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Where did you do your Comp Sci degree from? I would suggest you getting an MFE degree. You have good experience and that will suffice to get a decent quant position.

HAHA This is amazing.

Boston Math Fin got 825 applications? That seems a bit intense. They got even more than CMU.

What I do is I give out the average salary number of Baruch MFE graduates for the past year.

I found a great amazon coupon. for $10 you get a $20 gift card. The Best Daily Deals in Washington, D.C. - $20 Amazon.com Gift Card The new semester is starting and I am sure everyone can use some discounts on books.

lol We should have some disclaimers on this thread, or people posting atleast.

I have seen that on few other forums. AAPL Watch . NFLX Watch. etc. Or Hedge fund performance. Ren Tech Watch Jobs had to be really sick to leave at such a timing, or maybe he thought that the earnings report will overshadow his leaving.

$AAPL is down almost 5% in pre-market.

I don't know any. You will have to find this out by yourself. Look for quant hedge funds.

http://www.markjoshi.com/downloads/advice.pdf Statistical arbitrage quant, works on nding patterns in data to sug- gest automated trades. The techniques are quite dierent from those in derivatives pricing. This sort of job is most commonly found in hedge funds. The return on this type of...

I agree on the long BP and long AAPL. AAPL to be bought on any dips.

Yes. It's a part of Quantitative Finance.

Hey guys I thought I would make a thread where we can discuss what will happen to certain equities or whatever as we go further. Ex: BP oil spill. What kind of opportunities will this create for shorting BP, etc. I hope this lasts... Maybe we can make it sticky if this is successful. There are...

It's an engineer thing. ;)

I like the P.Eng. ;)

Because MFE is not a designation. Most of the MFE programs are not even called MFE. All MBA programs are called MBA. All PhD programs are called PhD. If MFE was a standard certification or designation then I would use it. I would just say.. for me.. Joy Pathak (M.Sc, BSc.) if at all.

Jets beat Patriots.

Naw. Have not tried Meta Trader. I have tried Oanda and FXCM. They are both great. Oanda has the best spreads and fills though from what I have seen and what people have told me too.

BOOKS REQUIRED FOR FALL 2010

JP Morgan bankers to share $10bn bonus pot after profits leap | Business | guardian.co.uk

Yes, I am.

It’s been a while since my last post. It has been quite the semester. I am currently visiting my parents and girlfriend in Canada during our winter holidays. I figured I would take the time to talk about my first semester in the Baruch Financial Engineering program. The first semester included...

If you're good you can go up in your field with only a bachelors degree. I know of a person who is also my professor, who just has an undergrad in physics and was recently an MD at Credit Suisse. He was for 10+ years an MD at Merril Lynch before that. I also know of an MD at a large american BB...

Nice pictures Andy.

Take whatever you can get. You can find algo trading related internships at various prop firms websites. As you mentioned Jump Trading is one of them.

A friend of mine works on a high freq desk of one of the largest I banks. From what he has told me, the most ideal person they look for when it comes to high freq trading, is an expert level programmer along with someone who understands trading very well. So basically the best quant developer...

Something about the PlayBook The BlackBerry PlayBook Tablet's One Glaring Flaw: Bridge

If by "wall street" you mean't finance in general then keep applying. IF you mean't only new york, BB, then apply to all banks and boutiques. Apply to the top MFE programs where strong career services are provided. If you find schools where they can get you internships right when you start...

Of course for a desktop system multiple monitors is essential. I use 3 screens at the fund i do work at. I think for personal use it's an overkill. I would rather have a keyboard then another screen. Maybe if it was some kinda folding laptop that turns into a dual monitor with a keyboard...

Whats the point of two screens? It looks cool. Would anyone buy this?

I use it just about the same I think.

I could be wrong, but I think the time of the "big salaries/bonus" checks are done. Most of the jobs are at the big banks and they will not pay you much since there is no more prop trading happening. The big money is at the hedge funds and prop shops but you have to generate 50M to get 10M...

Yes. That would be very usefull. It would be nice to have the brainteasers tagged well for searches.

I definitely want the Samsung laptop and the Samsung Tablet. Either or would be great too :)

Haha YES!! Something to beat the Macbook AIR!

LinkedIN is absolutely great. I hope they raise a decent amount of funds. I am excited to see what new features they will come out with.

Yeah. I suppose you're right.

Yes. Independant Trader. How are your returns and how are you generating them. Technicals, etc. That is key.

1) Which structured product would you issue in the current market conditions? I would like to get into the interest rate swap market by issuing fixed leg to receive floating. 2) Explain the Greeks for options. Simple 3) Draw me a payoff profile for autocallable structures, digital coupon...

Since it is for an internship, put it on. I would. Put an emphasis on class projects you have done. The focus should not be the restaurant job.

From what I know, a lot of Canadians who go into investment banking use the Economist one and will be most likely the one I will be using when I secure full time employment. It would be great is anyone on this forum who is Canadian that has gone through this process could enlighten us on it.

Haha. This is great.

I grew up on a beach-town in India. I did highschool and undergrad in a small town in Canada, and was a grad student in a big college town in USA. I have visited almost every major city in USA and Canada in addition to several asian and european countries. I like big city feel and absolutely...

hahah. I was only joking. I am in NYC so obviously I am going to say NYC is #1. It is definitely funny though, since everytime this topic comes up people go crazy about london not being as good or better than NYC. London is great. NYC is better, but I am sure we all already know that.

Nope. There is only NYC now. LDN is done.

Can you get H1B without getting sponsored by the company as a Canadian?

It was a close game. TCU got lucky.

Let's GO BADGERS!!!

Happy new years everyone! See you all back here next year! I am off to MGM Casino to see if anything I learnt in Stochastic Calculus class works in real life :)

In what context? Companies or MFE programs?

Not really. It's quite alright. I just have a different style of answering such questions I suppose. Definitely has not let me down yet. :)

I want a george forman grill.

I am not an Apple fan. I would rather take the new Playbook by BB or some Android system.

Philosophical...imagination.. Sometimes its a fine line. I have found being philosophical with such questions has been quite favorable.

Here is a common interview question which I have been asked recently: Why are manhole covers round?

This is very interesting. I am almost feel like the answer is a philosophical reason. I wonder if this has a right answer.

I want a non-apple tablet.

My undergrad university opened up a trading floor last year.Odette Financial Markets Lab | Odette I have been on the Baruch trading floor several times. It is pretty great, and one of the bigger university trading floors I have seen. They mentioned GWU and Bentley with courses where you...

Depends on what you're talking about. As a whole school, or particular programs. USC business school (Phd level finance especially) and engineering program(graduate) are ranked very highly.

You're right.I got mixed up in this whole concept of "black swans" that I forgot it's true meaning.

I never said I believe in black swans or probable or improbable events. ;) Elie presents a good criticism against black or white swans from the few reviews I have read. I have unfortunately not read it in detail. Is it a book you recommend?

A good friend of mine lives around there working for a brokerage company and goes part-time to my program. He does it. You need to leave early which may or may not be okay with your boss.

Black Swans are highly improbable events. A meteor hitting the Earth can be one of them. Discussing does not make it less or more probable. ;)

I was interning at a hedge fund in white plains until few weeks ago. It was a 45 minute commute from GC station. I am now working for their office in the city. The commute was not bad. I would usually read WSJ on the train or listen to podcasts, or do work on my laptop. Just need to make sure...

Trust me, it doesn't matter. It helps if you went to a top school for admission, but it wont hurt you if you did not, as long as you still did good. Playing on a sports team will help you possibly in the future when looking for jobs during interviews.

Happy Holidays to everyone! Have a great Christmas and a happy new year!

I think Facebook's ability to connect people from all across the world is absolutely incredible.

Well, this is definitely an interesting article, a bit aggressive but interesting. I agree with the author 100%. Even in my VERY SHORT tenure in the finance industry I have seen many of the examples stated first hand. There is a lot of risk management required in today's capital markets and I...

hahaha Comedy.

Well, it seems that they are one of the few MFin programs that even offer any form of employment statistics. I think the program might get better placements in the following years. It is a brand new program. Seems like brand-name alone won't get you placement as many students had to find jobs...

He cannot.

I think Quantnet should launch a Masters program is Quant something.

I do like the fact that they provided a lot of details.

$100 on Red.

PRAGMATIC CAPITALISM THE BLACK SWANS OF 2011 US Congress Blocks Bernanke’s QE3 As we move into the second half of 2011, politicians and pundits increasingly succeed in putting the Fed in the hot seat for having been the critical enabler of the US housing debacle and resulting bank...

Interesting perspective. I did not know about the "poll", but definitely interesting.

Hey bob can you explain why all three work? Pension liabilities are very sensitive to interest rates. If interest rates fall the present value of future pension payments rise.Atleast I would assume. I don't know much about pension accounting, but that would sort of make sense right?

Haha That is rough.

Yeah. Can you be a bit more specific. I can get you options data, but you have to give me a ticker, strike, expiration, something....

Equity Products

I am looking for 5 year CDS spreads on high yield corporate bonds in the energy sector for now, with the highest frequency available. Hopefully liquidity volume a long with it too on the contracts. Markit is what I have been looking at, but it is expensive. You're right about individual...

Anyone know where I can get corporate bond cds spread historical prices? If the service costs, can anyone suggest an affordable place. Majority are very pricey!

Google Finance: Stock market quotes, news, currency conversions & more or finance.yahoo.com

I like Mark Zuckerberg. I think his story is inspirational. I don't know the truth behind the whole "stealing" of idea, but regardless, I think he implemented the concept in a way no one else had before.

Yeah I did. You don't have to be part of MBA recruiting for the Business school to help. Columbia Business School is a top Business program. That itself should aide. Being part of the business school will let them reach out to alumni of business school even if not part of the program.

Yeah. This should definitely be interesting. This Masters of Fin Econ, is out of the business school so they might have an edge over the MSOR/MS-Stats in terms of recruitment. The MFE has their own recriutment. Then there is the MS Math Fin, and I guess a MS Finance too? Columbia is...

Well, baruch mfe is quite competitive as you can see from their entrance numbers. If your courses don't show a strong quantitative background it will be hard to differentiate you from the rest of the applications who have significant quantitative backgrounds(Engineers,mathematicians,physicists)...

This is a really nice concept. Being able to see video of the lectures at any time would be pretty great.

Lol I thought it was quite obvious which school it was.

Well, CMU and NYU have very good placement rates and should be able to place you in good quant positions. Regarding PhD for quant positions, this topic has been debated extensively. Search through the forums. I think many positions where PhD was a requirement has been opened up for MFE students...

Google Finance: Stock market quotes, news, currency conversions & more

They are not exactly 0 although really close. I think only munies are 0 with Aaa.

lol You want us to do your homework? This is an asset allocation problem. The two common ones are equally weighted, and risk weighted. Look into Black-Litterman Asset Allocation model also. What is optimum? You will have to try several variations before finding an optimum portfolio based on...

The second video is hilarious.

You're not making sense. If you're a hedge fund manager, in this day and age, you will have ATLEAST 100 million portfolio at MINIMUM. 150 ish is like the bar right now to get into the hedge fund business. You're telling me that there isn't a possibility of 10 million on one strategy? You're...

Wrong answer. You went to the bathroom. When you came back everything defaulted. You have had no time. What would you do then? Also, so you're saying you have been trading for 7 years?

I had a question... What would you do if you lost 10 million dollars prop trading in a matter of minutes. e.g huge bond position and everything defaults.

Get the applied Math major instead of economics. The Finance + Applied Math will look appealing I would assume to ad-coms. The GRE Score is fine. 800 quant is primarily all that matters. No need to re-take it. Focus on taking programming courses and learning the languages. C++ would be just...

I don't like this new look. It looks too chunky. I do like the short descriptions on top.

My parents have been in their academic life most of their lifetime with my father still a professor in finance/accounting. I have learnt a lot about departmental politics and treatment of adjunct professors whether they are PhD students or practitioners. I could be very wrong about the...

This is great. I like how many are embracing this new idea of "A Day in the life of..."

This is great.

It looks like some Indian guy. haha

I kept reading only the London School of Business part at first and was giving this project credit. Then I re-read... "London School of Business and Finance".

I got a scarf and a sweater.... I am gonna wait till cyber monday to see if there are any good deals online.

North, South Korean forces trade fire; 2 South Korean marines dead - CNN.com

I just wanted to mention that this is for a NEW class. The other class is already filled and many applicants still wanted to participate, so a new class has been opened, and this is for that class.

Investment Banker goes wild with Models and Bottles - MySpaceVideos - Strimoo.com Turns out he was just a back office analyst at Morgan Stanley doing some operations stuff and he got fired when the company found out about this video. The porsche was rented for the night too from a filming studio.

hahaha. this was hilarious

I said you will have a hard time getting POST DOC positions. I think you shouldn't have much trouble getting some computational related job in quant finance at a prop firm or hedge fund.

Yes. You will find them in the OR and mathematics departments although I don't think you will qualify considering there are lots of PhD in Math and OR looking for these positions. You should take Alain's advice and contact a recruiter and have him/her help you out. Given your background you...

PhD Finance > PhD Financial Engineering in the finance industry in my honest opinion. Lot's of PhD Finance from top schools are picked up to become traders/quant strategists/research/etc at big banks and hedge funds. A PhD Financial Engineering from the mentioned schools would get you into a...

I just ventured to your "website"... Lol You said this on 24th and 31st October on your website for S&P E-minis. How did that short trade work out for you? The TGARCH volatility plot is now upward sloping and it would not be surprising to see readings about 2% – 2.5%. Even if this market...

Met Mark Carhart, Giorgio De Santis and Bob Litterman at Baruch college not too long ago for the ARPM reception. Great guys. Really smart. I am looking forward to see their returns.

List of Wall Street themed movies | Quant Network Alchemists of Wall Street and several other documentaries and movies can be found there. :)

You want to put money into a quant fund then?

What do you think?

When did Andy say he is a prop trader at Deutsche Bank? Andy owe's you absolutely no answers. I do not appreciate people running their mouth about my friends.

You should be able to get a decent quant job already. Send me a private message with your email and I will get you in touch with few recruiters who can help you out right away.

Lol... Random funny observation. Few people emailed me this link... Stimulus, Long Term Deficit Reduction Needed: Obama Advisor - CNBC Around 4:54 mins I walk in and can be seen talking to Nassim Taleb in the background.

Yup. But They still look exactly the same. This video is so important and relevant at this time considering the stimulus and various other monetary and fiscal policies.

I just saw both of these guys do a live show at a conference few hours ago. It was great because the audience included Vikram Pandit, Nassim Taleb, Stiglitz, and several other famous economists, financiers, academics, etc. It was truly entertaining. I even met "Keynes" mother. Haha.

AQR is known for running it's shop like a graduate school from what I have heard.

Fortune's Formula has a good depiction of the 'junk bond king'.

My dad is going on sabbatical to teach at a French business school for a year next June. He doesn't know a word of French. It will be interesting.

You should be able to get it from Bloomberg. I have got lots of data related to daily trading volume on particular securities from Bloomberg before so I would assume exchange data would be on there too. They do provide data for most of the countries mentioned if I am not wrong. I will have a...

You want historical "volume" data? For what? Total volumes at the exchanges in the countries? Do you need daily ? monthly? yearly?

I know someone who I think was in the CFE program. I will see if I can get him to write a review. It should be valuable.

I am sure guidance from Peter Thiel is included in the package which would be worth quite a bit too I believe. You're right about the debt part...and additional taxes too possibly. In addition to that, rent and other bills throughout the year. You're barely left with anything.

Hahahha. You're crazy.

I specifically mean't the 'coffee emails' to random senior executives at a company will almost always lead to demise. If they are alumni, then there is a high probability of success. I said in terms of job efforts, other routes are more effective, than emails, in my OPINION. Thanks for the...

Well that's definitely good to know. I reckon after reading this there will be an onslaught of emails sent to banks. If you mean't alumni, then I agree with the coffee part. That is a very common scenario here at Baruch. Many alumni and students go out for drinks usually and there is also a...

I am pretty active on Twitter and converse and follow several traders and economists who tweet quite actively and I would have to say it is sometimes a very good sign of market sentiment. During May 6th crash, everyone kept tweeting frequently about what the hell is going on...and speculating...

I am surprised people have not posted here? It is great to see someone taking the initiative to network and meet people in the Chicago area.

That's aggressive. I am sure 99% of the time emailing random people for coffee will not work out. I agree that career fairs are not the best place for networking, but you have to work with what you get. Conferences I believe are the best place, but unfortunately most of them are VERY...

I feel like Dominic's reply should be turned into an article and archived as a sticky thread on the forum. Well...at least most of the comments.

The course taught at Baruch is by practitioners. One works for a hedge/quant fund trading using algorithmic strategies. The other was a statistical arbitrage trader for a hedge fund and recently went off to start his own quant fund sort of company with a few other people from other funds...

Exactly. It is Portuguese. That is why he thought you were from Goa. haha. I feel like I have hijacked this thread. Nvm.

Lol Where in Goa? I am from Goa too.

Lol... Just because his name is Mervin Gomes he could be from Goa? Good catch actually. Where are you from "TraderJoe" ?

I like the idea of having videos. I know of some MFE programs that do that too. Maybe CQF can sell videos for a fee. :) hahah

Using the criteria of the rating agencies, the authors tested how wide the AAA tranches created from residential mortgages can be. They found that the AAA ratings assigned to ABSs were not totally unreasonable but that the AAA ratings assigned to tranches of Mezz ABS CDOs cannot be justified...

Citi is the pioneer of automated trading?

D.E. Shaw Struggles With New Mexico Bet - WSJ.com

Hello Davix, I would suggest buying the Primer. The Principles of Financial Engineering book is an advanced book. You are better of buying Nefcti's Mathematics of Finance related book first and then Principles. I personally would suggest the Primer at this time, and once you have a strong...

No...You can start off straight as a Strategist, but it is hard. Define what you think is a strategist too? The "strats" team have strategists too, who build market impact related models, algo execution, etc. I dont think all QS are developing trading strategies. This is my limited knowledge...

Hey Jim thanks for posting! I have class at 6:00 :( so I cannot make it. But I would suggest all who can to go! I am sure it will be a great presentation.

I don't think you need a PhD, although turns out many people I have met as Quant Strategists at the IB's have a PhD in Finance. From my understanding of a QS at an IB, it's mostly prototyping and building of strategies from the group up. The programming skills have to be very strong possibly...

Harvard alone takes more than 1000 people for MBA. Not all of them make enormous sums of money.

Five Quick Ways to Bankrupt Yourself - CNBC #5 was the most interesting for me and a valid fact. 5. Overestimating the value of an expensive degree. The more education you have, the higher your pay, right? Wrong. When people take out student loans, few do the math to see what the...

AQR Capital's Clifford Asness Interview Excerpt - Video - Bloomberg

I mean't more in terms of whom they target for campus recruitment for entry level or internship positions. There will be a few good public/private schools(LAC) included in there possibly. Of course, many people might have degrees from other schools and good experience or good networking might...

Yeah. I will go with this. All the big PE companies strictly take from Ivies, or if you have some solid connections, usually family.

Well, there is no way to do a static replication on VIX I think, just because of it's structure. You would have to do some sort of dynamic replication of variance swaps. The simplest way to replicate a long VIX futures would be to short a strip of SPX options possibly. Here is some more...

I have some ideas, but I will ask your question at the NY Options Conference going on right now that I am at. I will ask the makers of VIX index (although they might not be too happy about replication), about it after their presentation. I will post it here if I get a good answer, otherwise I...

This made me 'lol'

I find lots of these news so contradicting... Morgan Stanley and JP Morgan Quant Modelling groups were at my school to recruit this past week for internships and full-time positions. At the Career Fair at Baruch on Friday, Credit Suisse, Blackrock, Barclays Cap, BMO , etc were all looking for...

This is Part 2 of my popular post, How to prepare for Financial Engineering programs. I finished all my refreshers in the Baruch MFE program at the end of August but I have been very busy with the classes to actually finish this article. This post will include topics, books, information I...

Will be there tomorrow. :)

The Mystery of Disappearing Proprietary Traders: Michael Lewis - Bloomberg In the run-up to the vote on the financial overhaul bill, the big Wall Street banks squashed an attempt by Senator Carl Levin to pass a simple ban on any form of proprietary trading. A Senate staffer...

Source Reveals Why Hedge Fund DE Shaw Had To Cut 150 Staff ---------- Post added at 01:37 PM ---------- Previous post was at 01:27 PM ---------- Bank Of America Cuts 20-30 Prop Trading Jobs Damn.

ORFE would not set you up for PhD in Finance atleast. The Princeton M.Fin is great for PhD in Finance or Economics or to work in finance.

Not impressed. ..............

So... it started September 8th... ?

This is huge in India. A bit about the creator.. Khan, who was born to an Indian mother and a Bangladeshi father, may not have trained to become a teacher, but the number of degrees he holds indicates his predisposition towards academics. He has masters degrees in Electrical Engineering and...

The Town has been getting good reviews. Should have seen that. If Machete is still in theaters, go check that one out. It is pretty awesome.

You should have taken more videos. Next time. ;)

It was just 'plain bad'. The plot was horrible, the story line was garbage, and the references to real-life events was almost comical. It was so bad that it was almost a comedy.

It was a great time! Thanks Andy!

The movie was absolutely garbage. Do not waste your time with it.

Going tomorrow after the picnic ;)

Programming for Dummies: Dissastisfied, Some Wall Street Technologists Flee for Start-Up Life | The New York Observer "I mean, no one was being held with a gun to their head and forced to work at Morgan Stanley," said Andrew Montalenti. "It was a very good job by any objective measure. But a...

I think a little bit of everything will be great. Indian Samosas...some fried dumplings...some rolls...sandwiches..etc

Hedge Funds Are Running Out of Reasons to Exist: Matthew Lynn - Bloomberg

Should be a great time! Looking forward to seeing Quantnet members there!

They have a promising quarterback, but unfortunately he is injured now, so I am not too sure how they will perform.

Why don't you apply for internships ? There is no experience requirement? Prove yourself in an internship and secure a full-time offer?

Sounds good to me. :)

If someone has no experience, a good place to start is with an internship.

What products could you use to make a synthetic naked CDS ?

What the hell...

PACKERS and LIONS ... except I never tell people I rep the Lions..for obvious reasons! but that might change now! And that last touchdown should have been counted! Oh...and GO BADGERS!!!

They wont be WSEA anymore... lol

Thanks for organizing this Andy. Hopefully a lot of QN members can come out. Would be great to meet them.

Thank you to EVERYONE for the support on this article. Great to see some people(bionicturtle) re-tweeting and posting on their own blogs/facebook.

asset pricing and investments or math finance This can range from every top math school, to every top business school. Asset Pricing and Investments are active research topics by professors at every big business school. The way to narrow down is to pick your research topic and then...

Closing the proprietary trading desk for commodities affects fewer than 20 traders, one in the U.S. and the rest in the U.K., the person said. JP Morgan had only one commodity prop trader in the US.

Thanks should be given to all the finance executives who devoted their time for the interview.

Did anyone notice an interesting fact in this article?

Whether you're looking for your very first job, switching carers, or re-entering the job market after an extended absence, finding a job requires two main tasks: understanding yourself and understanding the job market. I received several emails asking me for advice regarding quant jobs and...

I think on one of the threads here I saw someone say that for a trader position at his bank they got over 10K applications.

I disagree. ......

The true reasoning behind the MFE admission numbers is a proof by contradiction. Unfortunately it can be used to prove arguments, for and against it. Dominic has given some examples of proving it's inefficiency through contradiction. I will prove its usefulness with examples. 1)...

Post has been edited.

You can use Crank-Nicholson to price American options through finite difference. Binomial Trees will work just as fine as Max mentioned for American Options and for European with dividends. For trees you use the same method as you would for european options, just remember to take into...

List updated for Pricing class.

This is a great collection Andy. It would be better if programs were more open about their admission numbers.

Volatility is a statistical arbitrage fund's best friend. The "choppier" the markets, the "more" mean reversion. ;)

What is with traders and making grave errors while trading oil ? http://www.dailyfinance.com/story/drunk-british-banker-bet-520-million-on-oil-futures/19537836/