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First Suggestion: Change your post to proper English. You are not text messaging your buddies.

why do you ask?

I think we knew this already. http://www.bloomberg.com/apps/news?pid=20601087&sid=ac8Bkp_7F4Rc&refer=home

HAPPY BIRTHDAY MAGGIE!!!

This year was a rebuilding year for the yankees... I can see a 300MM payroll next year.

Amen brother!!

RED SOX LOSE!! RED SOX LOSE!! :dance::dance:

Yes they are.

HAPPY BIRTHDAY BOB!!!!

Yeah, after it hits zero, there is no other way to go but up... ;)

Does anybody know how the US uses all the oil it imports? I would like to see a chart with some sort of distribution. I know it is not in electricity since US uses oil to produce around 9% of the electricity it consumes. It means the oil we import is used mostly on something else, but.... what...

Andy, I will ask Jim for the paper when I get back from vacation. He was going to do the same presentation at work the same day I left for vacation. Doug, I will email you later about some of the papers. If not, I'll talk to you in class.

If you think a quant trading firm of any kind will willingly deploy their know-how outside of a datacenter not under their control, you are sadly mistaken. They might outsource their operations business or their back office IT but no pricing engine or risk engine will be send outside of their...

:sos: calling the time machine!!!

You keep calling the politicians dumb and imbecile, I think they are way smarter than you think. Hopefully none of these comments come back and bite you in the future.

This is not really true. On Black Monday, the Dow went down 22.6%.

it's 4:21 PM and the DJ is showing -777.68 net change in my screen. :cry: :-ss

Chaz, my point is that any plan that worked in Chile at the time had the stamp of approval from Pinochet, which meant, it was going to be put in practice right away. Nobody would oppose it (or dare to oppose it). Here, things are a little different. That's the reason, for instance, this plan...

There is a little detail that is not mentioned in the article. At the time, the president of Chile was Augusto Pinochet who had full control over everything... including opposition. Read more here Pinochet

I found this really weird but then I realized the signing process is the same as if you open an account with them. That's the reason for the SSN. I can tell you something even worse. If you are cuban (myself), they don't let you open an account. I had to email them directly and tell them that...

There is a thread in QN that talks about the online program in Columbia. Do some research and you will find it. That thread was active more than a year ago.

Ilya, you really have no idea what you are talking about sometimes

Maybe, and if the the government didn't prohibit shorting and didn't announce a bail out plan, MS and and your beloved Goldman were next. At least that was what the market was showing. Their prices were coming down at high speed. So all the "fanboyism" and love you have for GS would've been...

I survived 21 years in a hostile environment so it really doesn't scare me :)

Oh yes they can, google Bear Raid and you'll see. Banking is the business of trust, you lose trust and everything goes regardless.

woody, no more color by numbers?

Seems like a long parade!!!

How do you feel if you and your neighbor own your respective houses... and then your neighbor is unable to pay for his house and the gov decides to start paying for it? It means, you will be paying for your mortgage and his mortgage as well. If you are ok with that, let me know so I can go out...

dude, spare me the rhetoric. I was in worst situation than you and I came out so I know it is possible... but you don't have to repeat it over and over. again, you need to read history before you say something. Believe me, you are closer to Jimmy Cayne and Stan O'Neal than to Hank Paulson...

Snelson... GOOD LUCK!!!

Ilya, from that post, I can see that you will have a hard time fitting in GS.

Ilya, have you ever read the history of any of these companies?

Speaking of Goldman, this is even more interesting http://www.bloomberg.com/apps/news?pid=20601039&sid=a6a6nqXGVdZY&refer=columnist_lewis

Dude, what are you smoking? Suffering??... in that case, let me buy a mansion of XX million of dollars and let the government pay for it.

Once upon a time Mr. Buffet invested in another broker called Salomon Brothers and it was going south until some guy named Sandy Weill (you might have heard of him) bought it from him (Mr Buffet couldn't wait to get rid of it... so much for buy and hold). Rumor on the street was that Mr. Weill...

If you have time to watch those stupid shows, you have too much time in your hands.

You are not correct regarding APPL. Steve Job does it more for pride than for money. So his case doesn't apply here. LTCM people were invested up to their necks in their HF and they still took big risks and blew up. Greed did cause this disaster. Corruption and thievery are just byproducts of...

interesting opinion published in Bloomberg http://www.bloomberg.com/apps/news?pid=newsarchive&sid=aSKSoiNbnQY0

Pat, I did some FORTRAN a while back (long while back) and I remember it was not difficult. Email me or PM me and we can talk about it. However, if you are talking about matrix code (BLAS, LAPACK type of code), it might be hand optimized for FORTRAN and it could be hard to translate and achieve...

I lived around 30 miles from the GW... it is not that close ;) However, there are plenty of trails and hills to hike around where I live.

If you decide to hike around where I live, I could join.

All of them (including GS and MS) have been on the same business, the difference is that MS and GS were not regulated by the bank regulators so they were sort of free but now things are going to be little different. One thing that will change radically is basically the payouts. The big fat...

still, they will need to de-leverage and increase their cash reserves.

chaz, that post is priceless!!!!!

Industrial Banks are not really National Banks but state institutions. Check this Industrial_loan_company

This regulation will affect Goldman and MS heavily because they will be regulated as banks. So, they will have to deleverage and as a consequence, increase their capital reserves. It means they won't be able to take as big of risk as they were taking in the past and and it will be harder to...

SEC Halts Short Selling of Financial Stocks to Protect Investors and Markets http://www.sec.gov/news/press/2008/2008-211.htm The list is pretty wide. It includes insurance companies, hedge funds, banks and all sort of financial service company. It also has some companies that I have no idea...

http://www.bloomberg.com/apps/news?pid=newsarchive&sid=aOxUwNvu3K48

Happy Birthday dude!!

- what do you mean by trading your strategy electronically? - Use the brokerage you feel comfortable with. - What do you mean by "where"? - it depends. Some people have the reverse problem. The traded for a while and then, they learned C++ - It's not impossible. unlikely but not impossible

What you say is true in normal conditions but when fear takes over, things are totally different. Remember, people are not as rational as you think. Fear, greed and herd behavior takes over sometimes.

Doug, that's correct. But it looks like share price is weighting more now that in the past.

Indeed, it is a hyperbole. The Fed is playing its role of lender of last resort but why do I need to do to get bailed out? Get big enough? LEH was left to die but not AIG. Where is the competition? There are hundreds of financials companies that disappear why aren't they infused with cash to...

I don't think the short-selling is the issue. IMHO, on of the problems reside on the rating agencies that are using stock price to issue a rating, as in price is low = low confidence = they probably don't have enough balance sheet = need to downgrade. It means if I'm/we're big hedge fund...

This is nationalization at its finest... Castro and Chavez would be proud!!!

Yes, they are.

Doug, this is a great contribution!!! Thanks a lot. Hopefully it is put to good use.

I can't make it. It's in London.

I have only one answer: NO. For the reasons explained above. If you think I'm wrong, prove it and go for it without asking questions.

Thanks everybody!!! 35 today... even older HAHAHAHA :D

The thing going for ML is its massive wealth management and retail business.

Let's see how long ML stays afloat :(

You will need to be very good because the competition is going to be stiff.

WM is around $2 and MER is under $20 at the moment.

Post this question on the forum. I will answer it there.

some rumors... naked capitalism: Lehman End Imminent

I will try to talk about the contest tonight since it is the first class and the load is supposed to be light.

I'm sorry but I don't think that's possible :(

specify which instruments/asset classes you plan to trade. Also give an idea of how you plan to trade.

My experience, sometimes you have to do it. It all depends, not only on the firm but on your boss. I have a kid now and my boss understands. He says that as long as the job gets done, it doesn't matter. However, things need to get done.

Gus, I think we can do two sessions and they can get two perspectives.

Yes, sure. I was planning to bring it up in our 9815 class but I'm willing to do a workshop one day.... I can even work with all the interested parties. I have participated in last two years olympiads so I get some experience.

I read the rules and there are no Risk limits this year either. So the participants can be very free with their trading. i.e. take huge positions = bet the house!!! It is very important to stick to the trading plan that you submit, not so much with the trading rules as with the asset classes...

This is an understatement. They usually go missing after the first couple of classes.

a benchmark: http://limi.net/articles/google-chrome-benchmarks-and-more

is this true? have you test it? could you post some benchmarks or links to benchmarks? BTW, there is no Linux version yet :(

Send an email to Prof. Stefanica with your questions.

Actually, the concept of namespaces came late into C++ and it was meant for name resolution. Typing more code is ok as long as it is clear and people can understand the code. The standard doesn't ignore its full potential. It was meant to be like that in first place.

Nope, the standard is the standard. That's part of the language. However, you can specify the std namespace everywhere you need it (std::cin, std::cout, etc) and you don't have to include it.

It might be even simpler... but, word of caution, there might be risk levels in next year's competition. I spoke with Mr. Wilkinson and they are looking to put some VaR limits into the game.

You can retrieve any data available through TWS.

If you want to learn any of those two, learn Python. It isn't better or worse but it will let you understand a lot of concepts in Computer Science. So, if you want to pick up any language later, you will be able to do it. However, Python is not used much outside of IT or field/group doing heavy...

which mean they can only take 2. From the previous post, you can only take 1 course per semester and since the program is 2 semesters, it means only 2 courses. Not 23, I have heard/met 22 year olds in Assistant Trading positions. Trading jobs have to do a lot with luck as much as with knowledge.

Doug, I don't get your point about housing, food and utilities. You can reduce then to a minimum if you want, it's all your choice.

Got it now. I'll take a look when I get home.

Still don't know what you mean. Do you want us to make sure the functions are working correctly? Also, do you want us to try to improve them?

Outrageous? if you pay 36K and you are looking for a payday of 100K, wouldn't you make that investment?

I can't make it any weekend... have fun!!!!

I saw it was hebrew but there is no hebrew inside, which is good. The real question is, what do you want us to do? I can't understand what you are asking for. I'm sorry but I can't understand the english in your message.

If I remember it correctly, you have to submit your school information through JourneyEd. You will be guided in the process when you go the the microsoft site to download the software. That's the way to do it.

What does it matter if it has a reputation or not? What is your definition of reputation? Who cares!!! if you have an opportunity there, try to find out as much as you can about the job.

The code is not attached.

maybe it works as MSN talk :D

read this book first Amazon.com: The Complete Guide to Capital Markets for Quantitative Professionals (Mcgraw-Hill Library Investment and Finance): Alex Kuznetsov: Books then look at math books, finance, programming, etc.

I read the article and it seems there is nothing with substance in there.

Buffet became massively rich well before the whole algo trading thing came to the picture.

You have to be careful every time you try to analyze macroeconomic factors for predictive purposes. Another person in my group is trying to use Neural networks for this purpose as well. This is all black magic... but we'll see.

use factor analysis... we do something similar at work. It's all statistical regression.

Read any of Stroustrup books if you already know C++ and want to learn a lot of details behind the language... or if you have trouble sleeping. It will knock out in no time.

I use Subversion (SVN). The problem with VSS is that it doesn't store the files in text form (original form). If it gets corrupted, you are out of luck.

You asked for us to look at your profile and if that profile can lead you to a job in exotics structuring/trading after MFE. That was a very spefic field that could lead to riches. However, you are not the only person with that dream. Like you there hundreds of others with similar profile that...

I don't think anphetamines was the cause of the issue. I happened to follow chess really closely at that time for a lot of reason (my dad plays a lot of chess and the best chess player in my country at that time was a friend of the family). That match was record breaking and Karpov was in really...

BBW, you are right but I don't agree with the chess analogy. If you are well prepared physically, you can handle the game. the OP might be extremely smart and have the wits and vision to apply the knowledge. IIRC, Math is a young men's game for new discoveries but not for application. I think...

what was the point you tried to make with that list? All of them were really young when they started and then, they became famous. BTW, politics is not the best way to measure performance. There is a huge machinery behind the politcal system so it has nothing to do with the person's performance.

If you want to work at GS and make it big (I think that's your dream), you won't be sleeping 8 hours. I can't tell you that. So get used to sleep at most 6 hours. That will be trainning. You can mix it up with a 5 or 4 hours once in a while to see how your body responds... ah, and make sure you...

Check for examples here: http://www.codeproject.com THere should be plenty of examples there.

Nothing about being smart. It's kind of simple. Do you hire yourself? Why? From that profile nothing tells me you're different or special.

it's never too late if you like to study. However, your salary requirements might price you out. Plus you will need high energy levels to keep up with the pace (get out those Red Bulls)

Doug, although it might seem like a trivial task. It is not that straight forward. COM/ADO might be a pain but migth be the easiest way to get what you want. Don't try to get to deep in COM because you are going to get lost. Do you need to do this in C++? C# might be easier if it is a windows...

I have some code/books somewhere at home with samples. Send me an email to remind me.

Here is a commentary in Bloomberg about the same article: http://www.bloomberg.com/apps/news?pid=20601039&sid=aaUGVhIB65gs&refer=home

I might not be the most qualified person to give an answer to your question but I have seen hundreds of profiles like yours. There is nothing that makes you special. What do you have to offer to make you stand out above any other applicant?

It will probably good because you will get good knowledge from it. However, Dominic might tell you that you won't need an MEF if you do a CQF.

If you are planning to do the masters for the Job placement, you are setting yourself for failure. Job placement is 100% now but it might drop in the future. It is not a sure thing. We have been very successful so far but it could change in the future.

We're going to make sure we change that.

Basel II and the IRB approach. I think the FRB has all the documents. Google for Basel II. Check implementation details. It all boils down to regulatory capital or Risk Weighted Asset (RWA).

<offtopic> Ilya, It looks like you only know about big banks but there is a lot more out there. GS is not the only one that clean house. It happens it's the only one you hear about. You should try to research or find out more about other places. At the same time, keep the rhetoric and the "fan...

You are already in. Poor Ilya is not in yet but he will stop short of nothing to join GS.

dude, why do you have this love for Goldman? What about any other place?

When you say the last person, you are talking about the first one to call BLACK or WHITE, correct?

There is a lot of ambiguity in this problem. 100 people with black and white hats, do they know the total amount of black and white hats? What type of collaboration? If they are only allow to say WHITE or BLACK, there is no room for collaboration at all. You need to give more details. In an...

BTW, since you are in the UK, try to contact this people Flying Frog Consultancy Ltd. They use OCaml to do Math and other stuff in your field. The main guy there is extremely bright person. I have his books. If you learn everything in OCaml and with your background in EE and pattern...

Computer vision... I did some pattern recognition in the past (10+ years ago) but I almost forgot every thing that had to do with image processing (I started doing voice). The knowlege is completely transferable. Polish C++ and Matlab. They are going to be useful. Check your kalman...

dude, whatever you do, try to learn it really really well. That's my advice. What is your thesis about? BTW, the head of research in my group is an Astrophysics PhD.

This is true but it's hard to bend your mind going from procedural base programming (i.e. old BASIC, old PASCAL, C) to object oriented (OO) programming (C++, Java, Objective-C and their relatives) to functional languages (LISP, OCaml, Haskell, F#, Scala, etc). Since OO programming is...

FORTRAN is used to a degree. There are a lot of high performance libraries that are based on FORTRAN. However, I don't know if anybody teaches Fortran in finance (I wouldn't do it). Also, I don't know what you mean by everywhere. Plenty of Math libraries written in FORTRAN are used but I don't...

you need to buy a seat in the exchange... and, nowadays, it will cost you a pretty penny

Look for Jane Street Capital. They use OCaml. We do a lot of R and are looking into Scala since most of our stuff is based on the JVM

search this forum. There is a thread about that program somewhere here

http://www.economist.com/finance/displaystory.cfm?story_id=11897037

sometimes it's hard to implement your own quant ideas in personal investment either because you don't have the capital, you don't have the time or rules in the work place. To give you an example of the latter, when I worked at Bankers Trust, not only you had to clear all your trading activity...

I remember Prof. Ciresi tried to contact the organizers multiple times a year or 2 ago and they never answered back.

If you did 4 months internship in a trading floor, you must have an idea of what kind of skill are needed. Where did you do your internship? what did you do?

Is there any other data provider that might give you that information? Do you have the option of getting rid of them?

The eagles? Are we talking about the same Eagles with McNabb at the QB position? If I remember correctly somebody choked... I mean puked terribly for the Eagles in their latest SB visit and it was not T.O. Good Luck with the Eagles... at least the G-Man added another SB ring to their...

not only the rest of the industry but themselves as well. If you read the second article (the original one), GS was still selling CDOs even though they knew they were money losers since they bet against them.

I think this is the article Michael Lewis refers to: http://www.gata.org/node/5840

There is an article from BBG that explains it: http://www.bloomberg.com/apps/news?pid=20601039&refer=columnist_lewis&sid=aEXlKAu61sYU

MFE can only take you so far. The programs are usually similar in their curriculum. You need to add your own "sauce" to the mix if you want to make money.

I'm looking for the answer as well. I don't recall seen the output of a console program in VC++ in the output window since VC++ 6. VS2003 and later always open the DOS window (I know it looks retarded).

Did you back test the model? It looks like you use data for a very long period of time. Try to test it using data from 2008 (always test the model with new data - as stupid as it sound, that's a very common mistake) How do you plan to trade the model? I mean what time frame? Did you take into...

which product?

I'm definitely obtuse!!! :D

Correct!! BTW, when I interviewed at my current job they asked me econometric questions .

As long as you are able to answer the questions they will ask you, there is no disadvantage. Keep in mind they will come at you from every angle and they expect you to know the heavy duty math regardless. Ah, and they probably expect you to know how to code as well. Maybe they don't require you...

cstassen, They just made an assumption and went for it. It is more common than you think. It could be wrong but at least they have an idea. Before they didn't have anything to compare with. If that made you sick be ready to be really ill while working in Finance.

We use it for portfolio analytics in calculating risk, modeling the market and portfolio optimization. It is also used in Stat Arb. There are companies like BARRA and Northfield that live and die by econometrics models among other things.

If they ask, explain the reasons. If not, don't bother.

Greg was talking about the Series 7 Exam not the CFA. Congratulations!!!

Unless we start to run cars/trucks with sails or solar panels, wind/solar won't do any good. The energy problem in US has very little to do with electricity generation but with a lot other things (like transportation, for instance). As far as I remember all the russian space ships (I haven't...

... so, you think is going to be better with Obamanomics?

This is not true since they use SUNY @ Stony Brook as a talent supply as well. On the other hand, from what I have read, they tend not to hire finance types but just hard science people and engineers. If you want to learn, you can start like Simons and trade your own account, create a track...

I read that book. I think I still have it at home (edition circa 1940s or 1950s). I don't remember getting useful info out of it. I enjoyed "The Prince" more (Amazon.com: The Prince: Niccolo Machiavelli, Rufus Goodwin, Benjamin Martinez: Books)

Sameer, let us know how every thing goes with that test. I went to his website and it seems like some sort of advertisement site. I was looking for Corporate sponsors and I couldn't find any. That will be something that will make the site completely legit (since Andy raised some interesting...

:D :D

Thanks Andy. I read the wikipedia article and that personality test sounds like a bunch of ballooney.... maybe I'm totally wrong.

I'm sorry but I can't. They don't work on my group anymore. I can tell you that one of them, the younger one, was hire to code in C++ because he was excellent coder and he took off from there. He was an experimental physicist (particle physics) at CERN.

Jung's personality types? What are those?

I have seen a lot of resumes lately and that is not usually the case.

My comment was not meant to offend. I apologize for it. It just looked like the original poster didn't do any research before he/she posted. The fact is, there are plenty of online resources on Internet and just a simple search would have produce the results (he or she did because he found...

dude, this analogy doesn't make too much sense to me

Access has some function called Pivot that does the trick. It might be in the latest version of SQL Server. If not, Dynamic SQL is your friend. Google for pivoting tables.

Happy Birthday!!!

From the data that you posted at the beginning it looks like the series will have similar outputs regardless. Even when you say it's ok, the two series are very very similar (far from random). Look into the process you are using. As Max said, your constraints are limiting the output.

do the numbers need to follow a certain distribution?

This looks a lot like C# so, I might be inclined to think that this is how managed C++ looks like or some kind of M$ version outside of standard C++.

We use Linux a lot. Actually all our code run to run the models is used in Linux. The code is mostly Java, R and MySQL with some Perl. One of the Quantitative Trading group in my firm only uses R and Perl, so you might be able to survive without windows.

Some interesting article about Bear Bringing Down Bear Stearns: Politics & Power: vanityfair.com

Actually, they can charge whatever they want. That's not the point. My point has to do more with to try to find out more about different schools and don't rush to conclusions. Also, you need to have all information from all sides before you submit your opinion. If not, your opinion is bias or...

True, but you might end up somewhere with somebody that worked at ratings. So, be careful.

Ilya, you should be careful how you choose your words. You don't know where you might end in the future.

There is something called Google that might be able to help.

Ilya Notation is always a problem with stochastic calculus. It's better if you get used to 2 or 3 different ones because almost everybody has a different notation for the same things.

How do you know this to be true?

I re-read the thread and it looks like you are in Singapore so the brand name might be very important for you. However, I doubt if you can know for sure which programs are good or not. I would recommend you to talk to people in those programs before you form an opinion. You might be surprise...

IMO and experience, brand doesn't mean anything in this field, so I can skip that part. I can't talk about quality of teaching because I've never taken class in those places (I have spoken with people in some of those programs and with people who teach in those programs so I have an idea but...

I just wanted to know what you use as criteria. It still doesn't seem very clear to me how you come up with those names but that's ok. Everybody is entitled to their own opinion. BTW, I don't think most people will agree with your statement either.

stonyblue, what is your definition of a top program?

it might depends. What kind of asset classes or instruments are we talking about here? correct, employers use quants to make money because quants (in theory) are prepared to price complex financial instruments, find out the true value of those instruments (that's the basic idea). They can...

What kind of finance do you want to do? Maybe an MBA in finance is just what you need.

Here are my answers: 1 and 2) Nothing prepares you to be a succesful investor or trader just practice and experience. Take some money and play with it. 3) It might be possible. It all depends on you. If you are able to land and interview and how well you do in the interview. Keep in mind...

talk to a recruiter. They will be able to give you a better advice. I would hit the market with your degree.

as it was shown to me by somebody on the desk.

Actually it is. You are in this country but chance since, as you have posted before, you came when you were really young. It means you didn't make the decision to come here, somebody else made it for you (for that you should be thankful to your parents even though you are not to happy with one...

Dude, you do have some issues. You are an immigrant also so I really don't understand your claim that a person needs to be a citizen to go to an american school. There is a reason why those foreign students were accepted in first place. Probably it is because they are very good and the...

If you think a trial lawyer helps society, it means that you have never been sued in your life.

We are able to provide financing when there is no other way so business can keep going and new jobs can be created. We are able to minimize, understand and manage risks from asset portfolios including pension funds and retirement funds. So, it my eyes, there is a huge contribution to society...

Dude, apply to every single school that you like. You don't know if you can get in or not until you apply.

There are ways to do callbacks without using function pointers. You can use polymorphism instead. I will try to cover it in our last class.

Hi Doug, Functors come from math, more specifically lambda calculus. Functional languages usually cover functors in depth. The most common application of functors in C++ is through callbacks. I'm planning to cover an application with functors (using Dan's book) in the last class of the...

what is exactly your concern? Assume that there is a dramatic change, what does it matter?

four to five years

600/700K is a lot of money if you think about it. Your monthly payment will be really high. I read somewhere that your monthly payment should not be more than 1/3 of your monthly salary. Also, Wall St salaries are usually measured as total compensation so you will have a huge chunk of money...

I don't think Lehman is the poster child of success nowadays.

I agree with Doug. Unless I see some real facts, I think this is all noise to quite the crowd and nothing substantial.

usually experimental physicists make the transition without problem. I used to work with 2 of them that came from CERN.

Grinold and Kahn Amazon.com: Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk: Richard C. Grinold, Ronald N. Kahn: Books

At least you acknowledge your situation. Now the question is, what are you going to do about it? I can tell you what I did. I worked full time and study full time (12+ credits a semester) at the beginning of my career. I only slept 4 hours a day and eventually got used to it. Also, I didn't...

I was in the hole too and I came out so, it is doable. It requires discipline and laser focus but if I did it, anybody can do it.

Also, remember that an exam just prove that you know the material and that you are a good test taker (or that you just got lucky the day of the exam). A degree will show the same plus the commitment to do the degree. The latter part won't show on the exam.