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  1. joe_bradley

    Trading models: from Excel/VBA to C++/C#

    Wow, that's a pretty tall order. I've found myself backed into that corner a few times - people write business-critical logic in excel, and I've wanted to pull it out and reuse it without the excel. But I'm not aware of any tools that do this. And it's never been painful enough for me to do real...
  2. joe_bradley

    Sylvain Raynes: The State of Financial Engineering

    Just my $0.02 as someone who took both of Prof. Raynes class - Prof. Raynes frequently indicated his dissatisfaction with "business as usual" in finance in his classes, and you could figure as much by reading the R & R Consulting blog. I doubt any of his former students would be shocked at this...
  3. joe_bradley

    VC++ 6.0 or VC++ 2005??

    Agreed. VC++6 is horribly out of date by today's standards. You may pick up bad habits by using old C versions. As I recall, IDE support for the STL is lousy and you'll never get Boost to compile. Both of those will be needed once you get past beginner stages.
  4. joe_bradley

    tSQL - Transpose rows to columns

    Hi Andy, You've probably figured that there isn't a straighforward command to do this. If you are *forced* to do SQL queries to produce a "crosstab" report, you can try something like this: (excuse me if my syntax is rusty; I don't do SQL enough to know the syntax off the top of my head)...
  5. joe_bradley

    Integrate C++ program into VBA

    Ah Alain, you are mistaken. The original execution, as I saw it, was brilliant. Here's how it worked circa 1998: 1. Contractor with C++ experience but no COM expertise hired to work on code maintenance. 2. Contractor, wishing to accumulate valuable buzzwords for his resume, immediately suggests...
  6. joe_bradley

    C# or C++

    I came neither to praise fat clients nor bury them. I just wanted to point out that it is usually IT management considerations, not technical ones, that indicate whether you use a fat or thin client. That being said, I work for an ASP so perhaps I'm biased. Also, this subject is a bit academic...
  7. joe_bradley

    Interview with Dominic Connor

    Someone above said "Americans are avoiding the [MFE] field". As a paleface midwesterner who's spent much of my life as a practicing engineer here in USA, I would say most engineers and software folk are "avoiding" the field through obscurity. Not a lot of people in technology know such a thing...
  8. joe_bradley

    C# or C++

    Thin client apps not the future? Hmmmm tell that to companies like Salesforce. Tell that to Microsoft, which is pushing the daylights out of Silverlight. Most programming is done within companies; it isn't shrinkwrap. Web applications have the ability to push out updates and keep everyone on...
  9. joe_bradley

    Job market forcast for 2008: It's not all doom and gloom

    Quanster just confirmed what everyone else has been telling me. Unfortunately, I get the idea that most MFEs (like myself) are less schooled in econometrics, market microstructure and the stuff most automated trading houses care about. One wonders if that particular market would be equally tight...
  10. joe_bradley

    Triple Crown - Kentucky Derby

    Statistics, yes. There's loads of statistics in horse racing, and naturally lots of models and experts telling you where to bet. But quant stuff? Seems you'd actually need a secondary market. Betting odds do change as the race approaches gate time, so that isn't out of the question. But I can't...
  11. joe_bradley

    Triple Crown - Kentucky Derby

    Aha, I am a Louisville native! I HAVE to like horses. You're right about the gate draw. It is absolutely ridiculous that the Derby has such a friggin' big field (20+ horses!). It throws too much luck into the draw. And of course, it makes Triple Crown winners that much rarer. Problem is, horse...
  12. joe_bradley

    Job market forcast for 2008: It's not all doom and gloom

    I can vouch firsthand that at least from my POV, things seem to be quite a bit stronger in Chicago than here. A lot of the openings I came across seem to be there. I will say though, that they are looking for more experienced people. One headhunter I talked to expressed that a lot of the firms...
  13. joe_bradley

    New York vs New Jersey

    To tack onto what Gus said, if you've got young kids (or no kids, even) then Forest Hills in Queens is a good bet as well. The neighborhood has a lot going on without being overwhelming, and there are a good number of private/parochial schools around. As far as what property costs, I have no...
  14. joe_bradley

    Is there any impact to quant career prospect by subprime crisis

    Alain's answer is a truism no matter what the market conditions. However, it depends what is meant by "if you are good." Your answer does not indicate what timeframe you're talking about. The current market for newly-minted quants breaking into the business is foul. One headhunter I met with...
  15. joe_bradley

    hi, everyone, I need some advice : statistical arbitrage

    Hi Yuri, I know those sorts of models may sound like baby stuff... however, in the interviews the thing I kept hearing about repeatedly was execution time. If that is the case, it could very well be that the underlying models are just simple, it's just that they need them to run extremely...
  16. joe_bradley

    hi, everyone, I need some advice : statistical arbitrage

    There is one particular type of quant jobs that is much more statistical than all the rest and the math for it is completely different than your typical quant job. If you work in statistical arbitrage (a.k.a. "stat arb") or in other high-frequency trading areas then you'll be using a lot of...
  17. joe_bradley

    C# or C++

    On the surface, that sentiment seems reasonable. Unfortunately, I doubt it will convince any of the senior quants who are actually running a quant shop. This has been discussed before. The problem is that for someone who is already good at C++, any gain you have by switching to C# is pretty...
  18. joe_bradley

    DISCUSSION on second rated MFE programs

    What, no off-topic c++ rantings? Awwwwwww... :smt019 Ok. Andy has a good point about placement. However, I can point out that placement records can be unobjective or even fudged for something like an MFE. If a school has 100% placement, does that mean everyone got a quant related job? Or merely...
  19. joe_bradley

    Baruch MFE Baruch MFE Part-time vs. Full-time Questions

    Let me add one more note of agreement with Andy. The only reason you'd want to do part time instead of full-time is: 1. If you can't forgo the income AND 2. You have an existing career path you intend to leverage and you don't want to "get rusty" by going to school for a year and a half...
  20. joe_bradley

    DISCUSSION on second rated MFE programs

    I wish I could work in those cool newfangled languages but... Regarding the assertion that comp sci programs shouldn't teach "vocational" languages, but only new things worthy of Serious Study: There is a massive differential in what languages are seen worthy of serious research and...
  21. joe_bradley

    Interview with Dominic Connor

    More questions First of all, I'd like to thank you on behalf of anyone who's read your excellent and rather volumunous guide to quant careers. I'll try to avoid asking something you've already written up in that. 1) A lot of the openings I'm finding are in Chicago. Any advice for someone who...
  22. joe_bradley

    Are online quant job ads BOGUS ?

    I don't know if they're fake. There certainly is a lot of "fishing" going on though. First of all, avoid the big sites. Even the more specialized, reputable sites have their problems. I've recently given Dice a shot since I've had good luck with them in the past and they do have quant jobs...
  23. joe_bradley

    MS VS IDE mysteries

    I'm not saying there isn't one. Honestly I didn't investigate. I've been using VC++ since ummmm 5.1 (or was it 4.1 *gulp*) and just had too many bad experiences with cloned projects that just don't quite work. Maybe there is a new way to do these, but you said earlier that when you saved it to...
  24. joe_bradley

    MS VS IDE mysteries

    My approach may be thoroughly unhelpful, but what I've done in the past is just copy the .csproj (or whatever it's called) and hack the file to agree with the new name, then create a new blank .sln and pull in the new .csproj into it. Thank goodness Microsoft isn't using binary files for this...
  25. joe_bradley

    Death of VBA Greatly ExaggeratedIn

    I think one issue is wishful thinking by software developers used to working with other more ummmmm "standard" languages. Every engineer who has had to use it can rattle off a list of "missing" features in VBA. But VBA will not die so long as there is a spreadsheet in circulation with your name...
  26. joe_bradley

    What is the next programming language you want to learn ?

    F# does indeed seem very interesting. One thing that may be good about F# is that if you have a problem that can be expressed well as a functional language, you may have an easier time selling this if the rest of the shop is using C# because (I'd presume) language interoperability is a complete...
  27. joe_bradley

    Scripting languages

    Back to scripting languages... one thing that drives me nuts is the total lack of type-safety, and unless you have some sort of lint-type checker, you don't have the level of checking that a compiler gives you. I still cannot figure out why anyone would think its better to find a bug during...
  28. joe_bradley

    Reviewing quant recruiting firm/headhunter

    I think maybe a better angle for this thread might be "how do you tell a good headhunter from a bad headhunter when you get them on the phone?" The horror stories I hear always seem to be about large companies, and when someone singles them out in a forum, someone else always posts a response...
  29. joe_bradley

    Congratulations Alain and Wendy!!!!

    CONGRATULATIONS!! Your live will never be the same again. (*sinister laugh*) Bwahahahahahahahaha... Seriously though, you're in for a great time! Enjoy. What's his name?
  30. joe_bradley

    An interesting twist...

    I have a question for Sam, partly out of curiousity, but partly for selfish reasons, as me joining a small company isn't out of the question. My question is, do you know how many more senior people will you be working with? Is it just one or two? And to everyoe else, if that is the case, is...
  31. joe_bradley

    SQL is really boring do we need it?

    I can't speak as a quant, but speaking as a developer, there's something to be said about knowing SQL well enough to get the job done, just to force yourself to think differently than you would for a procedural language. For programming skill and mental flexibility, there's something to be said...
  32. joe_bradley

    Math quant jokes

    And on that note: There are 10 kinds of people out there. Those who know binary math, and those who don't. :-&
  33. joe_bradley

    What are your favorite Wall-street themed movies?

    John, I love that particular dialog you just posted. My nomination is "Pi: Faith in Chaos". It's about 10 years old and the film was considered experimental at the time - the low-budget indie quality may seem a bit dated now. The wall street angle is that if you keep looking at randomness...
  34. joe_bradley

    Franklin's thirteen virtues

    When my wife was pregnant, one of the names I wanted considered for my child was Ben, after Ben Franklin. Particularly because of his philosophical and religious outlook. Unfortunately I've heard from some circles that he wasn't too known for sticking too closely to #12 on his list too closely...
  35. joe_bradley

    On Line Courses on Financial Engineering

    RMS = Richard M Stallman :D just kidding Yuri, you've got a point. As for me, there comes a time when flailing around on a problem by yourself is no longer getting you nowhere. Depending on the subject, if I'm not getting anywhere in a half-hour I need to get help or sleep on it b/c my time is...
  36. joe_bradley

    On Line Courses on Financial Engineering

    I've actually taken 3 courses online (non-MFE) through UC Berkely, and I presume my experience is similar to other online courses. They have their plusses and minuses. Sam Harris did a good job pointing out some of the plusses. One minus that nobody talked about is that the self-paced nature of...
  37. joe_bradley

    MIT-Press piece on quants, CDO-meltdowns

    In my (admittedly less-informed) opinion of this, Gus is spot-on in his analysis. You can be smart enough to spot a problem - even in your own creation - and still not have the political wherewithal / moral courage / whatever-it-takes to do something about it. Quants get blamed because these...
  38. joe_bradley

    Using C# in Excel

    Unfortunately, C# is not "integrated" into office, something you no doubt found out already. I believe the next version of office allows this, but even so that will not help everyone, there are many spreadsheets out using copious VBA code there that cannot be retired, so they will lurch onward...
  39. joe_bradley

    Using C# in Excel

    There is a thread out there that already discusses a little of it: Integrate C++ program into VBA Are you asking because this is something you have to do? Also, do you want to use C# as a replacement for VBA macros, or do you want to call the Excel object model from a C# program? Those are...
  40. joe_bradley

    WSJ - Why $100 Oil Can't Float

    Regarding reserves, and how this impacts the price, the question is - how long term are we talking here? The article seems to concentrate a lot on the short term, and some of what they say sounds reasonable; I don't know, it's been a few years since I worked in the business. In the long term, I...
  41. joe_bradley

    Question about Kurtosis

    I presume it depends where you look in the tail. You have to look outside a few standard deviations. If you look at a leptokurtic distribution and compare it with a platykurtic distribution, the tail does indeed look skinnier - close to the mean. But if you go further away, the tail doesn't...
  42. joe_bradley

    NYU Career Fair discussion

    If it's any consolation to anyone else out there, I didn't get a lot out of it either. I had two tentative interviews with headhunters and both fell through, apparently last-minute cancellations. One electronic trading group did interview me; the particular firm interviewed quite a few other...
  43. joe_bradley

    What you want to do 2 years from now ?

    There is a lot to learn in this industry. I'd be happy if that in the next two years, I just get really good at my new career - good enough to stay in this industry for the next twenty years and make a difference. As far as longer term, I like Bob's idea. I think I'll steal it. If over the...
  44. joe_bradley

    Pursue PHD?

    Hi, I had to go through with that. 1) As far as "should I do my PhD", I would respond, do it if and only if you think you will enjoy doing a PhD. If you're going to crunch numbers, I've heard no clear answer whether or not you make up your opportunity cost if you get a PhD. But if you want to...
  45. joe_bradley

    Location Arbitrage

    Bah, humbug. I owned a car for years in the city. Alain's right though, it depends where you live. Check out some of the "boring" neighborhoods in Queens: Jackson Heights, Forest Hills, Kew Gardens, etc. All are 1/2 hour or less from midtown by subway. Live there and you're talking about rents...
  46. joe_bradley

    How do you do this in VBA ?

    I want to second hienqnguyen strongly. Use a text field or a dialog. If you're stuck on getting a password format within a cell, good luck. I don't think it's there; I've never found any sort of mechanism for doing it.
  47. joe_bradley

    Location Arbitrage

    The numbers are insane and I don't know if they have anything to do with how people actually live in NYC, and elsewhere. I still recall an article that compared cost-of-living for a couple in New York versus Houston... the "representative" family from New York had a large apartment in the West...
  48. joe_bradley

    C++: Inheritance and Overloading

    "If that's the case, I can't create a function whose return type is Base Class, such as operator=, because one can't return an abstract type." I think the deal with the operator assignment is that it is doing a reference return. It passes back a Matrix&, not a Matrix. True, you can never return...
  49. joe_bradley

    C++: Inheritance and Overloading

    Ok, I'm confused. If I understand this, you're trying to do a "deep copy." You say "the copy constructor is easy" but have some trouble with the assignment overload. Actually, the code for the two should be nearly the same. If you're doing a copy constructor, you want to return a brand new...
  50. joe_bradley

    What was your undergrad major?

    Rockefeller, To chime in with what Yuri said about age, it definitely applies for certain MFE *schools*. The job market is another thing. I know of one person who didn't get into a "top-tier" program and he was actually able to talk to someone there about why he didn't get in. They did confirm...
  51. joe_bradley

    The Master Happy Birthday thread

    Wow. I don't check into quantnet for a day and this is what happens :-P Thanks everyone. Even in my advanced age, I have no words of wisdom for you on by birthday. You know that 'older but wiser' thing? Doesn't apply here :-D
  52. joe_bradley


    While you're at it, toss in R. GNU R is the free/open-source equivalent to S-plus and I hear it's pretty competitive in terms of useful functionality. In any case, for any sort of stuff I want to do at home, I suppose I'll -have- to learn R since the price is right.
  53. joe_bradley

    Remembering 9/11

    Working at my then-new job. Our company was then located in the shadow of the Empire State Building. After the second plane hit, we were all quite nervous since we knew if there was a plane #3, we knew -exactly- where it was heading. I didn't leave until about noon, when things were settled at...
  54. joe_bradley

    Are you readyyyy for some football ?

    Some of you that didn't grow up in the States may not be aware of some of the distinctions between baseball and football. So I feel obliged to forward to you this little explanation, courtesy of the great philosopher George Carlin...
  55. joe_bradley

    Fortune's Formula

    I picked up the book Fortune's Formula by William Poundstone due to an Amazon recommendation. I found it quite enjoyable. I'd recommend it for "light" reading, even though it isn't directly about quantitative finance (at least anything taught here). The formula referred to in the book title is...
  56. joe_bradley

    Q/A with Todd Fahey (Quant Headhunter)

    Hi, A specific question from me, and an aside. Todd, when Alain asked about career-switching, you indicated the advice would have to depend on what we're doing now. I'm more interested in this. As for myself, I have a heavy programming background (about 15 years exp. w/ Phd). I know there are...
  57. joe_bradley

    Debugging problem(help needed)

    A few things that immediately come to mind: 1) If I understand your earlier post, you were able to debug a "hello world" program, correct? It sounds to me like it probably isn't your Visual studio debugger then. More likely it is the program. 2) For the particulars on the program, are you able...
  58. joe_bradley

    Fed Ex-Chief Greenspan To Advise Deutsche Bank

    He's MAKING the markets behave irrational? Fine by me. Where would be work if the markets were 100% rational?
  59. joe_bradley

    Vista vs XP

    There are LOTS of programs that don't work under vista, but they aren't the major programs. The reason is obvious if you're a software developer at the other end. First off, corporate users are still on XP so your client base isn't screaming at you to get this work done. Secondly, it's thankless...
  60. joe_bradley

    Alcohol use helps boost income: study

    I too am skeptical of this. Did the factor in the fact that many teetotalers are in the rural areas or the deep south, where incomes tend to be much less? Or the fact that some teetotalers are former alcoholics whose careers have suffered damage already? Etc. etc. Of course, you probably have...
  61. joe_bradley

    Functional Languages

    Regarding which one is supported by .net, F# is a microsoft product built on top of .NET, so obviously it's got that going for it. There's one catch: AFAIK it's a beta product from their research group, so there's no guarantee that is going to see a commercial release. I'm not aware of .NET...
  62. joe_bradley

    More free publicity for Baruch from the trading contest

    I got my IEEE "Spectrum" magazine - that's the magazine of the Institute of Electrical and Electronic Engineers - in the mail today. Actually a very good magazine, but not exactly a place I'd expect to hear about Baruch's MFE program, eh? Check this out: IEEE Spectrum: The Trading Test That's...
  63. joe_bradley

    How many courses/semester can one handle ?

    If you have a demanding job (i.e. the typical 50-hour programming job), and if you have any sort of life, stick to 2 classes. It also depends on the classes you are taking... for instance, I would not try to do Probability and two other classes on top of that. But if you do programming for a...
  64. joe_bradley

    Housing info for international students

    Regarding the neighborhoods you're asking about Hi Yiping, I lived in Queens for several years. Of the neighborhoods you mention, Elmhurst is the most convenient to the city. Not only is it the closest, but depending on where you are, you may be able to access two subway corriders (both...
  65. joe_bradley

    Global Derivatives Website

    Hi, I saw the same sort of stuff in the engineering field, and it usually worked like this: If someone says: "If you can't go to a big-name Ivy League school, might as well not go at all" He means: "I went to an Ivy League school." If someone says: "I find the students at [state university]...
  66. joe_bradley

    Hedge fund risks worst since '98 crisis, Fed says

    I hate to be the curmudgeon here... after all, I hardly am a season financial expert, having come in from a different field. But the article that was replied in response doesn't directly address the original post. Admitttedly, the most salient point in the original post was somewhat buried. The...
  67. joe_bradley

    Is one C++ programming course enough?

    There is a fact that someone should point out, if it hasn't been pointed out already, lest anyone think that knowing your way around VBA will be your be-all and end-all for programming. VBA is used by Excel 2007 and previous versions. However, I do know that Microsoft is shifting towards an...
  68. joe_bradley

    Fortress - the future math programming language ?

    In case any of you are following this thread, I spotted this article in IEEE "Spectrum" magazine: http://spectrum.ieee.org/jan07/4837 This describes a platform (the company's name is RapidMind) which uses an extension to C++ to automatically schedule and handle tasks in C++. If this is...
  69. joe_bradley

    Is one C++ programming course enough?

    It's not just "C++ courses" that count Someone earlier in the thread said the best way to program is to practice. I couldn't agree more. Someone can teach you the basics, but you aren't going to learn it from lectures. So I have to point out that the courses in the program do have a lot of...
  70. joe_bradley

    Fooled by Randomness

    I also liked the book, although let me point out that this is a "mass market" text, and this give nothing but the broadest overview of Mr. Taleb's trading strategy. I don't know if it was necessarily supposed to impart particular financial knowledge. Rather, it's just a very long essay series on...
  71. joe_bradley


    Caution on Ubuntu 6.10 (as opposed to 6.06) Hi, Just an FYI for people who are installing Ubuntu... the previous version 6.06 may be of interest to you. That particular version is under something which I believe is called "long term maintenance". What that means is that particular version...