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  1. donny

    MIT MFin MIT MFin Class of 2019 Applications (2018 Admission)

    Anyone thinking of watching Black Pather a second time to distract oneself from the anxiety?
  2. donny

    2017 QuantNet Rankings of Financial Engineering (MFE) Programs

    He was just trying to be 'quant-tish' in his comment on the topic but wasn't successful. Lol. Reason 1: I can think of other things which isn't your degree that puts your resume ahead of others. Those things being Olympiad medals, publications, work experience, live track record, brand name of...
  3. donny

    Question Regarding Mathematics for Quants

    I'm also learning the different categorization of applicable math in finance but I'll comment on what I know. I think the area where you'll find ML, statistics and probability most helpful are those 10 to 20 employee ~1b hedge funds. That would be a good place for you to break in. I agree that...
  4. donny

    Are bid ask spread for Nikkei futures in bps so high?

    Hi everyone, Quick question. Based on my calculations, it seems that the bid ask spread for Nikkei futures in basis points are so high. Typically, Nikkei futures are quoted as Bid: 16,000 Ask: 16,010. Bid Ask: 10. Bid Ask (bps): 10 / 16,000 = 0.000625 or 0.06% or 6 bps. Is this right...
  5. donny

    SMU MQF (Singapore)

    Then, I gather it is hard for one to get a lucrative job if he went to MQF right after undergraduate. How many years of experience should he have going into SMU MQF?
  6. donny

    SMU MQF (Singapore)

    I do not have a Masters. I currently work in Asia. Thus, I am considering SMU MQF as a qualification upgrade for me. From the content of this thread, am I right to conclude the following: 1) I shouldn't expect a $7k+ job from a top tier hedge fund after graduating from this course? 2) I...
  7. donny

    No Longer Seeking Quant Jobs - Market is Changing

    Let's see whether I can put some real examples of the problems one will face even when they are armed with the most powerful open source machine learning library out there, one that makes them think all problems are solved. Assumption - You have a library that performs every ML algorithm out...
  8. donny

    No Longer Seeking Quant Jobs - Market is Changing

    I think the better analogy is that to be a good FBI agent, you start by first working in law enforcement.
  9. donny

    Sorting out Nikkei futures

    I'll have a go at my own question, then others can add their comments. I did some digging in Bbg. There are 4 Nikkei futures contracts. NKA, Yen denominated, traded on OSE as symbol NK225. Local trading hours. 9am to 3am. NIA, Yen denominated, traded on SGX as symbol NK. Local trading hours...
  10. donny

    Sorting out Nikkei futures

    Hi Quantnet, I need any Nikkei futures to sort out my questions. Basically, I'm doing some research on using the most relevant Nikkei futures price as a form of market sentiment. I understand that there are multiple contracts listed on multiple exchanges. Answers to my questions would be...
  11. donny

    Cloud services to backtest minute data

    In R, you can't vectorize regression where each regression uses a vector in itself. Or at least my knowledge in R believe it can't be done without loops. The problem is loop X times where each time is a regression of Y points.
  12. donny

    Cloud services to backtest minute data

    Hmmm, I repeated the test again using actual prices and the improvement wasn't as much. For linear regression of 8000 data points, repeated 5000 times using real AUDUSD and ES prices, Matlab took 70% of the time C# took to perform it. R was slower than either Matlab and C#. And I went to my...
  13. donny

    Cloud services to backtest minute data

    I did a quick prototype to test speed for C#, Matlab and R. The set up is regress y ~ x1 + x2 where y, x1 and x2 are each 8,000 randomly generated numbers. Then repeat the regression 5,000 times. Here's what I got. I'm sharing it with you since everyone else in Quantnet seems quiet. Matlab: 17...
  14. donny

    Cloud services to backtest minute data

    Thank you BurgerKing. Actually, I did a quick prototype on Matlab to backtest 10 years 5 mins with linear regression. You know what, it's obviously faster. So quick question to confirm: In general, which is faster in linear regression - scientific languages (Matlab, R) or C# with library...
  15. donny

    Cloud services to backtest minute data

    Any idea why there isn't a simple linear regression library for CUDA? I'm been searching the internet and only found - https://devtalk.nvidia.com/default/topic/494482/linear-regression-cuda-code/ A guy asked the same thing but didn't get an answer. I'm being pushed for results so if it'll...
  16. donny

    Cloud services to backtest minute data

    Thanks everyone. I heard of CUDA before. I think that's what I was looking for. Out of the multitude of options - Cuda, own C# implementation, FPGA, Matlab, R - looks like CUDA is the way to go. I trust your word on the CUDA implementation and look into it.
  17. donny

    Cloud services to backtest minute data

    Hi Quantnet, My current tasks is to backtest a 5 min bar trading strategy over 10 years. It uses regression and as expected, it's very slow. At 1 hour needed for a 1 asset 10 year result, it's obvious that I need more computational power. I have a few virtual machines at my disposal but they...
  18. donny

    "MS in Data Science" the next MFE?

    I'm somewhat agree with this statement, though it depends on the job trajectory of the person concerned. Indeed, every HF and bank needs a robust and proper data infrastructure set up. And the person who can do databases very well will always have that value to the company. However, I believe...
  19. donny

    Historical Bloomberg data has gaps?

    Hi everyone, Problem resolved. In case there are those who have had this problem, here is what's happening. For an index future, the 'A' at the end of the symbol represents the latest contract. As we're in January, this would be the March contract H6. The reason why there is low volume, price...
  20. donny

    Historical Bloomberg data has gaps?

    That's what I guessed. Would it be any use that I raise a query to Bloomberg as to why there are gaps in their data?
  21. donny

    Historical Bloomberg data has gaps?

    Hi Quantnet, I am doing my rounds downloading intraday 1-min index data using Bloomberg API. The request I'm using is "IntradayBarRequest" with eventType as "TRADE". I'm starting my downloaded from about 3 months back, October 2015. This is well within the historical data limit of 140 days from...
  22. donny

    Someone please explain backwardation (as seen in wiki)

    Added: A backwardation, again which is defined as forward price less than spot, would result if either one of these two happens: 1. Spot price increases. 2. Forward price decreases. It just can't piece how does the cost of carry result in either 1 or 2.
  23. donny

    Someone please explain backwardation (as seen in wiki)

    Hey Quantnet forum, So, I'm trying to wrap my head around this idea of backwardation. The wiki for "Normal backwardation", which they claim is the same as backwardation, quotes this: "A backwardation starts when the difference between the forward price and the spot price is less than the cost...
  24. donny

    Artificial intelligence?

    Hello Redok. I can sense and appreciate your excitement in embarking in a journey to learn artificial intelligence with the eventual goal to use it in derivatives trading. Perhaps, I can give some quick thoughts. Math and cs major here with a year plus experience in a hedge fund. I advice is...
  25. donny

    Quantitative Developer role, mid-size hedge fund, Singapore (redux)

    Hello Quants, My name is Donny. I work in the quantitative research department of a mid-size hedge fund that trades in currencies. Recently, I made a job advertisement in this exact same forum titled "Quantitative Developer role, mid-size hedge fund, Singapore". This is a redux of that because...
  26. donny

    Poster presentation = resume booster?

    That's what I'm kind of attempting now. While note entirely clear of the difference in standards required for poster presentation, talk presentation and paper publishing, which I assume for now increases in that order, I'll take what I can get. I have alway associated paper publishing as a...
  27. donny

    Poster presentation = resume booster?

    Hey Barny, Thanks for your honest response. I would agree with you that anything less than a presentation for 2nd year PhD students and beyond will come across as amateurish. I just hold a Bachelors so in a way I'm actually quite excited if this upcoming poster presentation comes through. You...
  28. donny

    Poster presentation = resume booster?

    Hey Quantnet forum, This is Donny here, Duke '12, hedge fund developer 1+ years. May I have your quick take on the following. Assuming I was given the opportunity to have a poster presentation on my original trading idea at one of the leading quant trading conferences, should I do it? It is...
  29. donny

    Quantitative Developer role, mid-size hedge fund, Singapore

    I'm not sure how much I should divulge without revealing the vital secrets of trading either in my firm or in the industry as a whole. Nonetheless, since I want to be a good ambassador of quants in Singapore, I'll comment on what I can. 1. http://www.hera-capital.com/...
  30. donny

    Quantitative Developer role, mid-size hedge fund, Singapore

    Update: There's been a healthy number of resumes streaming in. We are still in the stages of short listing good candidates. I suspect the period of doing this will last a few more weeks. In response to the above: 1. I am in no position to divulge the compensation package. Nonetheless, I will...
  31. donny

    Asset Managers and FoF trade allocation to other HFs?

    Hello Quantnet, Amidst my exploration in the world of finance and trading, I got two somewhat related questions that could use some enlightenment from the other more experience financiers out there. It is concerning asset management (AM), in particularly fund of funds, and their relation to...
  32. donny

    Quantitative Developer role, mid-size hedge fund, Singapore

    Feel free to make informal queries on the role by replying this thread. I'll divulge further information so long it is within protocol.
  33. donny

    Quantitative Developer role, mid-size hedge fund, Singapore

    Hello Quants, My name is Donny, Duke ‘12. I work in the quantitative research department of a mid-size hedge fund that trades in currencies. Currently, we are exploring the possibility of new proprietary trading strategies that leverages on some mathematics and novel algorithms. In order to do...
  34. donny

    Is multi-timeframe backtesting proprietary?

    Thanks. Anyone else have other views? I don't want to go enthusiastically saying I can do multi-timeframe backtesting and have responses of "Oh, I do that too with XXX package."
  35. donny

    Which software use quant developers (and why they do not use metatrader ninjatrader etc)

    Hello Thai Nam, I'm actually asking about this on a separate thread. I seem to get little responses maybe because what programming language a fund uses is an indication of their trading secret which they obviously don't want to divulge. I'll make my two comments: 1. I feel that as...
  36. donny

    Hidden Markow Model

    I attempted to implement a hidden markov model as I found them really interesting. My take, this is one of the strategies where you really need proficient coding skills. I got stuck at the part of using dynamic programming to update the transition probabilities. If I recall correctly, there...
  37. donny

    Is multi-timeframe backtesting proprietary?

    I'm NOT asking the how. I know how to program such a strategy! In fact, my ability to do so is the motivation of this question. I'm asking whether does third party backtesting software, for example Ninja Trader, CQG, CMC Markets, allow one to do that. Can you go up to CQG and do this "apply a...
  38. donny

    Is multi-timeframe backtesting proprietary?

    Hello Daleholborow, Yes, I'm aware that there are a range of third party software that does backtesting. That's my question exactly. I am being specific. What's your take on these software being able to backtest MULTI-TIMEFRAME strategies in ONE pass. This obviously means programming over two...
  39. donny

    Is multi-timeframe backtesting proprietary?

    Hello quants, I would like to ask your opinion on something simple. Is multi-timeframe backtesting proprietary? Specifically strategies involving price action and indicators on 60 min and 5 min charts simultaneously over batches of say 5 years. Put differently, is there robust software in...
  40. donny

    Availability of Level 2 Forex data from banks

    Hello Quantnet, I need your quick opinion on something. Given that I'm a hedge fund, do you think it's possible to get level 2 forex data real time from the banks? As in, can I give Barx a call, set up a live feed, and have streaming in their order book for all the major currencies. To my...
  41. donny

    Systematic Trading - there are secrets to the trade

    Hello Quantnet friends, This is Donny again, your friendly quantitative developer in Singapore. It's been a year in my hedge fund and the ride has been great. I've learnt many things one of which is that systematic trading isn't as easy as I thought it would be. Here are my common...
  42. donny

    SMU MQF (Singapore)

    The programming module might need some reworking.
  43. donny

    Aerospace Engineer To Quantitative Analyst?

    I second alain's first reply on this. I feel that if you have a PhD in Computational Fluid Dynamics and have been solving partial differentiation equations to get there, using C++ and Fortran no less, your knowledge and intellect should be sufficient for most quant position. I guess now its a...
  44. donny

    MPI/OpenMP/High Performance Programming

    I also curious about this topic. I feel that its logical hedge funds start to adopt this technology. For instance, you probably need calculate the most likely path (Viberti) in your HMM whenever your data refreshes every 30 secs. A normal computer probably won't do it if you have too many states...
  45. donny

    A Day in the Life of a Managing Director Market Risk

    Then it would be - Soggy Flatbread - urrrgh
  46. donny

    Would you really say "Martingale" in a Quant meeting?

    Hello all, To Ohad, I have yet to start. I'll start work January next year. It's quite a different feeling, walking around campus knowing for sure that I'll be doing real stuff in the real world once I take my last examination. It as though it's my final game in NCAA, where textbook stuff...
  47. donny

    Would you really say "Martingale" in a Quant meeting?

    :D The participates of your meeting will most probably think you had a lovely bird watching session during the weekend that just passed.
  48. donny

    Would you really say "Martingale" in a Quant meeting?

    Hey friendly QuantNet community, This is Donny here again, the guy grateful for each of your comments about 2 months ago which made him ultimately decide to take a hedge fund job in Singapore. In my final semester in college, I decided to enroll a class on "Measure Theory" - yup, a class...
  49. donny

    Singapore hedge fund vs Wall Street aspirations

    Major in Computer Science and Mathematics. Prominent classes include algorithms, operating systems (includes multithreading), numerical analysis and stochastic calculus. I didn't have economics classes. That came through reading.
  50. donny

    Singapore hedge fund vs Wall Street aspirations

    Hey guys. I just wanted to let you know that after much consideration, I decided to take the job at this hedge fund in Singapore. While it is not New York, I feel very good about this. Given that this will be my first full-time job, I couldn't have asked for a better opportunity than this - a...
  51. donny

    Singapore hedge fund vs Wall Street aspirations

    Hey marina, I am not sure to what degree you are referring to when you say "does not exist". Take this hedge fund for example. Arisaig Partners (http://www.arisaig-partners.com/). They originated in Singapore and the last time I checked, their AUM is 2 billion. Essentially, they are the largest...
  52. donny

    Singapore hedge fund vs Wall Street aspirations

    Thank you marina for your opinion. These are some of the questions I was seeking answers to a year ago, a time when my search for a quant job began. Now having been in the industry for measly 3 months, here is my humble opinion about the scene of hedge funds in Asia and where I stand. 1. Hedge...
  53. donny

    Singapore hedge fund vs Wall Street aspirations

    Yup, "New York New York". Kind of the reason why I started this whole thread. On a serious note, the consensus seems to be take a job. After reading through the comments, especially alain's, I do indeed feel that this is feels right. I love this place and yes, it is a good fit. And even though...
  54. donny

    Singapore hedge fund vs Wall Street aspirations

    Hey MFEgrad. I know that! It's Frank Sinatra's. I listened to both jazz and rap. :)
  55. donny

    Singapore hedge fund vs Wall Street aspirations

    Thank you Alexei. Your point is noted. I was leaning towards that direction. Being a Singaporean, I love the city. And now, I would get the chance to love my job. I am going to think it through a few more days. School starts in September than given the niceness of my bosses, I should get back...
  56. donny

    Singapore hedge fund vs Wall Street aspirations

    To alain and Alexei Smirnov, May I kindly ask what you mean when you say "take the money"? All I can safely say is that this Hedge Fund gig pays a good salary and I'm quite confident that my year-end bonus is linked to my PnL. Having said that, it's a game of smartness in finding a good trading...
  57. donny

    Singapore hedge fund vs Wall Street aspirations

    Hello helpful traders / quants at Quantnet, The last few weeks has filled me with anxiety as I have to make a choice that can greatly affect the next few years of my life. I have been interning at this Singapore hedge fund (about half a billion) over the summer. On same random Tuesday, the COO...
  58. donny

    PhD is a waste of time

    Exactly ... but it still begs the question: How should the aspiring quant go abouts his preparation in quantitative trading. Do a one year MFE or MSc or do a four year thesis in Numerical Analysis and / or Stochastic Calculus. If everything in this thread points towards MFE to have more relevant...
  59. donny

    PhD is a waste of time

    So really ... PhD in math NOT the path to quantitative analyst After reading this thread, I thought that this is the most opportune time for me to interject. If the PhD is a waste of time and if Masters is the way to go ... does that mean I can eradicate all stories about all those math whizs...
  60. donny

    Which maths area should I go into?

    So I'm guessing most abstract math is out the door? This discussion is great and highly relevant to me. I'm in a very similar position as the original poster squishy. I want to be a quant, am heading into the spring of my junior year, so have a choice between abstract math and more practical...
  61. donny

    REU (topology) good if want to be quant?

    Hello QuantNet forum members, It does seem I have a good chance getting this REU in the summer of 2011 doing research in topological field theory at one of the UC colleges. Should I take it if the job I desire after I graduate is a quant (developer or analyst). I am a Junior now so this will...
  62. donny

    Spring semester classes for potential MSc candidate

    Hello QuantNetwork, I hope to enroll in a Master in Financial Mathematics program in particularly Stanford's or Columbia's one. With spring selection of classes drawing near, here is what I go for classes. I'm in my third year and done most fundamental math / Compsci classes namely...
  63. donny

    Law intern experience worth it for Quant?

    Hello Andy. Thanks for the reply. I totally get what you mean - internship is good. relevant internship is better. The website advertises themselves as providing "a full spectrum of legal services which include corporate finance, mergers and acquisitions, litigation advice." In terms...
  64. donny

    Law intern experience worth it for Quant?

    Dear Quantnet, I am an aspiring quant and have a quick question regarding resume building. I have a short law intern opportunity this coming Winter, Dec to Jan, and wondered would it be worth it take it. It is in Singapore, at a 20-year old law firm, and I'll be doing 'Commercial Litigation'...
  65. donny

    Does a 3.47 who loves quant get a chance?

    Maybe the slimmest of chances ... Hello. Thanks for your prompt responses. I thought its protocol not to disclose such details, but to add fuel to the discussion, it's one of UChicago, New York University or Duke. Many people has been telling me that MSc is the usual route. However, I don't...
  66. donny

    Does a 3.47 who loves quant get a chance?

    Hello Quantnet People, My name is Donny, a junior math major. Last semester was a career discovery process for me. I took 4 classes, attended careers fair, read tons of forums and articles, and I've made up my mind: I want to be a Quant ideally after my Undergrad. Be it the money, the...
  67. donny

    Aspiring Quant - the math way or the econ/finance way?

    Hey Joy Pathak. So I was reading your reply and correct me if i am wrong, the conclusion I seem to make is that these highly scientific highly advance mathematical techniques aka the ones I mentioned, Machine Learning, PDE, Signal Processing, are only present in the corporate firms such as DE...
  68. donny

    Aspiring Quant - the math way or the econ/finance way?

    Thanks so much for the reply guys. I find this quant network to be highly supportive in the community. So looks like I've made up my mind. I'll go with numerical PDE and adaptive filters. Since the A.I. course isn't taylor to Machine Learning, there's actually a separate Machine Learning...
  69. donny

    Aspiring Quant - the math way or the econ/finance way?

    Here is an outline of what I'll be learning in the class. CPS170 At first I thought, AI/Machine Learning in trading? Not much of a clear connection. Then I thought to myself. If I were to really build an automated trading system that made decisions based on the information received and not...
  70. donny

    Aspiring Quant - the math way or the econ/finance way?

    Hey guys, Thanks for the reply. So looks like it's gonna be Numerical PDE, Adaptive Filtering and Artificial Intelligence for me. Yup, most of the points you guys mention was exactly what I'm thinking, that it is easier to read up finance on your own than it is to go through programming...
  71. donny

    Aspiring Quant - the math way or the econ/finance way?

    Time classes and course load classes. Feedback on choosing 3 out of the 4 will also be me a good indicator on how really applicable are these highly scientific and mathematical in the area on quantitative finance. For example, can I come out of a 'Adaptive Filters' class and tell myself all...
  72. donny

    Aspiring Quant - the math way or the econ/finance way?

    Good Morning Quant Network, My name is Donny, a math major from a USNews top 10 college. Through some reading, talking to people, and classes, I have set a path to be a quant when I come out of college. I realize that my love for math and my love for gambling (I find Texas Hold 'em a...
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