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Recent content by quantstart

  1. quantstart

    Why a Masters in Finance Won't Make You a Quant Trader

    Indeed, the post was mostly directed at specific quantitative trading positions (where a PhD is essentially a must), rather than general quant jobs. IB hiring has picked up quite a lot recently in London, although funds still seem to be "consolidating"!
  2. quantstart

    Undergrad Math vs. Stats?

    If you are keen to become a quant analyst or quant dev I would choose the maths over the stats. The real analysis and linear algebra will allow you to do other courses such as stochastic calculus and numerical analysis. You can always pick up stats later, as it is much easier to learn via...
  3. quantstart

    Do I need Numerical Linear Algebra?

    That question really needs to be answered in the context of the type of job you're applying for. Unfortunately, the derivatives pricing quant jobs have declined significantly in the last few years, and the word "quant" has become attached to any sort of task related to mathematical programming...
  4. quantstart


    Well, it depends what you mean by "data structures". There is the simple array structure, which can handle matrices (tensors of rank 2) and above. If you are referring to banded, block or sparse matrices, for instance, then you also have these sub-libraries...
  5. quantstart

    Do I need Numerical Linear Algebra?

    Numerical Analysis is also extremely useful, if only to help you understand how computers store numbers and thus the limitations on numerical algorithms. All good knowledge for a quant career!
  6. quantstart


    Yes, it should be fine. But you have to bear in mind that those binaries are built against a specific version of NumPy, and new releases of NumPy are made often. The pre-built binaries should be absolutely fine for nearly everything you want to do though! Out of interest, what are you...
  7. quantstart


    If you are after a specific version of NumPy (say, for a particular new feature) then you have to be careful about using the pre-built binaries such as python-numpy. Otherwise, it is probably the easiest way. You might also want to look into pip/virtualenv, as they will help you setup separate...
  8. quantstart

    The joys of living in England

    I thought this was from the Daily Mash for a second...
  9. quantstart

    Do I need Numerical Linear Algebra?

    NLA underpins many areas of numerical methods. Matrix decomposition methods (such as LU, QR and Cholesky) are generally used to solve the matrix equation Ax=b, with A (matrix) and b (vector) known. Matrix iterative methods (such as Jacobi, Gauss-Seidel and SOR) are also used substantially. NLA...
  10. quantstart

    Matrix Classes in 2012

    So uBlas still seems like a good contender? I haven't actually utilised CUDA much beyond a few "toy" problems from some introductory books. Although, Alain, I'd be interested in why you thought it was a waste of time? Do you mean in terms of productivity or just that the speed-up wasn't worth it?
  11. quantstart

    Different areas of quant and the relevant maths

    Mark, don't worry about the quantity of books in that list. Andy has compiled an extremely comprehensive list, but it is intimidating! The best thing is to start slow with some of the introductory texts and work up from there.
  12. quantstart

    Different programming languages and how they are used?

    Firstly, I'll provide some advice for programming. Your best bet is to learn a language like Python first. Python is extremely versatile and will allow you to gain skills in basic programming concepts like branch/flow logic, variables, looping etc, while avoiding the trickier concepts of...
  13. quantstart


    I made use of Python extensively in a former role. I was interacting a lot with the web to obtain data. There are some great libraries for that sort of thing, including Beautiful Soup and Python Requests (used instead of the horrible urllib2 library). It is very straightforward to interact...
  14. quantstart

    Pointer declaration

    Coming from a C++ background (i.e. not specifically C), I always prefer the former approach. As Polter says, it puts emphasis on the type.
  15. quantstart

    Matrix Classes in 2012

    I thought it would be interesting to start a thread discussing the issues around implementing a Matrix class in C++/CUDA/C#/Python. Although this topic has been talked about before, I'd like to see how people have approached the problem recently, now that we're heading into 2013. Some topics...