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  1. Wallstyouth

    Constrained Opt. with Non-linear Obj and Constraints

    I have a collection of m items T = [t1, t2, …tm] each of quantity Q = [q1, q2, …qm]. I need to distribute these m items to n people P = [p1, p2, …pn]. Ideally, the items would be distributed according to a fixed schedule, an m x n F = [fij], where fij = fkj for all j and any i,k in [1,m] and...
  2. Wallstyouth

    Only the Men Survive - The Crash of Morgan Stanley Executive Zoe Cruz - Great Reading!

    I had to share this article with the quantnet community its a great article about the fall of a senior MS manager Zoe Cruz! The Crash of Morgan Stanley Executive Zoe Cruz -- New York Magazine
  3. Wallstyouth

    The rise of Python!

    I've been in the industry for a few years now, mostly on the financial IT side and have worked for some of the largest firms on the street and one thing I've started to notice is the rise of Python for rapid prototyping for models/strategy dev, tools automation, and data parsing. Has anyone...
  4. Wallstyouth

    Morgan Stanley - Innovative Data, Environments, Analytics & Systems (IDEAS)

    The infoweb and MS website offers little or no background on the IDEAS org I know a few members here work for MS. So my question what exactly is IDEAS? I'm considering an offer in this org but I really don't know where this org is structured in the overall firm? Friends told me its where...
  5. Wallstyouth

    Fischer Black celebrating

    <TABLE cellSpacing=0 cellPadding=15 width="95%" align=center border=0><TBODY><TR><TD vAlign=top width="100%" bgColor=#e6e6cc colSpan=2>I'm celebrating Fischer Black on November 24th in New York with free t-shirts, books, free food and drink (from Bloomberg). Don't miss it. Fischer Blacks two...
  6. Wallstyouth

    CDO^2 Demystified

    Great read Also checkout Yue-Kuen KWOK home page very great articles and financial topics Yue-Kuen KWOK's Home Page
  7. Wallstyouth

    Is A Case Of Quant Trading Sabotage About To Destroy Goldman Sachs?

    Zero Hedge: Is A Case Of Quant Trading Sabotage About To Destroy Goldman Sachs? SUNDAY, JULY 5, 2009 Is A Case Of Quant Trading Sabotage About To Destroy Goldman Sachs? Posted by Tyler Durden at 5:48 PM Major developing story: Matt Goldstein over at Reuters may have just broken a story...
  8. Wallstyouth

    Analyzing ultra high frequency data sets

    I'm curious to know what underlying technologies most here working in the industry are using to store and analyze very high frequency data sets. I've heard of many firms using proprietary file based storage systems on ramdisks and such? Is true for most firms playing in this space? I'm generally...
  9. Wallstyouth

    Reading external files from in T-SQL

    I'm Trying to create a stored procedure that reads the contents of a file and executs some operations on this file anyone have sample code they could provide? Thanks.
  10. Wallstyouth

    An infinite number of mathematicians

    An infinite number of mathematicians walk into a bar. The first one orders a beer. The second orders half a beer. The third, a quarter of a beer. The bartender says "You're all idiots", and pours two beers. "
  11. Wallstyouth

    KDB Free for non commerial use

    Under the terms of the Download Kdb+ Software License Agreement you may download a 32-bit copy of kdb+ for your personal use. Please see for tutorials on using this software. Users of the download edition may also like to join the un-moderated forum hosted at Google Groups...
  12. Wallstyouth


    Everything you ever wanted to know about CDO's and how we get into the mess we're in, in 5 minutes: So funny yet so true CDO Powerpoint SubPrime Primer
  13. Wallstyouth

    Where can I find US Equity Sector data and Indicies

    I've been scraping for US equity sector data, and indicies (UGLY) and need something more reliable. Yahoo does provide a good deal of data for free, however I'm willing to pay any vendor who can provide a simple API or EOD file that contains this information. Thanks...
  14. Wallstyouth

    Goldman Sachs Trading Floor - Video

    So you want to experience what its like on GS trading floor checkout this video on youtube.
  15. Wallstyouth

    What does your desktop look like at work?

    Just curious on what everyones desktop looks like here is a snapshot of mine usually my IDE, email and a few terminals to our server and our trading platform.
  16. Wallstyouth

    Nvidia - Cuda Toolkit for options pricing

    We've been looking at Cuda for some options pricing application we run here and was wondering how many other shops on the street are using this toolkit. What makes Cuda very attrafictive is that it executes code directly on the GPU instead of the CPU. Code executed on the GPU seems to run...
  17. Wallstyouth

    Free GigaSpaces Technologies in partnership with Microsoft and Lab49 Executive Breakfast

    Excel that Scales - High Performance Excel Applications for Traders and Analysts in Financial Services Wednesday May 7 │Microsoft Corp, NYC│ 8:30am -11:00am GigaSpaces and Microsoft are pleased to invite you to attend its upcoming executive breakfast seminar in New York City...
  18. Wallstyouth

    Help logarithm function

    Define lg*(x) to be the iterated logarithm function, which is the number of times that lg(x) can be applied until the result becomes nonpositive. For example, lg*(2) is 2 because lg(2) is 1 and lg(1) is 0. As another example, lg*(65536) is 5, because lg(65536) is 16, lg(16) is 4, lg(4) is 2...
  19. Wallstyouth

    Would you leave a bluge bracket IB for a startup?

    If given the opportunity how many would leave a bulge bracket investment bank for a small startup brokerage firm? I'm just trying to get a sence of the pros/cons of working at a startup financial services firm vs a large top tier bank.
  20. Wallstyouth

    Island ECN and how it came to be.

    This is a very good article about Josh Levine and the rise of the Island ECN/Exchange. Wired 7.07: Daytrading Places =
  21. Wallstyouth

    List of good books for IT/Quants

    Here are a List of recommended books to read when hired into Equities IT @ Lehman Brothers. Modern Portfolio Theory and Investment Analysis. E. Elton and M. Gruber. John Wiley & Sons. Great introduction to portfolio theory. Covers concepts such as risk/utility metrics, multi-factor return...
  22. Wallstyouth

    Open Source library for valuating Option Pairs

    Might be useful for some I recently came across seems well structured. public_options: option_pair Class Reference
  23. Wallstyouth

    COMPARE Stanford MBA vs Berkeley Financial Engineering

    I hate linking to other forums, This thread came up in another forum link below I thought it might be interesting for others here :-) What is better return on investment? Risk/Reward? 1- Keep a job that pays $100K a year and trade part-time making $150K to $200K. Promotions and rise in...
  24. Wallstyouth

    Series 7 & 63 when is it needed?

    When is a series 7 and 63 really needed? It seems as if most quants dont really need it because there not really trading? Yet I see most of the trade support guys and portfolio managers with this certification for obvious reason.... Is this really a grey area in the industry? Should one only...
  25. Wallstyouth

    The Automated Trading Championship 2007 Is Over!

    The first place in the Automated Trading Championship 2007 was taken by Olexandr Topchylo (Better) from Ukraine. Olexandr participated in Championship 2006, but without success. Having learned all lessons of the preceding contest, Olexandr won by a head this year. He held the first line in the...
  26. Wallstyouth

    Financial Engineering Salary Info

    I'm no way affiliated with these guys but I notice they post salary ranges for the positions they have available. They have a few 7 figure job positions :-) The Hagan-Ricci Group | Experts in Quant Jobs, Quantitative Analyst Jobs and Quantitative Finance Jobs
  27. Wallstyouth

    Demand for Quants Surges as Trading Requires More Math and Programming Skills

    Demand for Quants Surges as Trading Requires More Math and Programming Skills In a quiet loft building in Atlanta, a team of six mathematicians and computer scientists are applying predictive models to capture short-term inefficiencies in liquid stocks. "This is not an atmosphere that is full...
  28. Wallstyouth

    Equity Markets in Action: The Fundamentals of Liquidity, Market Structure & Trading

    Can anyone recommend the following Book I see it was written by professor Robert A. Schwartz from Zicklin @ Baruch Equity Markets in Action: The Fundamentals of Liquidity, Market Structure & Trading + CD: Books: Robert A. Schwartz,Reto Francioni
  29. Wallstyouth

    SQL is really boring do we need it?

    How do you guys feel aboue SQL in general is it something we in this industry really need to know? I find SQL so boring and mundane other than basic joins I dont really have the drive to learn much more about it. Am I shooting myself in the foot for not taking SQL more seriously?
  30. Wallstyouth

    Funny Quant story for Quant Apply @ Morgan Stanley

    Just relaying a story thought many here might find it interesting: <Batman28> I actually happend to interview at Morgan Stanley quant trading team in London back in July with one of their top guys who reports directly to Yazid Sharaiha - their global head of quant trading.. I remember one of...
  31. Wallstyouth

    Algorithmic trading gets smarter after quant upset

    Algorithmic trading gets smarter after quant upset Sarfraz Thind 04 Oct 2007 Extreme events this summer exposed weaknesses in computer strategies The knives are out in the ultra-secretive world of quant-based trading. The past two months have not been kind to computer-driven funds...
  32. Wallstyouth

    What was your undergrad major?

    Just curious for all who are attempting to get into a MFE type program or currently enrolled what was your undergrad major?
  33. Wallstyouth

    Goldman's Hedge Fund - Old Article

    Goldman Gurus Strike It Rich With Hedge Fund By Randall Smith From The Wall Street Journal Online In early 1997, Mark Carhart was an academic at the University of Southern California. His big claim to fame was his doctorate work at...
  34. Wallstyouth

    Gaussian copula and credit derivatives

    Gaussian copula and credit derivatives This WSJ article describes a mathematical innovation that helped create the now huge market for credit derivatives. Credit derivatives let banks, hedge funds and other investors trade the risk associated with credit defaults (i.e. bankruptcy of bond...
  35. Wallstyouth

    Pricing CDO using Gaussian copula model

    Any of the current or alumni MFE students @ Baruch is this topic covered in any of your courses? "Pricing CDO using Gaussian copula model" ?
  36. Wallstyouth

    Quantitative Methods and Modeling

    Can anyone comment on the following course for an undergrad degree? Does this course even prepare you for the MFE track? It looks fairly interesting. Computer Information Systems and Statistics - Undergraduate Bulletin - Academic Programs - Baruch College
  37. Wallstyouth

    Direct Market Access Trading

    Very informative article on DMA trading still very strong today this article is from 2005 but its still very accurate in today's markets. Direct-Market-Access Trading By Ivy Schmerken Wall Street & Technology February 04, 2005 The Issue Defined: The buy side is taking more control of its...
  38. Wallstyouth

    Arbitrage any takers? C++/Java solutions Only

    The Problem Arbitrage is the trading of one currency for another with the hopes of taking advantage of small differences in conversion rates among several currencies in order to achieve a profit. For example, if $1.00 in U.S. currency buys 0.7 British pounds currency, £1 in British currency...
  39. Wallstyouth

    RenTech down 8.7%

    Renaissance Technologies Hedge Fund Declines 8.7% in August By Katherine Burton Aug. 10 (Bloomberg) -- James Simons's $29 billion Renaissance Institutional Equities Fund, which uses computer models to pick stocks, has fallen 8.7 percent so far in August. The hedge fund, started two years ago...
  40. Wallstyouth

    20 rising star Hedge Fund managers

    NXTbook flash detection page They offer the following points of note: 55 per cent work in New York, 10 per cent in London and 10 per cent in Asia (the remainder work elsewhere in the US) 40 per cent founded or co-founded their firms The average age of nominees is 37 (the youngest being 28...
  41. Wallstyouth

    Goldman Sachs Employs 28,000: Average Pay Per Employee is $400,000

    Goldman's Average Pay Declines as Staff Increases (Update1) By Christine Harper June 14 (Bloomberg) -- Goldman Sachs Group Inc., the best- paying Wall Street firm last year, added people faster than it increased compensation in the first half, trimming the average pay per person to $392,617...
  42. Wallstyouth

    RenTec's Jim Simons on "From Quant to Riches"

    NEW YORK (—Jim Simons, the legendary mathematician and hedge fund manager who runs Renaissance Technologies Corp., may use black boxes on his trading floors, but as a person he is open and forthcoming: a mixture of humility, common sense and pragmatism. At the International...
  43. Wallstyouth

    Good Links - Finance Related Sites

    Some may find this useful, good mix of links with various information topics. Anatomy of a Stock Trade: Trading a Stock from Start to Finish --------------------------------------------------------------...
  44. Wallstyouth

    Books on Financial Technology

    Anyone can recommend a good book on financial technology mostly in the area of order execution, what happens when orders are placed and executed at an exchange how algo's tie into order flows etc.. I'm not look a book that's heavy on math or geared to a trader, just a good book on the technology...
  45. Wallstyouth

    A Professional Quants Resume

    I worked indirectly with Robert at Banc of America Securities last year, he is truly a brilliant man checkout his CV. Head of quantitative strategies Former professor at the University of Toronto and director of the mathematical finance program there, Dr. Almgren has an extensive publishing...
  46. Wallstyouth

    Why C++ and not Java??

    I personally like Java a lot more than C++ is there a reason why there is such a heavy focus on C++ and not Java? With the slew of Classes and API for Java you would think Java would fit better in the Quant world.
  47. Wallstyouth

    Human Equity Analysts challenged by Quants

    Thu May 31, 2007 1:07PM EDT NEW YORK (Reuters) - Wall Street equity analysts have had their share of problems in recent years, from regulatory heat to budget cuts to a loss of star power and prestige. Now, with the growth of quantitative analysis, some are facing a worse possible fate: being...
  48. Wallstyouth

    MFE program

    What are the requirements for getting into the MFE program? I have a undergrade in CIS and have a solid programming background which I mostly learned on my own but I have very limited business/financial and math exposure.
  49. Wallstyouth

    An Interview Question

    Ok so my friend told me about this silly question he was asked during an interview You're in a room with 3 switches labeled A,B,C and across from that room is another room with 3 light bulbs not labeled, your allowed to go into the room with the bulbs once then you must return back to the...
  50. Wallstyouth

    Where does everyone work?

    I recently joined Lehman Brothers as an engineer in their equities technology division in the client connectivity group. I'm part of the US team that develops and supports the global equity trading systems. If anyone has any question feel free to ask also I'm new to Quantnet been lurking for...