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    QuantNet Best-selling Quant Books of 2017

    I highly recommend the new book Advances in Financial Machine Learning - Marcos Lopez de Prado It is a treasure trove filled with ideas and real code from an eminent practitioner that manages several billions of dollars.
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    From a Goldman Sachs Quant interview

    Name the mice as 0 to 9 (bit 0 to 9) Number the bottles as 1 to 1000. For each bottle n, get the binary representation of n, you will get a bit mask of mice that should be fed with a lethal dose from that bottle. The bit mask of dead mice (dead=1, live=0) after 24hrs give you the number of the...
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    Multithreading Without Synchronization: Boost C++ ASIO Strand (C++ Souce Code Available)

    Am I missing something here ? I see only one strand. This is more like multiplexing than multi-threading. This is like using select to read/write to socket using single thread. There is no concurrency here (producer and consumer are not active at the same time).
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    What book to study from after Absolute C++

    I recommend Effective C++ and More Effective C++. for any C++ interview.
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    C++ binomial tree float versus double preformance

    It is probably hardware dependent. Which GPU are you using ?
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    C++ CGI

    If you are looking for a quick and dirty solution, I suggest you write a perl cgi wrapper script that does all the dirty work of parsing parameters. You can then pass this as command line arguments to your c++ task. ---------- Post added at 05:52 PM ---------- Previous post was at 05:40 PM...
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    Suggestion for learning database

    What do you guys use for in-memory databases ? i.e., databases that let you store and retrieve free floating C/C++ structures but those that provide some kind of query support. I have used berkleydb and SQLLite in the past. Wondering if there are any better and faster databases out there.
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    The truth about LinkedIn

    What do you guys do to not over do linked in ? Every time I respond some thread in linked in, I get invitation to join somebody's network. The first kind reads "We spoke in the past, I have some very good opportunities waiting for you. Call me if you are looking for a change". The other kind is...
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    Low latency trading system

    Nice article I found in linked in Latest News, Press Releases and Events - Corvil
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    Low latency trading system

    Sounds like 35000 per second. 35000 per 25 usec = 1.4 ticks per CPU cycle on 1GHz core. Does anyone have details on what hardware optimizations are available out there ?
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    Please suggest a perl book

    If you know some scripting and regular expressions, it is not too difficult to deal with perl. Read any book or tutorial on the basics - scalars, arrays and associative-arrays and print the perl quick ref card. perldoc, perlfunc and perlre manpages are your friends. If you need some fancy...
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    Recruiters are calling, but...

    Dont do this to "Show". Do it if you are passionate about research irrespective of how others receive it.
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    Saw your message about Matlab. Are you at Baruch ? If so, I would be interested in knowing who...

    Saw your message about Matlab. Are you at Baruch ? If so, I would be interested in knowing who to contact for Matlab software.
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    Best way to store historical data

    If it is just storage and retrial, I would suggest using BerkelyDB. Searches will be limited to single key that you define. It lets you store raw structures but the api is also raw. If you need SQL access and transactional integrity, but dont like to deal with installing and maintaining RDBMS...
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    Release mode vs debug mode

    It it tough to comment on particular scenario. But, it could happen because of difference in optimization levels. When optimization is not enabled, compiler keeps all the temporary variables you created for legibility. At higher optimization levels, these variables may get optimized out. Debug...
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    Linux users?

    I use mac for homeworks. I like the xcode interface to debugging. At work I use solaris/emacs/vim for developing and dbx/workshop/totalview/ptools for debugging. Linux is used every where we deploy software as an appliace but I find debugging with gdb and ddd very painful. ddd always crashes and...
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    Social Security & Medicare

    Govt has no role in dictating how Sarah and Joe should live beyond "recommending" a balanced lifestyle and enforcing existing social welfare laws. Sarah and Joe in this instance "chose" those particular life styles and they are happy with it. If Sarah's priority is to take care of her child, she...
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    Social Security & Medicare

    The corruption in this country is more polished and concentrated at higher levels. This is probably because most of the population is educated, immigrant and more mobile. Though the corruption here is severe, average Joe doesn't complain until it affects him thus, making it appear less corrupt...
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    Social Security & Medicare

    Don't confuse taxes with cost of goods and services. Fees are not taxes. The 100$ you pay is for book keeping by the govt that you are the rightful owner of the vehicle. How is it fair to charge more for more expensive car ? Didn't they already charge proportionally higher sales tax on that ...
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    Social Security & Medicare

    Because you have no choice. What is even worse is, you are paying federal, state and local taxes on SS and medicare contributions.
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    Nvidia - Cuda Toolkit for options pricing

    This is indeed an interesting subject. Recently, I had a chat with some guys at work in mortgage group at bloomberg when I was researching some hardware acceleration options for data compression. It gave a good insight in to the power and limitations of GPU computing. It is amazing to know that...
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    Question about database and Bloomberg

    I know a little bit about how this system works. Let me put it this way, these limits are mainly to identify people misusing or abusing the api and effecting the servers and other clients. If you are requesting static fields again and again, bloomberg wants you to optimize that. To my...
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    Quantitative Interview questions and answers

    Quantyst, I realized my conclusion was premature. I should have calculated the probabilities like you did here instead of prematurely concluding that A has a case that B does not have so A is better. Thanks for correcting me. Now coming to the winning strategy, does the the player know which...
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    Quantitative Interview questions and answers

    It appears obvious but it is not. Probability of drawing a white ball from U is less than half and it is not same as the probability of picking a white ball from A. Picking a ball from A follows picking 2 balls from U. These are two separate but dependent events. So you have to first establish...
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    Quantitative Interview questions and answers

    when you pick 2 balls from U, it will be one of the following sequence White, White White, Black Black, White Black, Black Probability of getting ATLEAST one white ball = 1 - probability of two black balls = 1 - P(ball1=black) * P(ball2=black) = 1 - (1280/2280) * (1279/2279) = 0.684...
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    Quantitative Interview questions and answers

    First step is to compute the probability of picking a white ball in A and B independently. A: 1 - (1280 * 1279)/ (2280 * 2279) = 0.684 /* (1- P(Black,Black)) */ B : 1/2 So I will start with A - if it turns out white, you win first turn With one white ball in A, it eliminates the case...
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    Quantitative Interview questions and answers

    The answer should be x% since both numerator and denominator should increase in the same ratio
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    Quantitative Interview questions and answers

    since (x^{x^{\dots}} = 2), the exponent part can be replaced by 2 (i.e using the same equation) (x^2 = 2) so (x = \sqrt{2})
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    Quantitative Interview questions and answers

    Solution ? I think the question is about 3 random points on a GIVEN circle and not about any circle. length of semi circle (1/2) I think the answer is = --------------------------- = --------- = 3/4 length...
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    Part-time options

    I work in NYC and commute from central NJ. Because of this, CMU's program is very appealing to me as once could watch the classes online. My next choice is Baruch and Poly. Convenience is very important for me. So any information on the part-time programs from these or other colleges will be...
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    Work in NYC, live in NJ

    The reason I asked this question is, every one has their own definition for "resident". For instance, IRS considers you resident of a state where you lived for more than 181 days in a year. The same may not be true for colleges. Some one told me that you should have resided in the state for past...
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    Work in NYC, live in NJ

    What should I answer for "Are you newyork state residant" . Note: I pay taxes in NY
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