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vix options and futures?

go to a brand name school, in the US-ivy league and top engineering schools, most hft firms recruit only from the top schools and a few schools around the chicago area. they dont expect you to know anything much, although having a computer science background puts you at an advantage.

i think an MFE is pretty risky given that you do not have any experience in finance and that you will be spending a hundred grand on it. Yes, new laws/regulations are definitely taking a toll on S&T jobs. On the other hand, private trading firms might get some advantages due to this. However, no...

you will have a broader experience with a degree from the IIMs than from an MFE degree. Moreover, you will have the same kind of jobs open to you from the IIMs, namely sales and trading in London/Asia as well as light quant roles. Given that a lot of sales and trading roles are now in Asia, I...

I would strongly advise you not to join any such firm. Try finding firms which have a strong business and train you in their way of trading. good shops pay around 80-90k while smaller ones around 30-50k.

are you comparing the closes at the same time, in the US, the index closes are at 3 cst while the futures close at 3:15 cst

when you see so many people buying something, you know it is the high..

do not do a phd because you want to get a quant role and that too from a low tier school. it is unfortunate but the first thing people generally look is the school and dismiss it. and personally, i would do the same too.

the hiring season is usually fall when they go to schools to recruit for full time positions. some firms have days when they bring in a whole bunch of preselected candidates and interview them..i am not sure what school you are in, but they typically visit top schools. in the midwest, they do...

try the prop trading firms in chicago or nyc, although the hiring season is past, they are not averse to hiring off season..

you will be surprised, walk into any good chicago options trading firm...

I would advise you to talk to people in both firms, look at what people have done with their careers in both places. Historically, people from McKinsey have tended to do really well (ignoring the few recent /past scandals) either in corporations/governments/non-profits. Moreover, its alumni...

most hft firms in chicago hire kids right out of college from places like mit, princeton etc. the ones focused on hft equities etc typically expect you to have good programming skills or statistics and some scripting skills. the ones in hft options trading don't care as long as you are smart. i...

http://www.stacresearch.com/, industry standard research

if you are in the mood to give away money to market makers and the like, it is a good idea.

http://www.nytimes.com/2011/07/11/business/economy/banks-expected-to-post-weak-2nd-quarter-results.html

can anyone comment on networking opportunities at Princeton?

if you are interested in trading roles, there are firms hiring out there, the usual Dutch suspects, their offshoots and American firms trying to get in.

how did you measure the tracking error?

ok, i was interested in the sell side as a next step as doing the same thing can get boring in chicago and your career in a chicago style firm ends in 5-6 years. i was interested in the sell side as that could be a next step after working in market making and derivatives trading.

hi chiadam, i am in a similar situation, working for a reputed firm but the margins seem to be shrinking and it doesnt look like there will be another 2008 again, maybe in Asia but not in the US, so looking to develop my skills to move into other areas, maybe exotic derivatives, how has your...

the two months ahead part of what you said

are you sure of what you are talking about?

you will need to account for rolling of the front month contracts, wti expires around 21 of every month, brent around the 15th.

haha, rookie mistakes, buy the cheaper one, sell the expensive one, if only... first, just because it is cheaper doesnt mean its an arb (you also have to account for shipping costs etc). if wti is cheaper than brent, for one to perform the arb, one needs to buy wti, ship it to europe and sell...

when brent trades over wti, it is never an "arbitrage". the arb cannot be performed as wti cannot be shipped out of cushing (except to refineries in the midwest) to do the arb. historically, wti traded over brent, but there have been dislocations and wti eventually recovered. on the other hand...

i think there is not much hiring in chicago in the prop trading space unless you are a superstar programmer and have experience in trading infrastructure. most prop firms are trying to cut costs given that there is not going to be any money for some years. i guess banks might be hiring for which...

Hi So is it possible to take classes in CMU part time while working in Stamford. I mean the commute is 1.5 hrs and I am not sure what the class timings are at CMU. Thanks

Thanks everyone, I am not in Stamford currently but there is a possibility that I will move there. I am assuming that there are people who commute given that there quite a few hedge funds in Stamford/Greenwich. Andy, do you know any one who commutes from Stamford, or commutes a similar distance...

Hi, I was curious about the part time program at CMU in NYC. How many classes is it per week? Is there anyone on this forum who attends this program or knows someone who does. I also wanted to know if it is possible to commute from Stamford to attend the program. Thanks

and more importantly, being able to simplify complex concepts and explain them in a manner which can be understood by all. traders hate quants for this reason...

1. I can see how your strategies are useful for execution of say stock to hedge option trades and executing large trades, are there applications from a market making perspective? 2. What do you reckon a trader in liquid markets should know these days besides things like exchange /matching engine...

not a hedge fund but a well known firm in electricity markets, DC Energy. They might be venturing out into other areas.

variance is additive therefore, number of trading days in a year * square of daily returns =annualized variance., you assume that the mean of these daily returns is zero. so annualized volatility = average daily return*(252)^.5. you would change the trading days based on the product you are...

how many people have graduated from the Baruch's mfe program since its inception? I am not sure its greater than 400.

yep, thats the first thing i do, use linkedin to look at profiles and where students have been placed

i know this is frowned upon in academia but vanilla option traders think of delta as the probability of an option ending in the money. the atm strike has a fifty percent chance of ending in the money. therefore the delta of the call is around .5, in practice, it is slightly higher than .5.

if you want to do "statistical arbitrage", a cfe, cqf will not get you there. i am not even sure an mfe will get you there. you need an ms/phd in statistics or a quantitative discipline and excellent programming skills to be considered for a role in a bank or hedgefund.

you have just about a week for CMU R1, hope you have all your materials ready.

its best to apply as early as possible. i believe it is easier in the first round, especially for business schools, and second, if you miss any parts of your application, you can always complete them and still be on time unlike the latter rounds

read natenberg, has very intuitive explanations of how practitioners think of this stuff

Does anyone know if one can attend school in the US when their petition for permanent residency is pending.

its a scam if someone says that they can teach algo trading in school. The only things you can learn in school are the tools needed like statistics. only market practitioners know how these things work and besides, what you learn in a class room is quite far from reality.

yep, citi also has automated trading desks in options and equities and quantitative equities, they are big market makers in the us options markets. i guess they could have acquired these businesses over time,

Hi How does one convert a GPA out of 10 to a GPA out of 4. I am not sure a linear conversion is the right way, and some schools will not accept GPAs outside the 4 point scale. Thanks

gauravpuri, based on your profile, i think you should apply to all the tier 1 schools, haas, cmu, nyu, cornell, columbia. ---------- Post added at 05:43 PM ---------- Previous post was at 05:42 PM ---------- i dont think so, you have a good quant score. besides, the gre is only one factor...

Abreast of the Market: Trading Volumes Sink Even as Stocks Rally - WSJ.com

http://www.mitsloan.studentchoice.org/international.htm for those interested, the mit credit union loan program

knight capital is primarily an equities market making and execution firm and equities volumes took a massive hit this summer. hopefully the situation improves in the last quarter.

i dont think it is prudent to base your application decisions on "might get a quant job". These programs involve a lot of money and you should spend some time doing the research on the program and placements before you apply. The program at MIT is a very general program and I am not sure you can...

typically, traders use what is called the At the money forward. Just compute the forward price of the underlying and the strike closest to this forward price is the ATM. the point with the lowest vol is not necessarily the atm.

in practice, most exchange traded options in the US with dividends are american options. software for option market making typically use the binomial model.

i am not sure all these applicants read the financial news, say from bloomberg or ft, its a pity but it is true.

Morgan Stanley Said to Freeze Investment-Bank Hiring (Update2) - Bloomberg.com

there is no retail flow, retail pulled out of equities and funds en masse after the flash crash, so not much volume going through, there is not going to be any money to be made until there is more confidence in the economy and people put back money into equities. the volumes are so low even...

i can talk about the gmat, the gmat consists of quant and verbal and a writing component. the quant is at a high school level or less in terms of complexity and is more about time management. this i think can be obtained by practice. i guess you could simply take a free practice test online and...

you can use the gmat at Berkeley, CMU, UCLA and Princeton if not others. I am not sure you need a program to prepare for the gmat. it needs practice and you can do that by buying a few books and buying access to tests online.

thanks for all the inputs guys (and girls?), will keep these in mind if i do decide to apply to mfe/msf programs this year.

improving my skills.

haha, clever, i guess besides the obvious differences in class size (and school colors), princeton is more flexible in the course work. can you rate my chances of getting in to Princeton/CMU? gmat 770, phd in engineering from top 20 school 3 years experience in derivatives trading. thanks

Hi all, How would one rate these programs against each other? I was curious if it is better to apply to cmu only after hearing from princeton (typically at the end of february) instead of applying to both. Thanks

why are you not targeting schools like cmu/haas/ucla. They are also good schools and accept the gmat. the gmat is easier than the gre. you should be ready in less than a month for the gmat.

You can get into a role which MFEs get into with your background. If you are looking to work in HF/algorithmic trading, there is a firm in Los Angeles, madison tyler which recruited students from caltech in the past. RGM in Austin is another example. I am sure you can find other roles too. If on...

you shouldnt be so depressed. you are in a better position than most other people. moreover, its not like all mfe graduates have been able to find jobs. i would advise you against an online program. i am not sure they are valuable. if you get an online certificate, you might be able to put...

just because a person did not find a job from a program doesnt mean that it is bad. A lot of people last year did not find jobs in the US even from programs like CMU and Haas. Some did find jobs elsewhere (singapore/HK/china etc). having the columbia tag is not a deterrent at all. and i dont...

what do you mean by "retail sales"? I am also a bit more concerned on the sales and trading side of things given that volumes are very low now after a very good first quarter. No sign of these picking up any time soon.

found this on bloomberg, what do people on this forum think, especially the ones in the industry, is it a good time to apply to mfe programs? Wall Street Firms to Cut 80,000 Jobs in 18 Months, Whitney Says - Bloomberg.com

The GPA is only a part of the picture. If you are applying right out of college, it becomes very important since there is nothing much to show besides that. If you have been working for a few years or already have graduate degrees, the weight given to the undegrad GPA should be lower. It doesnt...

I guess an MBA is useful if one does not want to get billed as a quant alone. Especially in sales and trading where an MFE might get pigeonholed into doing number crunching kind of work for the traders. I am not sure I understand what you mean by schools offering a full ride and your example. I...

Hi All, I was looking at a few programs and found that NYU and CMU have combined MBA/MFE programs. Is there any point in doing both? Is it hard to get into those programs? Thanks

nice article especially since it is almost time to apply. The CMU application opens in a couple of days I think.

most MFE jobs don't need a CFA. A CFA is only useful if you are trying to get in to asset management etc (places like pimco, blackrock). Otherwise, a CFA is not very useful for quant finance/trading/financial engineering jobs. Its a nice thing to have on your resume but that's all. In the...

Is an 800 absolutely necessary? Since everyone knows that the quantitative section on the GRE is irrelevant for the MFE, do the admission committees even care. I can see that they will if it is really low, but 790 can be simply be because of a bit of carelessness.

it might be easier to write letters for mfe applicants because they are very specific (cmu's letter is an example). For mba applications on the other hand, I've heard applicants making up stories and getting their supervisors to copy that into the online recommendation form. I can see that this...

self recommendation letters I was looking at the recommendation letters for CMU MSCF and it looked very specific. I dont know how it is for other universities. Also, I heard that some applicants from outside the US as well as some within the US write their own recommendation letters and get it...

wow, 120 students is a lot and if all of them accept, it is going to be one of the largest MSF/MFE programs. I wonder if they can place all of them especially now that the economy doesnt look like it is going any place. Yep, spending >100K at CMU then becomes questionable especially with newer...

Hi, I am planning to apply to the mscf program at CMU for fall 2011. I was looking at the number of students admitted to the full time program in 2009 and it was around 20 students less than 2008 and even less compared to 2007. Does anyone know if CMU has been reducing class sizes or is it a...

Hi, I started emailing professors I knew for recommendation letters for MFE programs. I realized that since most of them don't have any time, they might simply write some generic letters for all the schools. I wanted to know if this plays an important role in the admission process. How important...

I am planning to apply to CMU too and have a possibility of choosing NYC due to personal reasons. I was wondering how the placement is for full time students in NYC compared to Pittsburgh.

hi, when do chicago and cmu let applicants know if they have been accepted?

does anyone know where UChicago students end up in, its really hard to find this info, other schools like haas, ucla and cmu list the firms where their graduates end up in but chicago doesnt seem to care.

Haas is out because of it's timing, I guess my options now are CMU and U Chicago. How is placement for US Citizens/Permanent residents at UChicago? Are there any other schools I should look at? How about UCLA? Thanks all for your inputs.

my h1b is still valid, i.e i am still working, I did a master's and phd at ucla and used up one opt, can i go on opt again? ---------- Post added at 08:33 PM ---------- Previous post was at 08:26 PM ---------- What are my chances at CMU and UChicago. Also, does anyone know how placements are...

well, the industry is dead now, it will take a couple of years to recover, so i thought i could go back to school to improve my skills which could possibly open more doors.

Just ran across this looking up some old course topics. Interesting in that there is some truth and some difference in perspective to this account. Being sold on interaction with the b-school but then finding out that won't be happening? TOTALLY true. In fact, that's one of the biggest...