post by Xcelerate »

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?

Yeah. Those questions seem to be "hey have you seen this cool trick before?" I used to be excited about the American Math Competition back in high school before I realized that memorizing things like the Sophie Germain Identity, the Cauchy-Schwarz inequality, or the Chinese Remainder Theorem would get you through 99% of the problems on the exam. It doesn't test original thinking — it tests if you're "in the know".

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

#136

Post by [deleted] »

dreeves wrote: post #79
murbard2 wrote: post #54

Here'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…

Oh my god it's the golden ratio! That's so cool! EDIT: I'll show my work, rot13'd... Jr pna cnenzrgrevmr n fgengrtl ol n guerfubyq g: gur inyhr gung gur svefg qenj arrqf gb or yrff guna va beqre gb pubbfr gb qenj ntnva. Hfvat guerfubyq g, gur cebonovyvgl bs trggvat yrff guna g vf g^2 orpnhfr lbh unir gb qenj orybj gur guerfubyq gjvpr va n ebj. Gung chgf gur cebonovyvgl bs raqvat hc nobir gur guerfubyq ng 1-g^2. Gur c…

[deleted]

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

#138

Post by wildlogic »

johan_larson wrote: post #131
wildlogic wrote: post #46

Earlier quoted context omitted.

Hello, I'm hoping for a suggestion for some math courses that will help me understand these questions.. I only took algebra in high school and didn't go to college. Since, I've looked at a couple things (basic proofs, lambda calculus) but quickly was overwhelmed. What is a good starting point for someone who can reverse and exploit all sorts of binaries but does not know what a derivative is? Just start on Coursera?…

Part 1 is geometry, calculus and linear algebra. An advanced high-school education in mathematics would let you answer these questions. Parts 2 and 3 are probability and statistics, but they are the kind of advanced statistics that is typically only taught to math students. Second and third year university courses in probability and statistics would let you answer these questions. Part 4 is statistical mechanics, I t…

Thanks a lot for the reply, really appreciated.

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

#139

Post by murbard2 »

Xcelerate wrote: post #134
murbard2 wrote: post #54

Here'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…

The problem seems ill-defined to me in the same sense that Bertrand's paradox is ( https://en.wikipedia.org/wiki/Bertrand_paradox_(probability) ). Your optimal strategy involves maximizing an objective function that depends upon your opponent's strategy. "Assume nothing" about your opponent is an incomplete problem specification, because you must assume something in order to determine which function to maximize. For…

Assume you're playing against me :)

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

#140

Post by justanewguy »

SonOfLilit wrote: post #112
DrScump wrote: post #109

Earlier quoted context omitted.

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 L…

I got most of the references, but the donut one just seems very interesting. Please tell me if anyone here manages to find it. I'll be looking too.
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