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How I Became a Quant (2007) [pdf]

engineering.nyu.edu

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Re: How I Became a Quant (2007) [pdf]

#21

Post by Agingcoder »

neko_ranger wrote: post #10

I wonder how fun being a modern quant really is. It seems like one of those things that sounds more fun in your head, but the reality is different. Kinda like "studying physics", going pro in a sport, or becoming a rockstar. People see the end result and don't see how much work it takes to get there or what the day to day is really like

Im reasonably familiar with the exotics quant space.

It’s essentially IT/data work - the days of sophisticated maths are mostly gone. There always was a lot of code, but these days for most people there’s little to no new maths.

From what I’ve seen, post-2008 the job changed significantly, with more IT, less maths, more standardization - basically the job moved from bespoke everything to super industrialized. You’ll be able to have your model work for one underlying and one product, but what’s really useful is for lots of underlyings and many products - and that’s very hard.

That being said, and that’s important, you must understand the maths behind, otherwise you won’t be able to do anything useful.

Re: How I Became a Quant (2007) [pdf]

#22

Post by stevenhuang »

nrclark wrote: post #19

Kind of reads 25 people's stories about "How I became a parasite". Why not create new things, instead of making a career out of leeching the wealth created by others?

Everyone benefits with more efficient markets.

It is easy to fall into the trap of thinking HFT/low frequency quant firms "leech wealth".

You can get out of the trap by learning about what they do and the essential role they play in the proper functioning of our markets.

Re: How I Became a Quant (2007) [pdf]

#24

Post by sharifhsn »

609venezia wrote: post #17
mathisfun123 wrote: post #13

Earlier quoted context omitted.

i don't know what the point of this book is - there's nothing rockstar about being a quant. not only do not all quants "generate alpha", even the ones that do are just overworked data scientists. ask anyone that actually works in the industry - fancy math is no longer a thing ("exotic option pricing"). so would "how i became an accountant" be just as interesting? how about (more accurately) would "how i became a data…

> ask anyone that actually works in the industry - fancy math is no longer a thing Huh? What happened? This is a very interesting claim I would love to hear elaborated

The “fancy math” associated with quant usually refers to pricing derivatives like options.

The thing is that there isn’t really strong institutional demand for exotic derivatives, people are happy using existing methods and just applying those to current markets.

The other type of fancy math has to do with deriving alpha, which is also not that complex, from a statistics perspective you’re mostly using linear regression or other basic forms of regression.

The hard part of quant is implementation, making sure your data is right, hunting through poorly understood markets, and managing risks carefully and understanding them.

There’s also ML but that’s equally complex in quant as it is anywhere else.

Re: How I Became a Quant (2007) [pdf]

#25

Post by conformist »

neko_ranger wrote: post #10

I wonder how fun being a modern quant really is. It seems like one of those things that sounds more fun in your head, but the reality is different. Kinda like "studying physics", going pro in a sport, or becoming a rockstar. People see the end result and don't see how much work it takes to get there or what the day to day is really like

Imo the fun quant stuff these days is about predicting returns and not pricing derivatives. As others have said here, the pricing part is mostly commoditised and more about managing software.

Re: How I Became a Quant (2007) [pdf]

#26

Post by kccqzy »

sharifhsn wrote: post #24
609venezia wrote: post #17

Earlier quoted context omitted.

> ask anyone that actually works in the industry - fancy math is no longer a thing Huh? What happened? This is a very interesting claim I would love to hear elaborated

The “fancy math” associated with quant usually refers to pricing derivatives like options. The thing is that there isn’t really strong institutional demand for exotic derivatives, people are happy using existing methods and just applying those to current markets. The other type of fancy math has to do with deriving alpha, which is also not that complex, from a statistics perspective you’re mostly using linear regress…

> The hard part of quant is implementation, making sure your data is right, hunting through poorly understood markets, and managing risks carefully and understanding them.

In my experience I have seen far more division of labor than you describe. Real quants don’t do work like making sure your data is right or even much of implementation; they delegate that to software engineers. But a cheap quant shop might be too cheap to hire SWEs so quants end up doing this work instead. The real quant work is just hunting through poorly understood markets.

Re: How I Became a Quant (2007) [pdf]

#27

Post by credit_guy »

Agingcoder wrote: post #21
neko_ranger wrote: post #10

I wonder how fun being a modern quant really is. It seems like one of those things that sounds more fun in your head, but the reality is different. Kinda like "studying physics", going pro in a sport, or becoming a rockstar. People see the end result and don't see how much work it takes to get there or what the day to day is really like

Im reasonably familiar with the exotics quant space. It’s essentially IT/data work - the days of sophisticated maths are mostly gone. There always was a lot of code, but these days for most people there’s little to no new maths. From what I’ve seen, post-2008 the job changed significantly, with more IT, less maths, more standardization - basically the job moved from bespoke everything to super industrialized. You’ll…

> but these days for most people there’s little to no new maths.

You are right. For most people there's little to no new maths.

But not for all. There's still plenty of good quality math to be done in the exotics space. However, there's a bit of Catch 22 that prevents people from doing new math: all the big shops have had exotics libraries since before 2008, and because of the exotics hiatus between about 2008 and maybe 2013, the research momentum was lost. After that, most quants in the space were happy to find ways to use the old stuff, and apply small tweaks at the margins. Most small shops use vendor models (Numerix, Murex) or open source (QuantLib), and people who use vendor solutions or open source are not looking for cutting edge stuff.

But there's still good math left out there.

Re: How I Became a Quant (2007) [pdf]

#28

Post by mikert89 »

Agingcoder wrote: post #21
neko_ranger wrote: post #10

I wonder how fun being a modern quant really is. It seems like one of those things that sounds more fun in your head, but the reality is different. Kinda like "studying physics", going pro in a sport, or becoming a rockstar. People see the end result and don't see how much work it takes to get there or what the day to day is really like

Im reasonably familiar with the exotics quant space. It’s essentially IT/data work - the days of sophisticated maths are mostly gone. There always was a lot of code, but these days for most people there’s little to no new maths. From what I’ve seen, post-2008 the job changed significantly, with more IT, less maths, more standardization - basically the job moved from bespoke everything to super industrialized. You’ll…

theres math, its mostly about pulling in obscure data sources, rank and file in alot of hedge funds dont even get to see what actually makes money

Re: How I Became a Quant (2007) [pdf]

#29

Post by keiferski »

nrclark wrote: post #19

Kind of reads 25 people's stories about "How I became a parasite". Why not create new things, instead of making a career out of leeching the wealth created by others?

This isn’t really a good angle to critique finance IMO, because it is indeed a necessary part of the modern economy.

A better angle is how finance tends to acquire a ton of smart young people that could/would otherwise be doing work that has more benefits to society. It’s hard to blame the individual here, because the salaries are orders of magnitude larger in finance vs. say, aerospace engineering. Would I turn down $700k at a hedge fund to earn $90k at a science lab? Probably not, unless I was already independently wealthy.

Re: How I Became a Quant (2007) [pdf]

#30

Post by francisofascii »

keiferski wrote: post #29
nrclark wrote: post #19

Kind of reads 25 people's stories about "How I became a parasite". Why not create new things, instead of making a career out of leeching the wealth created by others?

This isn’t really a good angle to critique finance IMO, because it is indeed a necessary part of the modern economy. A better angle is how finance tends to acquire a ton of smart young people that could/would otherwise be doing work that has more benefits to society. It’s hard to blame the individual here, because the salaries are orders of magnitude larger in finance vs. say, aerospace engineering. Would I turn down…

"it's all just numbers really. Just changing what you're adding up. And, to speak freely, the money here is considerably more attractive." - Peter Sullivan in the movie Margin Call
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