21–30 of 154 posts
I feel like solving a lot of these questions are just a matter of either domain knowledge, or not being intimidated by unfamiliar vocabulary. I'd be willing to bet that the vast majority of people who got through a college CS degree would be able to pass this after a couple months of self-study. (On that note, anyone want to chime in on what the job options would look like if someone had a CS degree and could pass th…
Options pricing is Black-Scholes equation and related equations
I'm partway through the ML class on Coursera and have only recently rekindled my interest in Math. However, my background is in Accounting (undergrad and did a full years as an accountant), and Software Engineering (masters in SE and full time now for some years). Is there a path to actually move into a Quant Job given a software background, to someone who's mathematically inclined? My fear is that I load up on extra…
I personally believe it's hard to self-study since there's many graduate-level math prerequisites that are required if you don't want to just be a programmer.
For example stochastic calculus which is the area of math around black scholes option pricing requires graduate level probability (i.e., one taught with measure theory which is itself is a graduate level class after analysis).
I do know of some people who tried to put together their own curriculum though: https://www.quantstart.com/articles/How-to-Learn-Advanced-Ma....
Mark Joshi has a cheat sheet intro to the profession: http://www.markjoshi.com/downloads/advice.pdf
Joshi co-authored the standard reference for quant interview preps called Quant Job Interview. Interview questions with solutions. It's available on Amazon.
If you just wanna try brain teasers, google something like "ext:pdf quant interview". There are many of them.
"Quant" = Quantitative Analyst?
I'm partway through the ML class on Coursera and have only recently rekindled my interest in Math. However, my background is in Accounting (undergrad and did a full years as an accountant), and Software Engineering (masters in SE and full time now for some years). Is there a path to actually move into a Quant Job given a software background, to someone who's mathematically inclined? My fear is that I load up on extra…
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 strategy quants. Here you're looking for some way to beat the market. So you're reading in a bunch of data from various sources and applying some sort of quite open-ended analysis on it to come up with rules for a trading system. You then build a framework for trading such systems, which can get very involved eg execution algos that read realtime market data.
I started off in derivatives as a trader but quickly moved on to the other. They're both fairly deep, and both require you to know coding and math.
The questions here seem to apply mostly to derivs quants, but strategy quants have found many things applicable.
Sigh...I guess I'll be sticking with web dev.
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…
https://news.ycombinator.com/item?id=8698986#8699260
I think most of what I wrote is still valid.
I believe the below reference:
http://www.decal.org/file/2945
and the book Heard on teh street are also great refresher's for the type of material you'll need.
https://www.amazon.ca/Heard-Street-Quantitative-Questions-In...
To be honest most of this won't matter, the number one qualification for becoming a quant is a Phd from a top tier university.
I'm one of the very few quants i've met that doesn't have a Phd, if you don't have one then its going to be a tough road ahead. YOu'll often hear people call themselves a quantitative developer if they come from a computer science background.
That might be the most over used phrase on wall street:) It's kind of akin to calling yourself an architect, in that one firms architect is another's junior developer. The term really means nothing and is given out like water, sort of how the engineering term gets tossed around in software dev firms.
I've got a pretty long back list of emails from hacker news to get through but if you have any questions about the job, please feel free to email. Just keep in mind that between year end, the US election and life a reply might take a while.
EDIT sorry I see that someone used the term quant dev while I was typing. No insult intended. There are some amazing quant dev people on the street.
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…