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Anyone else working in quant finance? Can't find any place with decent conversation on the topic.
>>
I thought about asking this on /biz/ but they seem to be focused on shilling cryptos
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>>13592279
i'm a cs monkey but willing to discuss this with you. what kind of shit do you do all day quantbro?
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>>13592251
no one working as a quant has enough free time to waste on this shithole
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>>13592515
Sad
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>>13592505
Developing infra like communication with exchanges and network stuff. Also some alphas.
>>
Anybody following CodingJesus on yt? He's kinda pretentious but the info he gives is pretty good compared to the rest
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>>13592705
Do you code in K?
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>>13592759
Never heard of that kek.

Pure C++ like real men
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>>13592705
>>13592759
>>13592251
>K
>network stuff
That isn't quant shit, you're just Software Reliability Engineers that can be replaced with any random HS grad.
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>>13592711
Seems like a lot clickbait.
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>>13592777
I’ve unironically started learning C++ as my first programming language. Using Stroustrup’s books, although it’s a bit slow for my liking. Any advice on how to learn faster?
>Never heard of that kek
It’s just an array processing language. Some quant anon mentioned it a while back. I was just wondering if anyone actually used that obscure shit
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>>13592800
The cherno has a good series about some of the more in-depth stuff, helped me a bunch.
Of course, that assumes you already have the foundations on it. For those just do projects lmao
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>>13592782
Seethe more
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Any quant bros have any thoughts on Marcos Lopez de Prado's stuff? Is it legit or just bullshit that got way too popular?
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>>13592789
Kinda clickbaity, but his vids on FIX seemed legit.

Also Dimitri Bianco, his book recommendations are based in my opinion
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>>13592251
Try stack exchange and discord
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>>13592998
Any cool discords?
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>>>/biz/ will probably have more, though IDK what there is to discuss. Nobody's going to talk about their techniques because they don't want to lose their jobs. What else are you going to talk about? FIX protocol? Data sourcing? I don't know how much deeper you could go than that; granted I only worked as a dev at a brokerage, but still. Doesn't seem like a solid topic for a community.
>>
>>13592251
No idea what this is, but is it preferred to solve this numerically using finite difference and finite volume methods? Like you would more navier stokes.
>>
There’s like a million forums for it.

I just interviewed at Two Sigma. Got to the last round and got the rejection. Oh well. I’ll try again in a few months.
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>>13592279
/biz/ is such a fucking letdown. I wanted to talk about investing REITs there but all they do is shill crypto memecoins.
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>>13593641
Do they only hire math grads for the quant role?
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>>13593675
What about us Physics bros? Are we doomed? Any suggestions are welcomed.
>>
https://discord.gg/EwxDwhaW
OP you can join this one.
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>>13593705
Dafuq is this discord group?
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>>13592279
Its all shitcoins shills and r9k posters
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>>13592782
Anon, anyone can be replaced. This is no excuse to diminish the actual labor done by others.
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>>13592279
>>13593644
A traditional biz board or one for cryptoes would be real nice
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>>13593699
Nah, physics is actually super popular as a dsgree for a quant
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>>13593411
Well, one can always discuss books and resources like that. Who knows, maybe some interesting conversation can come of it
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>>13594267
Man that would be a dream
>>
>>13592251
Apparently they do a lot with fpga acceleration, especially in Chicago
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>>13594739
I was interviewing with Jump and they had lots of people dedicated to FPGA and ASIC.
Even just in decoding data from exchanges it would be very useful
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>>13593641
Such as?
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>>13592251
just because you did some partial differentials doesn't mean you are one of us. go back to pretending to be rich and being a desk monkey
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>>13594871
>partial differentials
Naisu baito
>>
I got a business minor (t. engineer) and I really fell in love with stochastic calculus. I've been dicking around in python and MATLAB creating some SDE solvers and derivatives pricing programs.

I wish they would mention stochastic calculus in undergrad engineering, you might get a taste of it if you're lucky. Recently I've been reading some papers about applications of Ito calculus to turbulence modelling, so theres that to.
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>>13592251
>imagine worshiping mammon instead of the universe
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>>13595260
Any cool resources? Comp eng here, studying stochasting calculus on my own and loving it. Using pic related
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>>13593644
They needed to make a crypto board years ago and let /biz/ go back to 2015 with actual business and stocks.
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>>13595260
>I wish they would mention stochastic calculus in undergrad engineering
I'm interested.
What is this about? it only applies to finances? What are the prereqs?
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>>13593699
Don't work directly as a quant, but work on software libraries used by quants, most of my team is physics PhDs, so I wouldn't sweat it.
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>>13595268
>worshipping the created rather than the creator
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>>13592705
>Also some alphas
what are alphas? Brainlet here
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>>13596232
Very basically, a signal/strategy to get excess returns
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>>13592251
What kinds of strategies do Quants use? Jim Simons said that at Renaissance they don't really use advanced mathematics, its just basically statistics, he said. The way he talked about it made it seem more or less that they just accumulate a bunch of data over time on not-so-obvious patterns and basically take advantage of them while nobody else can see them. Not sure if he tells the truth though.

Do quants actually provide higher risk-adjusted returns? If so, why dont all hedge funds just hire quants or something? Are there quant funds that do not beat the market (I'd actually expect most of them not to)
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>>13596232
A return that's uncorrelated with the return of the market.
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>>13596323
>strategy to get excess returns
the maximum returns?
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>>13596501
>A return that's uncorrelated with the return of the market.
how is this possible? how can for example the medallion fund get there?
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>>13596203
>software libraries used by quants
And these are?
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>>13596113
>>13595300

Salih Neftci's An Introduction to the Mathematics of Financial Derivatives is the go to for absolute beginners
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>>13596473
Their data is fucking massive. Its not difficult to simplify your calculations when you have all the answers on standby.
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>>13596922
Well, nobody really knows what medallion actually does
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>>13597293
Thanks anon
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A while ago I found this paper with a collection of alphas. I get that they're probably not profitable anymore, but are they legit? Do they actually use stuff like this?

https://arxiv.org/pdf/1601.00991
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>>13598398
you might wanna keep that stuff for yourself next time
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>>13598515
Mate it's a paper published online, there is no way these haven't been squeezed of every cent well before. They're just examples
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>>13598398
whats that
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>>13599647
A collection of old trading signals from WorldQuant
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>>13598398
Worldquant is a literal indian sweatshop. Never seen a good candidate out of there.

The best kept secret in quant finance is domain specific knowledge. The math is a cope. Understanding first, Rigour second. HFT has way more interesting math than classic quant trading. There's no substitute for a good idea.
>t. Software dev turned Senior Trader at one of the biggest market makers in Asia.
>>
>>13600695
Friend is a swe there and I had the same impression.

How did you make the switch from swe to trader anon? Pretty based progression
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>>13592800

Bjarne's books are really the best IMO, but you can always do what I do: start with solving small problems and move up to more complex programs using official docs+random stack boards.

the only way I can learn is to actively employ in real situations, like many things in life.

Learned C++ after python and R, holy shit is it greased
>>
>>13592800
>Any advice on how to learn faster?
Drop C++ and use a more competently designed language, so you could focus on learning how to actually program, instead of learning how to deal with the failings of C++.
>>
>>13592251
>Can't find any place with decent conversation on the topic.
Some has been discussed over in >>>/sci/scg
>>
What is the salary for a quant ?

T.student in maths
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>>13602508
Freshly graduated math students from top unis can earn about £95k at bulge bracket investment banks in London. Don't know how it is for the elite boutiques
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>>13598398
How does one implement these?
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>>13602508
>>13602534
As said you can get to around £100k at a big bank, but of course smaller firms/hedge funds pay much more (and do more interesting work imo)

You can get about £200-250k in London, around €300-400k in Amsterdam if you know where to look. US should have a similar upper bound but I'm not very familiar.

Of course these are the very best places, realistically it'll be 150-200k usd
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>>13602453
>more competently designed language
Like Rust?
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>>13602453
Absolutely horrible advice, C++ is the default language in the field
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>>13602717
Don't know. I don't use it. It looks like it has a bunch of its own distracting idiosyncracies.
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>>13602729
>C++ is the default language in the field
Irrelevant. You can pick it up later, once you already have some general understanding of programming. Starting off with C++ will only bog you down and cripple your overall comprehension of what programming is about.
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>muh quant
>muh hedge funds
>muh 300k salaries

Simmer down anons, unless you're autistically good at math and C++ and belong to a target school, you're not gonna become a quant.
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>>13592515

I've been programming 10 years and building a hourly price direction prediction algo that runs hourly and scrapes Reddit and Twitter fags data. Check out this site: Trade.fun
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>>13602717
Rust is even more finicky than C++.
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>>13592777

Dip shit, no none is using k except for handful of the top hedgies.

Python and C/c++ is all you need and R is great for exploring.
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>>13602826

I made my first million in Bitcoin and the last five years have been playing around learning algo trading with my own funds and doing just finrnwxe
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>>13602826
> assuming I'm not an autistic techie
Your lack of faith in your fellow anons is disturbing.
I'm speaking from my own experience

Not target school btw
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>>13592705
>>>/g/
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>>13602959
I'm hoping to switch from actuarial work to quant work. Not at a target school but have a 4.0 gpa. Pray for me anons.
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>>13603086
I believe in you anon
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>>13602853
Big difference between hft in crypto and trad
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>>13603371
All the big boys are in both anyway
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>>13592711
he's a tard, if you are serious about learning quant finance look for NEDL YT channel
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>>13601838
I think I got lucky more than anything. When I started, one of the senior developers took a liking to me and taught me a lot. From there I completely revolutionised our market connectivity (PoC I designed at one of/the most competitive exchanges in the world). From there I started spending a lot of time with the senior traders (to make sure I understood requirements/could drive development in the right direction/etc). One took me under his wing (similar backgrounds) and he taught me how to trade. He retired and I applied to manage his book, and the rest is history.

In terms of quants, it's like SwE, Traders and Managers. The quality of trades deployed is proportional to the cross cutting understanding of the people who designed, researched, built and trade it. To be a good quant you need to understand trading, too many people spend their time doing research without having monetisation of their research as their primary and driving objective.

Long story short, focus on making money.
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>>13604047
Looks awesome, thanks anon
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>>13604068
Oh wow, very in depth, great to know.

Seems like a lot of progression in the industry happens like that, I myself got into my current firm by knowing a guy there from before
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>>13604124
it's pretty much everything you need to know to start
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>>13602621
What's the deal with Amsterdam, why is the pay better than in London? I thought London was Europe's big financial center.

Somewhat relatedly, does anyone know if the quant programme at UvA in Amsterdam is worth anything?
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>>13606109
There are a few outliers in Amsterdam, mostly american firms opening EU offices. At least some were in London before Brexit
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Finance is not math or science.
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>>13606305
Then why do you need a PhD in math or physics to get hired?
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>>13606305
> dismissing the mathematically purest real world field

Gtfo of my board
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>>13606435
You don't nowadays.PhDs were hired because they were seen as smart.Now they fin engg. grads to do the work.
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>>13596473
>If so, why dont all hedge funds just hire quants or something?
I believe this a question of fund size and managing other peoples' money. 2Sigma is $50B while BlackRock manages like $9 trillion. The small elite prop shops can exploit market inefficiencies in small caps, while the trillion dollar pension fund managers are stuck with S&P 500. There is literally nothing that the big boys could do with a $500M microcap. I suspect this market cap segment is as close as you get to the efficient market hypothesis, so you're stuck with boomer investment methodologies and Excel. Prop shops also manage their own money and are ok with far more risk. Finally, after 2008 the big banks no longer have prop desks and also stick to boomer investing.
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>>13607360
Simply untrue. A physics phd is more competitive than a fin eng grad
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>>13607439
I know a guy at BlackRock and they do in fact use somewhat advanced modeling, it's definitely not all boomer shit
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>>13592251
what is quant finance? I work in finance but I've never seen any of that shit. Is it coding or maths?
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>>13607553
I didn't intend to use boomer shit in a pejorative manner, just as a shorthand for "excel + fundamentals + low risk tolerance". I've never worked in a boomer environment, but I suspect there just aren't market inefficiencies to exploit on a high enough level for trillion dollar funds, so you fall back on fundamentals.
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>>13593634
It’s the connection between dynamic replication and the (backwards) heat equation.

You could use those methods, but I believe dimensionality is high enough that Monte Carlo converges faster.
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>>13607258
Finance is mostly politics
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>>13607572
Fair, but I do know that for example PIMCO was exploring a strategy exploiting inefficiencies in convexity pricing, and this was on a multi-billion dollar fund
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>>13595260
>reading some papers about applications of Ito calculus to turbulence modelling, so theres that to

This was Ito’s original use case.
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>>13607562
Finance is a giant field anon. Quant is a completely different world from what you see in IB for example
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>>13607589
Wrong kind of finance, no bankers here
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>>13607604
yes I know that, finance is a potato-term but can you say something about quantitative-finance? I know virtually nothing about it, even as a general term.
>>
It's mostly a bullshit industry with academia rejects. Stochastic calculus is very cool, though.

t. worked as a risk quant in an investment bank
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>>13607644
On a very high level, trying to apply mathematical concepts to financial markets. So stochastic calc and all that
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>>13607660
Risk at big banks is notoriously boring though? Even for quants

The good shit is on the buy side
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>>13607644
Broadly speaking it’s just applying quantitative techniques to various problems in finance.

The specific math involved varies depending on what you’re doing. So are we buy side, sell side, portfolio construction, ALM, operations?

It’s a broad field these days and not just the Black Scholes price and hedge OTC contracts works of 2005.
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>>13607664
Everyone needs to understand that these people believe a system of linear differential equations to be high level mathematics. Its just a generalization of the old compound interest problem, which bankers still believe is serious math.
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>>13607675
Kek, fortunately quants (those on the buy side that make actual money) are not really in contact with those types of bankers.

I hope.
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>>13607671
ok, I work in settlements so the hardest math we have to do is stock price*quantity + commission and check if everything is correct. It's interesting though, our investing department hires a lot of just mathematicians and not finance-bros, so if you ever want to make some money, finance is always open to math-bros.
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>>13607669
True, but I base.my experience on the people I knew from the buy-side as well.
A lot of them were obviously "smart" but I never met a single "genius" and they all followed the same story of their PhD thesis having had zero impact and their academia research having been terrible.

They would unironically get all excited about typical software stuff as if it was exotic (it was for them because their background was more mathemtical, like me). Talking about python libs and basic machine learning shit and time series models as if they were mega hacking techniques.

Literally just read stuff on algo trading and you'll see the mathematical level is very low, itt mostly basic time series statistics or machine learning coupled with basic programming. But the guys doing it like to create an aura about it as if it was magical.

I believe it's mostly about having good intuition on certain events and short timed market dynamics, the computer is just there to systematize your thoughts, there's no real math in algo trading, imo.
And that's why 90% of wuant hedge funds go bankrupt in two years.
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>>13607695
About a decade ago, I worked on a model to price expected losses on trade breaks.
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>>13607705
that actually sounds pretty interesting. Did you discover anything of notice? Also what do you do now?
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>>13607707
Ha, I noticed that pricing Ops risk is way harder and less certain than pricing market risk.

Now I work on metrics and analytics in a different side of the bank.
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>>13607698
Based insight, will keep it in mind. I'm joining a purely quant algo trading firm as a software guy, plan on doing a MS or PhD because I like it, seeing that it doesn't really make sense to do it as a prerequisite to a quant
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>>13607719
how are you enjoying the work? Why did you change areas of work? Were you just transferred or what?
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>>13607726
I get bored. I’ve pursued new opportunities when they’ve come up. There’s also comp considerations.

I like my job, but working at a bank often just means getting things done. Even if the task at hand doesn’t speak to your core competencies
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>>13607733
>I like my job, but working at a bank often just means getting things done
I think this goes for all of finance, in my experience, people expect results. They pay you well, but they are for sure getting their fair share back.That's fine for me though, I like being held accountable and exerting control over my field.
>>
>>13607722
You'll see why so many of the guys working on those positions are software devs or even economists thst know basic coding: it's because the math isn't hard at all.
Physics guys only get hired because they're "smart" and have the "superior intellect" myth about them.
My background is also physics, btw.
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>>13607733
Pretty accurate to my experience. I left JPM last month.
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>>13607741
Encouraging, thanks anon
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>>13607741
Be soecific. Which jobs what era?

In the late 90’s to pre-crash, most of the work for quants involved choosing a set of stochastic market models, plugging in a contract value function, and then numerically solving a PDE that fell out from a zero drift condition placed on the price process. Usually the PDE looked a lot like the heat equation.

Back then, the obvious place to find people who could understand the stochastics AND write software to numerically solve highish dimensional heat equations was… PhD programs in physics and Chemical Engineering.

That was the genesis of the idea that Wall Street quants were physics PhD’s
>>
>>13607746
Where to?
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>>13607767
Small chicago-based algorithmic prop trading firm, from what I saw it's gonna be based
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>>13607780
Citadel alums?

Should be fun. And my guess is you got paid up at least 40%. And weekends are overrated;)
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>>13607795
Citadel alumns indeed kek
I actually 9x'd my comp, big banks pay shit in europe
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>>13607811

9 times? How bad was JPM fucking you? Wow.
>>
>>13607836
Very fucking badly, I was making about 47k usd. This is non-London UK
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>>13607849
Haha, wow! Well congrats on your new job. Should be a huge change in everything.

Holy shit 47k… that’s not much more than our starting salary in India.
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>>13607861
Ironically half the people there were indian, maybe it's connected
>>
thanks for providing me liquidity, quant-tards
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>>13607898
Anytime sweetie
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>>13607871
I could not work in such an environment, fuck pajeets. Literal infestation in western societies.
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>>13592251
What do you think about the physics people who apply to your place?

I've heard it's physicists getting into finance a couple decades ago but I feel it's not so common place anymore.
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>>13604047
Thanks for the recommendation man!
>>
Bump
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>>13594267
we should pester hiro until he makes one
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Is it possible for an average CS student to make it to quant finance and work for firms like Jane Street?
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>>13608608
Hows your lips?
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>>13608680
My what?
>>
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>>13608693
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>>13608779
Oh.. so there is no way
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>>13608799
Through the normal route, did trump become president the normal way?
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>>13608375
They're still pretty competitive, even though it's not just them around
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>>13608587
How do we go about that?
>>
>>13608608
JS is known to be EXTREMELY selective, since they're famous and every CS grad wants to go there.
An average student not so much, but they will generally give you an interview for an internship. You need to be good to pass them tho
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>>13608357
Fuck off back to /pol/ retard
>>
>>13608382
>>13604124
>>13592711
Dimitri Bianco's YT channel should get a mention too
>>
>>13592848
>>13609218

Dimitry is a based channel
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>>13604047
thanks anon, you the best
>>
>>13592251
Please go back to /pol/ with your economic marxism bullshit. /sci/ welcomes only vax and IQ discussions.
>>
>>13609351
> finance thread
> economic marxism
Try harder with your bait next time
>>
>>13609441
Finance is literally a part of economics. It is based on economic theory and uses the same mathematical instruments. /sci/ hates economics for some reason, so I pointed out the hypocrisy.
>>
Can quant methods be used in cryptocurrency markets? I'm trying to figure out what type of analysis one can do on them outside of TA. For fundamental, I always see people drawing correlations from social media mentions. On-chain analysis perhaps?
>>
>>13602508
just note that salary != TC
most salaries are 50-70 for decent places (not including top like JS etc) and bonus can be another ~75% of base. Some prop places give many multiples of base.
I got lucky and am on £120 guaranteed base + bonus with some possible variable ontop of that.
>>
>>13606109
>why is the pay better than in London
nearly all places it isn't - guy is misinformed.
JS London is probably highest comp you can find outside of the US.
>>
>>13607439
>>13607553
depends on team at BR
had a friend at SAE and they do some fairly complex stuff
passive teams obvs do much less
>>
>>13608608
>average CS student to make it to quant finance
yes
>work for firms like Jane Street?
probably not
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>>13607849
>>13607811
>$47k -> ~$450k
xh0k
>>
>>13609749
All I know is that quant funds are indeed trading crypto nowadays. Or at least, they're all at some level of progress towards setting up crypto trading infra
>>
>>13609814
More like $410-420k, but yeah

Also, what does xh0k mean anon?
> inb4 lurk more
>>
>>13609829
damn respec on that then, my prop offers outta uni were only ~$250k
your EOY?
>xh0k
captcha mistype lmao
>>
>>13609777
Not misinformed, I'm this anon
>>13609829, I've received those offers myself

Also Citadel Securities can pay like JS in London
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>>13609838
1 YOE out of undergrad at forgettable european uni
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>>13609850
extremely respectable anon congrats
>>13609842
fair play, perhaps it was me who is misinformed then. Friends who went Optiver/IMC in dam did not get same TC outside of the corona outlier than top of London. Maybe its like you said tho - "if you know where to look"
>>
What sort of comp should I ask for a first quant role in London with a physics masters from a top school? I know that it varies a bit but I'd like to know ballpark numbers.
>>
>>13609873
Yeah makes sense, Optiver/IMC/Flow are the classics there, but there are smaller firms that fly under the radar there. Probably the same in London to be fair, but I'm not as informed
>>
>>13609932
What firms? Do you have offers already?
Honestly depends on how well you do in the interviews
>>
>>13609932
it depends on loads of different factors
but basic should be ~50 at the barest minimum, up to ~85 for most decent buyside places. Prop and hyper elite can go up to ~120 basic from what I know.
bonus heavily depends on performance and role (quant devs get less than q research which get less than q traders). Hyper elite shops can be several multiples of basic. Most standard hedge funds do 50-150% range. Sellside banks have buckets. I know in the corona bonus for 1st year analysts was ~45 for S&T in the top bucket.
>>
>>13609988
these are in £ btw
>>
>>13609988
>>13609998
Thank you for the info anon
>>
>>13592251
/biz/ is useless and so is /sci/ realistically your best bet is an obscure forum or a discord.
>>
>>13610062
Any tips on where to look anon?
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Any good books to reccommend for quant trading bros?
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>>13609932
>>13609988
Are quant positions open to CS masters? Probably not research or trader, but is dev worth a shot?
>>
>>13592251
Go back to >>>/biz/
>>
i feel for you eurobros

i'm just a C++ coder monkey fresh out of college with a TC of 350k USD. must be rough to be sub 200k.

What's the worst shit you've seen from an exchange, market data bros?
>>
>>13611766
Ah ...
Dude how do I get your job?
>>
He went to an Ivy League school for CS so he got hired by some hedge fund or private equity firm (that only hire from brand names because they're shallow) to write glorified banking software.
>>
>>13611832
meant for
>>13611809
>>
>>13609332
Dimitri is fucking dope. He is the reason I'm in grad school right now studying financial statistics
>>
>>13611809
>>13611832
I did go to a top school but I work at a major HFT firm, not a hedge fund.

Honestly our interviews for junior roles are not insanely difficult. Only moderately. Solid C++ required for the coding interview. Some leetcode algorithms skills, but nothing that obscure or mind boggling. Lots of OS / low level knowledge will score well.

The hard part is getting through the resume screen. My resume probably stood out cause of school and using FIX at a previous internship.
>>
>>13611907
do you work with anyone who went to a no-name statie or private school? i desire capital
>>
>>13611832
>>13611907
Does my bachelors uni matter if I did my my masters from a top uni?
>>
>>13611933
yes, not many tho. unfortunately it's kinda elitist that way, not in a nepotism sense but more of a "recruiters are lazy and there are too many mediocre candidates" sense.

>>13611994
they'll be focused on grad school
hopefully your research was cool

y'all can make it, i believe in you.
lest i be surrounded by brainlets....
>>
>>13611669
I got into quant dev with a Computer Engineering bachelor's, definitely possible anon
>>
>>13611766
I'm a euro new grad and make more than you, cope
>>
>>13611843
What's a good school for stats grad?
>>
>>13612288
No way what the fuck who pays that much in the EU?
>>
>>13612409
US firms with EU offices and based enough not to follow that "low cost of living so low pay" bullahit
>>
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>>13611195
>>
>>13612562
Awesome anon. Would you mind sharing what is required of someone who does your job?
>>
>>13592251
That looks gay and pointless.
>>
>>13611669
I did quant analyst and quant research with a mech eng degree
really just need to do loads of coding / stats in spare time & have high IQ
>>
>>13612288
chillout mate, your 0.0001% role doesn't break the trend that we're paid at a severe discount to the yanks
>>13611907
HFT places (esp jump/tower) treat engineers v well - best place to be a dev in finance. Most other places treat just as necessary evil rather than core to biz
>>13612641
decent - add ESL and Inside the black box to that.
>>
>>13612788
>high IQ
So not my cup of tea
>>
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>>13612799
>decent - add ESL and Inside the black box to that.
>>
Quant Researcher currently working in Ireland, looking to move to Aarhus, Denmark.

Anyone know any good firms over there?
>>
>>13612862
why move to denmark?
>>
>>13612967
Family stuff
>>
>>13612734
Pretty much what this anon said
>>13612788, you need to know your shit well. Informatics/Maths/Physics Olympiads will help you.
>>
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>>13612641
>>13612799
Thanks based anons
>>
>>13609768
G research?

I passed their test and then failed the interview haha
>>
>>13613229
nah not G res, I hear it's a great place tho (despite no PnL impact)

I'm probably quite strange for this thread (despite having interned at a well know HF and MBB) - I went with the largest quant betting syndicate in the world.
Best thing about it is that bonuses are tax free and hours are 9-5.
>>
In short, a person has to be mad smart and among the best in his country to even have a chance working in quant. This obviously means having high IQ. Maybe this isn't for me. I should try for ML or SWE roles.
>>
Stroustrup's "Programming, Principles, and Practice Using C++" is my first CS-related book. I've just finished Part 1 (9 of out 27 chapters). What CS-related book should I read after I'm done with PPP, if I wish to become a quant??
>>
>>13613229
G research can offer £100k base for dev new grads, with a £20k sign on. Bonus is in line with what is said pretty much

>>13613348
How does that work anon? Never heard of quant betting syndicates before. Sweet on those taxes tho
>>
>>13613698
heard G do up to 150 basic for QR roles. Highest basic on the street in London from what I know - totally insane.

>How does that work anon
its really just an exotic asset class - very similar to binary options. Make pricing model => compare to exchanges => trade directionally. Some big HFT firms (i.e. Jump) are desperately trying to crack the industry cause there is fucking loads of alpha left, and the market is growing fast (esp in the states).
The tax-free bonuses are a UK specific thing tho. Happy cause our taxes are gay asf - so say modest 100 bonus translates to 100/0.55 which becomes pretty competitive. I had no interested before a recruiter looped me in - very unknown area still.
>>
>>13613689
you need
data structures
digital systems
algorithms
advanced data structures

assuming you have had all the basic math
>>
>>13613895
Would you please recommend me any books?
>>
>>13613875
Sounds based af anon. Why would the gov give tax exemptions to betting tho?
>>
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>>13614123
fuck knows why these niggas do anything in parliament
>>
>>13613899
Basic DS - any book or online resource
https://www.amazon.com/Structures-Algorithm-Analysis-Computer-Science/dp/048648582X
https://www.amazon.com/Data-Structures-Other-Objects-Using/dp/0132129485/

https://ucsd-cse100-s20.github.io/
Data Structures and Algorithm Analysis in C++, Third Edition, by Mark Allen Weiss
Effective C++, Third Edition, by Scott Myers

https://cseweb.ucsd.edu//~rajaiswal/cse101/
Algorithm Design by Jon Kleinberg and Eva Tardos

https://cseweb.ucsd.edu/classes/wi18/cse105-ab/
Sipser, Michael Introduction to the Theory of Computation, Third Edition

You could skip assembler; read and decide.
http://kastner.ucsd.edu/ryan/cse-30-computer-organization-and-systems-programming/
https://github.com/ucsd-cse30-f17/syllabus
>>
>>13614145
Holy shit this is gold
>>
>>13614358
Thank you
>>
This thread made me realise how far behind I am. Good for you anons that are in quant. You obviously didn't take your studies and self learning as light as I did. Maybe an IQ gap exists too.
>>
>>13612799
>tower
>treat engineers v well

I have never worked at tower, but my n=1 sample size of my coworker implies that they just pair SWEs with quants and the SWE implements whatever retarded strategy the quant can find. Basically a bitchboi lackey.
>>
>>13615683
>Maybe an IQ gap exists too.
Fucking loser
>>
>>13615889
ah guess I must've spoken to a core infra / FPGA C++ dude rather than a paired SWE. I know tower is arranged pod style so also probably varies between teams.
>>13615947
dont be a cunt
>>
>>13610137
Unironically Reddit has some good subs. /r/algotrading has some gems.
>>
>>13615683
IQ gap is cope, just work hard on catching up.

Before getting into a cool firm I was far behind my peers from competitive programming days, it was kinda making me depressed.

We're all gonna make it
>>
>>13616708
What was your strategy anon?
>>
Can I leave my physics PhD and become a trader? I'm 27, is it too late?
>>
>>13608890
Dangle some gookworms in front of him.
>>
>>13616829
Finish you PhD and you're set
>>
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>>13616767
Went all out in my job search. Hit up every one of those guys for referrals/info on recruiters. Managed to find 2 decent recruiters.
All in all, applied to 20 places, got to interviews at 7 and ended the hunt with 5 offers.
Prepared like a maniac for a month beforehand and during the whole 2 month process. Watched lots of conference talks on C++ and shit, my leetcoding was already sharp from competitive programming.
Hope I helped
>>
>>13617026
Well deserved anon. How old were you when you did this? And what C++ conferences are these?
>>
>>13617049
Couple months ago, so 23.
Cppcon is pretty based, start with those and the algorithm will give you more talks to watch.
Also theCherno has some based C++ vids
>>
>>13617793
Gee thanks. One last question from me, what was your competitive programming strategy? I just can't seem to hack it after a certain level and fear that I may have reached my ceiling.
>>
>>13617876
Depends on the level you're at. What's your rating on codeforces? Done any olympiads? How did you place?
Always happy to coach people in CP
>>
>>13617893
>Codeforces rating
1100
>Olympiads
Sorry never done them
>>
>>13617893
Not him, but if I'm an 18y.o., and have so far only finished Part 1 of Stroustrup's "Programming, Principles and Practice" and watched ~20 videos from Cherno, how would you advise that I prepare for the CS Olympiad? Should I just do codeforces? If so, is there any particular method of going about doing these problems, or do I just do problems of a given difficulty level until I get bored of them and then move to the higher difficulty level?

I want to become a quant due to having developed an interest in finance (to the point of having read ~20 books on it + econ), but have heard that CFA-esque stuff is likely to be soon automated, and work as one isn't particularly exciting, anyways.
>>
>>13617906
Definitely not at your limit anon, you gotta grind problems, and lots of them. How many have you done so far? Also see below.

>>13617913
Do Codeforces rounds and problems in general, if you are that new you just need to do it and get the hang of it.
Try learning new shit, specific topics like dynamic programming, segment trees and so forth. https://cses.fi/book/book.pdf is a good resource.

Discord is Venio#9916 if anyone wants to discuss this kind of stuff.
>>
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>>13617952
Yours doesn't work, would you please add me? It's Jiagu#2601
>>
>>13617964
>>13617913
Lmao didn't know capitalization is important, it's all lowercase
>>
>>13617969
Sent
>>
>>13596473
Only thing Renaissance is good at accumulating is them back taxes

>Do quants provide higher risk-adjusted returns?
Yeah, for like a week lol
>thesis
>spend 6months backtesting model
>run it
>arb it to death in like 4 days
>lather rinse repeat
>...
>138% Month, -28% YTD
>>
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>>13618738
Holy shit cope
>>
>>13618815
>cope
Nah m8, even MLDP admits that the best quant strats are one-time-use.
Besides, everybody knows the best HF strats are eventdriven riskarb.

Now, if you'll excuse me, my vc fund is 18x-ing on some bullshit ai-powered dog medication subscription startup

caspohaska: 2Y2HB
>>
>>13607589
Based.
>>
>>13619935
Though, this is different IMO, it deals with micro.
>>
>>13616482
Does anyone know which are the coolest pod-structured firms/funds? I know of Tower and Millennium, are there others that are successful?
>>
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What does /sci/ think of picrel?
>>
I refuse to believe that there are this many quant traders and devs on /sci/ all of a sudden. How many of you are larping? Be honest.
>>
>>13621104
im curious too.

for those of you who are actually smart enough to be quants. please put your autism to better use. literally anything. finance is such brain drain
>>
>>13621136
What would you suggest? Academia is bullshit.
>>
>>13621136
you don't have to be that smart to be a quant, at least not smart enough so that you'd be off doing significiant research otherwise. Best be a lackey for someone who actually pays well
>>
>>13621104
I'm actually a quant dev

>>13621136
No. Don't tell me what to do with muh IQ REEE
In all seriousness, I plan to use the money to fatFIRE at like 35 and then pursue research for at least some time.
Or not, and I'll start my own firm. Who knows anon
>>
>>13620560
there's fucking loads. Its more of a spectrum tho. Multi-managers like Millennium/Exodus are on one extreme. Then have the moderately siloed like Citadel/Tudor/Brevan/Rokos/Caxton etc. Then the flat structure like 2sig is on the other extreme.
>>
>>13621104
don't forget quant research :^)
>>
>>13621536
I'd actually be interested in ones like Millennium and Exodus. Any others kind anon?
>>
>>13621089
Always seemed like a meme but then again nobody has ever verified or denied it.
>>
bump
>>
Here's a bunch of papers, articles, whatever about a various areas of quant shit for anyone who wants to learn more.
https://drive.google.com/drive/mobile/folders/1XUm1LaGMtVmAgrSCHBFr2908Q4dKAp-f
knock yourselves out lads.
>>
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>>13623730
Thanks anon
>>
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>>13623730
Thanks, Anon
>>
>>13621089
Never trust sci hoarders, there's a better guide:
https://www.quantstart.com/articles/How-to-Learn-Advanced-Mathematics-Without-Heading-to-University-Part-1/
>>
How about you all fuck off to /g/, /biz/ or /pol/? This shit is not science or math (yes, statistics is not math)
>>
>>13624592
whoa thanks anon
>>
>>13624637
> statistics is not math
I thought so too, then I stopped being a high schooler. You'll grow out of it, don't worry.

>>13624592
A true king among us
>>
>>13624652
Woah martingale and bayes theorem, so cool and complicated. Statistics uses high school level of math, even sociology and psychology majors study this shit now.
>>
>>13624661
> what is measure theory
> what is stochastic calculus
Please shut up, you're embarrassing yourself
>>
>>13624676
Literally took stochastic calculus course in grad school from stat department, seethe more mathlet. Anyone can learn your shit. Now back to /biz/
>>
>>13624728
is the pure mathcel seething about making 30k a year doing masturbatory research that nobody gives a shit about? move over while the men solve actual problems :)
>>
>>13624661
>bayes theorem
>statistics
get out lmfao
>>
>>13592705
I use coommas instead of alphas (from the Coomer Macroeconomic Theory)
>>
>>13621356
>reeeeeeeeeeeeee
kek

>>13624637
>>13624661
anon, what is your **expert** opinion on infinity?
>>
bumper
>>
>>13621104
Hi, I am a quant dev. I work for a small asset management boutique.
>>
>>13623730
Yo where did you find this?
>>
>>13626193
A random finance discord that had a few people studying quant stuff. I have no idea if or when it might get deleted, so download everything while you can.
>>
bumperino
>>
>>13626765
Based, thanks
>>
>>13596473
two basic groups are mean reversion (you try to build a stationary portfolio that mean-reverts and trade the direction of reversion eg. spread between /ZB and /ZN futures contracts) and momentum (you operate on an assumption that information is not priced in instantly, for instance look at the AMZN price after earnings, after initial drop it trended down for a while - this is called post earnings announcement drift - PEAD, an example of momentum strategy)
>>
Anybody knows any challenges for quant finance / stats or whatever? Something like advent of code or the like.
Really enjoy that format
>>
>>13596922
>how is this possible? how can for example the medallion fund get there?
you can generate returns like that using mean-reversion: you pick two stock that have high co-integration, you go long stock A, short stock B, if the spread narrows you make money even if the market goes down or crabs.
>>
>>13628337
>>13628331
>using mean-reversion
what you are describing is stat arb

"MR" is way too broad a term for it and corresponds to loads of other shit
>>
>>13628351
if the spread you constructed is a stationary time series (for instance passes Augmented Dickey-Fuller test) it's by definition mean reverting. you are right, this is a very broad category, I'm just giving reasonably easy to understand example
>>
>>13628358
I know, I am primarily a stat arb QR so its all I do
tho ADF is gay and isn't used much anymore
I'm just pointing out pairs/trips/quads aren't called "MR" by anyone in the industry
>>
>>13628361
What's the stuff that's used then?
>>
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>>13628361
yeah, I'm not in the industry, I trade my own account using similar strategies
>>
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>>13624637
>NOOO MATH CAN'T HAVE PROFITABLE APPLICATIONS MATH MUST BE A SCHIZO CIRCLEJERK WHERE 1+1 ISNT 2 AND 1+2+3+4+...=-1/12
>>
>>13592251
I'm a quant at a big four. What's up?
>>
>>13629276
how does it feel to serve the jews? Do you have any aspirations to start a family or is your work your life?
>>
>>13629276
You mean the big 4 accounting firms? If yes, what does a quant even do there?
>>
>>13629304
Honestly the work-life balance is not bad. I usually don't have to work much overtime or on weekends. Not sure if this is just because my manager is chill or because of more overarching industry rebranding. I think after the Goldman analyst presentation was leaked, most firms have been making a big deal about increasing salary and improving work-life balance.

>>13629324
No, big four US banks.
>>
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>>13629342
Join the buy side anon, we got moneys
>>
>>13629866
What type of role are you in? Trading, research, etc.
>>
>>13630862
Quant dev at a small trading firm
>>
>>13607861
where tf are you making 47k USD in india as a fresher? not even FAGMAN pays those salaries
>>
>>13631900
>he doesn't know
>>
>>13592251
I'm in business undergrad taking the honors version of the introductory finance class right now, and this stuff all seems retarded. For the math to work out, you need to know the odds of the stock providing certain returns ahead of time, which is impossible in real life. It's one thing to become a financial avdisor and show normies how to safely make optimal investments, it's another thing to pretend that you're looking through the Matrix when you stare at the S&P and believe that you can pick stocks better than chance.
>>
>>13631351
That's hype. Did you do the the traditional sell side first then buy side career path or go straight there to buy side? Also how is dev work?
>>
>>13632092
The shit they teach in business is so fucking watered down, and it shows from the stuff you say.
I bet you think quant finance ends at min variance portfolio optimization.
>>
>>13632453
Wasted a year at a big bank doing mind-numbing risk dev stuff.
I could've gone straight to the buy side to be honest.
>>
>>13629342
S&T:
JP > Citi > GS > MS
IBD:
GS > MS > JP > Citi
>>
>>13632674
In a model risk role rn, so I feel your pain. How hard is the transition? And is it worth it?

>>13632766
Why is Citi so high for S&T?
>>
>>13632832
>Citi so high
Salomon bros means citi dominates rates
JP dominates everything else
GS has its name
MS is meh
>>
>>13632832
I'd say definitely yes, the sstuff is much more interesting. Also the money is just not comparable.
The switch wasn't really difficult for me because I already had the kind of profile they like and connections there, but I could see it being much more difficult normally
>>
>>13632766
I wonder how the life of a big 4 trader is
>>
>>13632870
Makes sense. The sell-side is so behind the times on a lot of modern tech that I would imagine buy-side firms are a lot more open too. Are interviews for non-entry buy side, quant roles as obnoxious as they are for entry roles? I don't want to have to study again for interviews and prepare responses for BS like "How many golf balls can you fit in a 747?"

>>13632840
I always heard Citi was good for rates, but I didn't put the pieces together with Sal Bros. That makes sense.

Is being a desk quant in S&T or even a regular trader worth it? Are bonuses still higher than in other quant roles or did '08 change that?
>>
>>13632872
>I wonder how the life of a big 4 trader is
>>13632902
>Is being a desk quant in S&T or even a regular trader worth it?
idk from direct xp - I went HF direct from university, but have a lot of trader friends on the sellside.

What is weird to me is that quants on the sellside are shat on constantly unless you work on very specific algo trading desks - and even there traders still think you are below them. Traders are paid more than quants at more senior levels too from what I know.

sellside pay for senior levels is actually quite good. There is a myth that the buyside is paid abnormally high - but for most mid tier funds partners make ~2mm / year which is also what many seniors can make at banks.
>>
File deleted.
>>13600695
>>13596473
Not necessarily true. I hear Rentech does actually use some very obscure math like algebraic topology.
>>13596922
>>13598386
Take what I say with a grain of salt, im just repeating what a friend who used to be grad student acquaintances with one of their mathematicians.
The closest thing to describing what Medallion does is sparse signal reconstruction applied to a mindnumbing amount of data. The beauty of their system is it can seemingly (automatically) handle the constant collection, cleaning and parsing of all arbitrary publicly available data - anything to inform them of signals.
Also their cost estimation models are #1 in the industry. Of this I am certain. They can estimate how much their trades impact the market better than anyone.
>>
>>13632902
Interviewed for an entry role so I wouldn't know. I suppose that the more senior you get the less brainteaser stuff they ask. I have no clue tho, sorry.
>>
>>13632941
So fucking cool man! Always wondered what they did
>>
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Would there be enough interest for a quant finance general? Not that I have a clue on how to make it, but it could be cool
>>
>>13632961
I would like this too. But I'm only a beginner to this and a general wouldn't last without experienced anons
>>
>>13632961
if someone bakes I'll contribute, v nice change of pace
>>13632941
>sparse signal reconstruction
compressed sensing is a large component of it from what I know
>>
>>13632938
Makes sense, especially now. It seems like the sell-side is really dumping money on talent to compete with buy-side and tech. How is HF? My impression was that was more or less hardcore CS and algo optimization stuff.

>>13632948
All good

>>13632961
Probably worth while doing it, I've been seeing a lot discussion about it pop up on this board in the past year.
>>
>>13632979
That's right. They have some world class experts in that area. Donoho has co-written compressed sensing papers with Emmanuel Candes and Terence Tao i believe.
>>
>>13633009
*one of their former mathematicians
>>
>>13592251
I've talked to lecturers and they seem to think it's a "good way to lose $10k in 30 seconds".
I can see why considering how bad this gets programmed in HFT. It's generally not worth the risk. It especially doesn't take into account some practicalities of market functions.

But I'm a gambler for programming so I might check it out more.
>>
>>13606305
I think economics and finance is science, I don't know why we consider it otherwise.

>>13607589
This is the problem with modern finance, it's not treating the situation like a scientist would. That needs to change. It shouldn't be dog eat dog, it should become more "who can flex the most".
>>
>>13633060
HFT and quant funds in general are profitable though.
I agree that it's almost always pointless as a retail trader.
>>
>>13632965
>>13632979
>>13633000

I'll try setting one up one of these days then
>>
bros
whats your biggest daily abs(pnl)
>>
>>13628361
Serious question — do you enjoy your job? Had a summer job at a decent quant fund but ended up changing career paths since 1) I’m probably too dumb and 2) everyone there seemed either miserable or utterly autistic
>>
>>13632667
No, min variance & CAL is what we just finished learning a couple weeks into the semester of finance 101. Obviously there's more to it, but intuitively, there will only ever be so much you can do to the market with formulas when every other big player in the market has access to the same formulas.
>>
New thread >>13633385
>>
>>13633254
Good thing we're all autismos here
>>
>>13633338
So you basically admit I'm right. Gotta love the confidence of you business cucks in your bullshit



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