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Recent content by donny

  1. donny

    MIT MFin MIT MFin Class of 2019 Applications (2018 Admission)

    Anyone thinking of watching Black Pather a second time to distract oneself from the anxiety?
  2. donny

    2017 QuantNet Rankings of Financial Engineering (MFE) Programs

    He was just trying to be 'quant-tish' in his comment on the topic but wasn't successful. Lol. Reason 1: I can think of other things which isn't your degree that puts your resume ahead of others. Those things being Olympiad medals, publications, work experience, live track record, brand name of...
  3. donny

    Question Regarding Mathematics for Quants

    I'm also learning the different categorization of applicable math in finance but I'll comment on what I know. I think the area where you'll find ML, statistics and probability most helpful are those 10 to 20 employee ~1b hedge funds. That would be a good place for you to break in. I agree that...
  4. donny

    Are bid ask spread for Nikkei futures in bps so high?

    Hi everyone, Quick question. Based on my calculations, it seems that the bid ask spread for Nikkei futures in basis points are so high. Typically, Nikkei futures are quoted as Bid: 16,000 Ask: 16,010. Bid Ask: 10. Bid Ask (bps): 10 / 16,000 = 0.000625 or 0.06% or 6 bps. Is this right...
  5. donny

    SMU MQF (Singapore)

    Then, I gather it is hard for one to get a lucrative job if he went to MQF right after undergraduate. How many years of experience should he have going into SMU MQF?
  6. donny

    SMU MQF (Singapore)

    I do not have a Masters. I currently work in Asia. Thus, I am considering SMU MQF as a qualification upgrade for me. From the content of this thread, am I right to conclude the following: 1) I shouldn't expect a $7k+ job from a top tier hedge fund after graduating from this course? 2) I...
  7. donny

    No Longer Seeking Quant Jobs - Market is Changing

    Let's see whether I can put some real examples of the problems one will face even when they are armed with the most powerful open source machine learning library out there, one that makes them think all problems are solved. Assumption - You have a library that performs every ML algorithm out...
  8. donny

    No Longer Seeking Quant Jobs - Market is Changing

    I think the better analogy is that to be a good FBI agent, you start by first working in law enforcement.
  9. donny

    Sorting out Nikkei futures

    I'll have a go at my own question, then others can add their comments. I did some digging in Bbg. There are 4 Nikkei futures contracts. NKA, Yen denominated, traded on OSE as symbol NK225. Local trading hours. 9am to 3am. NIA, Yen denominated, traded on SGX as symbol NK. Local trading hours...
  10. donny

    Sorting out Nikkei futures

    Hi Quantnet, I need any Nikkei futures to sort out my questions. Basically, I'm doing some research on using the most relevant Nikkei futures price as a form of market sentiment. I understand that there are multiple contracts listed on multiple exchanges. Answers to my questions would be...
  11. donny

    Cloud services to backtest minute data

    In R, you can't vectorize regression where each regression uses a vector in itself. Or at least my knowledge in R believe it can't be done without loops. The problem is loop X times where each time is a regression of Y points.
  12. donny

    Cloud services to backtest minute data

    Hmmm, I repeated the test again using actual prices and the improvement wasn't as much. For linear regression of 8000 data points, repeated 5000 times using real AUDUSD and ES prices, Matlab took 70% of the time C# took to perform it. R was slower than either Matlab and C#. And I went to my...
  13. donny

    Cloud services to backtest minute data

    I did a quick prototype to test speed for C#, Matlab and R. The set up is regress y ~ x1 + x2 where y, x1 and x2 are each 8,000 randomly generated numbers. Then repeat the regression 5,000 times. Here's what I got. I'm sharing it with you since everyone else in Quantnet seems quiet. Matlab: 17...
  14. donny

    Cloud services to backtest minute data

    Thank you BurgerKing. Actually, I did a quick prototype on Matlab to backtest 10 years 5 mins with linear regression. You know what, it's obviously faster. So quick question to confirm: In general, which is faster in linear regression - scientific languages (Matlab, R) or C# with library...
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