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This is a real life scenario where in the market I am able to transact only A - B and C - D, even though time series of A, B, C and D are published separately. How do I find the correlation of A - B and C - D. To understand the order of magnitude: A, B, C, D are order of $50 while A - B...

I am curious with all the commotion going on at Berkeley, whether people still consider that as a good option. Every time I hear of things burning down, I wonder as back then students had to be in labs all day and night considering the program is only about 9 months. Also if someone is...

I work at a firm full time doing finance stuff but I also have my own trading company which I identify myself with. (there is no conflict of interest here, just different kind of finance) Now I am looking for other non-finance projects and people ask me for my resume. I don't want to identify...

There is nothing like final call. The scary part of any discussion is to scare the fence sitters away cause people who love it will do it anyways.

Did anyone get to see the unofficial release (read "anonymous") of the movie ? I like them seeing on big screens but this one can be worth while to watch on laptop considering all the attention the good and bad guys have given to it. I am not sure who is good and bad though. I don't want to get...

This question is for senior recruiters and other experienced people in industry I suppose. I am curious as to what is the commission of sales trader at hedge funds working solely on commission. Does he get x% of profit or does he take certain percent of capital he helps bring in ? How does it...

Used in algorithmic trading job for about 2 years day in and day out. Still do in electricity trading but not as much. But not just econometrics but machine learning as well.

Hey guys, I am going to use microsoft sql server for tick data manipulation. But I don't want to spend $3000 for buying some exotic workstation. However, I do need something more than regular PC. What kind of configuration do you recommend ? Currently I have a quad core, 8MB laptop and it often...

Thanks.

This is a general question especially for Prof. @Ken Abbott. On a prop desk, how is the risk management done for doomsday scenario. E.g. do people consider cases like NYC being hit by another terrorist attack like they have in movies, etc. How do you manage that ? Regards

So you started MBA program without knowing what you were getting into ? What makes you think that you are not doing the same with MFE ? Just liking solving a couple of books from MFE program doesn't mean that you will love your real quant life. At one point you seem to be distraught about MBAs...

If IQ score was of any value or had any correlation with $$ wouldn't wall st firms and funds be already testing candidates for their IQ. I don't know of any recruiter that does it and don't know of any successful individual who got themselves tested. Don't confuse bull market with being a genius.

Taxes. All my trades are short term.

I am sure a lot of people are day trading on this forum. Does anyone have experience registering as an LLC and hence trading under the corporation's name ?

My problem is not how to solve it but the solution in the Green Book using cos(theta) = 0.8 seems incorrect to me as I do not agree that angle between two vectors can be decided by correlation between them as has been assumed in the solution.

The question is: 3 random variables x, y, z. Correlation between x and y is 0.8 and between x and z is 0.8. Find maximum and minimum correlation between y and z. I don't think we have sufficient information for solving this. All correlation does is provides us information about linear relation...

Hi, As far as I can think, only volatility is an exchange traded asset which is mean reverting as well. Are there any other? Thanks

Just one :) Is that industry that small? I can't find anything significant through google either.

Hi, Andy said that he introduced you to Houston based recruiter in power industry. Do you have his information? Thanks!!

Interesting. There are about 50k STEM graduates in US every year. Number of engineers in US is about 2 million which would not change as much in 10 years probably. Let's say that becomes 2.5 million in 10 years due to 500k new STEM grads US. That is like 25% increase in number of engineers in...

I have been trying to find power industry based recruiters for quant roles. I talked to a couple in NYC and they said people don't want to move from here to TX so they don't have power industry type of roles. Does anyone know of such recruiters? Thanks

Does doing serious workout and being UFC fan count as being involved in sports? Occasional Jack Daniels fills all my need.

This is totally my personal opinion. I feel MFE kind of degree is good if you already have certain technical expertise in whatever field it is e.g. computer science, statistics, math, etc. Basically MFE introduces you to finance world using a bunch of mostly orthogonal courses and hence helps...

Does anyone have a sample code to read contents of a web page as strings into c++. I want to be able to run the code on visual studio 2010 so don't want to have libraries present only on Linux machines. Thanks Sak

I have two columns. Column 1 is all tickers and column 2 are various dates from 2009, 2010, 2011, etc. and I have a 1000 rows of them Is there a way I can grab the prices using some excel function in column 3 for corresponding ticker and dates. So, a function something like...

Can I use C++ Boost to do a banded matrix and vector multiplication? I did look at the documentation but soon got lost in labyrinth. Can you please post the link from documentation if boost can indeed do it? Thanks, Sak

Is anyone aware of any such implementation already available in any library of C or C++?

Just curious: what do you guys use other than Craigslist ?

If brand comes at not too much of a cost, take it. I have heard and felt it over and over again, brand helps in short run especially when you are trying to get started. Of course 5 years from now it would not really matter but it is nice to have a great start.

I don't necessarily agree to this. You school's reputation will get your networking task half easier.

The part time students already have a job. So, per se they do not need any support to break in the finance world. But, the degree would not say that you completed the program part time and there is no restriction on number of courses you can take per semester as part time. The degree...

The previous post had a great link. What about this one. I know in a limiting case FD and Trinomial trees are the same. When and why should we use FD or MC over the other? Also I have read in Joshi's book where it says MC is difficult to use when pricing American options (early exercise...

Which is preferred in different situations and why?

This is an academic exercise. I was wondering what is the simplest technique for extrapolation on the Vol surface that I have generated. I am using cubic spline for interpolation.

I am trying to write a makefile which can do the following: - compile my files: Main.cpp and Headers.h (Headers.h is called in Main.cpp and contains some header declarations) to create the executable Main.exe - compiler is g++ - after compiling, runs the executable Main.exe I did create...

Thanks for the great info guys. I have considered living in NJ but unless I find a place close to PATH station, commute would be painful. I hate the idea of taking bus and light train just to get to the PATH station. On the Brooklyn side the commute is easier due to better transportation...

Please check this website I ran into this website through one of the posting in the housing section: Explore New York City - NabeWise Apparently it is based on vote by members and has catch phrases like "crime", "cheap", etc. associated with various neighborhood.

I have been digging on the internet to know about the areas which are not so safe to live from a students perspective. I have found tonnes of information but these reviews are at least 2-3 years old. I was wondering if people can recommend good areas to live in and the areas to avoid as well...

I was wondering if someone got interviewed/grilled regarding C++ Boost while applying for Quant jobs?

Like other members here I do not agree with your arguments a bit here Mr. Traderjoe. You claim to have MFE degree but still make flat statements like "UCB is the best". I guess it is because you have no experience with the program and you did not make an effort to get an insight through research...

My Dell Inspiron 6000 is 5 years old. So far it works pretty good. There is some over heating problem and there is noise like I remember hearing from really old desktop computers back in 2000. Sort of something rotating accelerating and decelerating. I bought it when I was in graduate school...

What kind of study? Can you elaborate a little bit?

I have started this group for folks starting this fall at NYU. The name of the group is: NYU (Courant) Mathematics in Finance 2011

I am going for NYU. And the reason is the rigorous program, good placement and most importantly it fulfills the skills I desired to develop when I thought about pursuing MFE . The course material might be almost same for different schools but how they teach and the kind of skills you will...

I am in my first week at UCB MFE and I just received an admit from NYU as well. I have a preference to move to East Coast due to personal reasons but I would like to hear views from other people if I should even consider moving to NYU considering I want to work on Wall Street. Any advice will...

If Obama remain at helm, this will happen too. Leave it to him and he will make the entire world socialist world where the hardworking pay for lazy. ---------- Post added at 01:52 PM ---------- Previous post was at 01:44 PM ---------- Who doesn't have a PhD in this world? I can count more...

No school in my knowledge requires CFA L1. I applied to a number of them (including UCB) and got through as well. However, coming from an engineering background I think it was a good way to show my honest interest about MFE. In addition to that I feel at least L1 got me comfortable with lingo...

I love the MIT OCW. I wish I knew about this earlier. Berkeley's looks more like a lecture archive for students already taking the class.

The first time I took C++ course in undergrad, I was so lost that I finally decided that I am just going to memorize all the example codes. But believe it or not once I had some of the codes memorized, suddenly things started making sense. It was a great leap overnight. You might have to do that...

I have heard the career/placement service is not available for part time students. I am not sure but it will be a good idea to check into it. Personally I do not like the CMU program due to the course structure. With 4 programming courses and more during the other courses, you will throw up...

Why pick out directors....why not writers of Finance books. Take the example of Duffy, he knows the sh*t better than most other practitioner in his field but I doubt he is interested in building excellent algorithms for a trading company. It is more of interest rather than choice. It is...

No finance background but cleared it. I put in about 300 hours. I kept a record of it. L1 is not difficult. The questions are pretty basic and tests your fundamental understanding rather than your real caliber in the subject. However, you do have to put in those honest 300 hours. The challenge...

Are the work visa rules of UK not biased towards EU applicants? Meaning a company can hire someone non EU only if EU workers are not able to fill the quota or something like that.

I have heard Princeton is a bit theoretical and research type. I do not know and I have just heard it. You need to verify it for yourself. I did not apply either as I got through Berkeley before Princeton deadline. I am going to Berkeley.

EB1 is more than simply having Ph.D. You have to be extraordinary. Most of the people that I know got green card in EB1 category were Post Docs a couple of times and had a lot of papers and research experience under their belt. They were already of no use by the time they got their green card...

Well if China goes down, it might not be too bad a thing for US considering all the treasury notes and dollar it is holding, which some consider are under threat of being unloaded. If things go bad for China, it will have to hold on to those assets even if they loose all their value in the hopes...

I can't wait to read all these replies! Andy you are doing well teasing us with these one liners...jk...

More than a year ago a statement about .Net was made 'Every minute spent on learning .Net is wasted'. I was wondering if this is still true or if .Net was becoming the tool of future?

If you talk to people like Linda or Christina at UCB MFE, and similar people at other schools, I think they would be happy to pass on this link to their students. I am sure there are many students who are not aware of this forum yet and would definitely benefit both themselves and us by being...

5 programming courses from my point of view is more than enough. I guess you need some practice so that you can defend it as an expertise. I ended up liking the C++ Intro. to Finance book by Duffy. However, you will need another book as an aid as the Duffy's book covers a lot of C++ topic but...

What about adding a question about pre - program courses? Many schools do offer them and it would be nice to know it's worth.

So, where is the link to access these reviews? I am really interested in seeing what people have to say about their program.

This was long awaited. Is there a limit on the number of reviews per school or it will pile up as more and more students sign up to write reviews for their schools?

For MFE studies GRE is more popular. Some schools do not accept GMAT at all.

Personally I liked GD ranking a little bit better because they talked about various aspects (pros and cons) of different school. So, you can make a calculated judgement based on your priorities. You will have to make judgement based on talking to professors and students. You will need to compare...

Looks like NYU Poly has become some sort of burger machine for creating MFEs. 225 MFEs in one year, wow!

I don't think they are going to just reject you outright in case they are having problem verifying. You can always present your case with proper proof if there is any problem. If you worked for that company you must have some documents to prove that.

Unless you have really really strong credential otherwise, 770 is a going to drag rest of your application down.

I have heard from talking to a couple of students at UCLA current MFE batch that only about 25% of the students had internship till about two weeks before the end of quarter leading to a mad scramble among the students. At this point one of the professors with good industry contacts jumps in and...

I think the tough immigration laws have really helped India by gaining the brain back. I had started a company with two other friends of mine way back in 2007 and we were working very hard to get it successful. But the way the immigration laws of this country are, it became really difficult for...

Andy's post has links and it gives a fairly good idea about job prospect after each of these courses. But this makes me ask a question about the job profile of Baruch graduates. Can any current or past Baruch graduate talk about what kind of roles students typically have? I was also...

IMO for a course like MFE would it not be more relevant to get a letter from someone who can attest to your mathematical, etc. ability? After all the purpose of letters are to develop a better understanding into your mathematical, finance and computer science abilities. College coach is a valid...

All the negative issues have already been raised and QN folks have tried to answer them on GD forum. I am not satisfied with the answers but I appreciate their effort.

I don't think faking anything is a good thing and it should not be encouraged at all. Just because no one is watching everything that we put on the resume/SOPs/essays, etc., doesn't mean we have the license to lie and fake. Where is the honor?

It's not about the course or degree but about the job. Good schools are more desirable not because of what they teach but in my opinion more so because of good job prospects.

This is really not consistent with my conversation with a student at Rutgers. I had a long talk with this current MSMF student and at the end of it, I thought to myself I will consider joining Rutgers if I do not have an option.

So why don't you go to the head hunters right away? You have a Ph.D., you know more mathematics and computers than many of us already.

I would have been a UFC fighter I grew up in India and off course encouraged to study math and science. I did it pretty good, got into IIT (for people who know what it is) and have received couple of awards for contribution in engineering, etc. But when I first saw the UFC fight I felt if I was...

I consider my calculus skills pretty advanced but probability skills to be intermediate. So, in that case where should I start? I checked the books mentioned below but seems like they are are more probability intense and has smaller weight on calculus side. Am I right in my observation?

I have seen a lot of discussion about good books for probability, calculus, statistics but was wondering what would be a good book to learn and advance the "Calculus based Probability" skills. I am looking for an intermediate level book.

Math Softwares Matlab is good but it takes time to learn. I think it was a little bit more challenging to learn compared to Mathcad, Mathematica, etc. when I was in school. So, I would suggest go ahead and give some time to Matlab. The others are easy and you can learn them be good at it in...

I am looking for a C++ book which implements financial engineering in C++ for intermediate to advanced level. Duffy's Introduction to Finance disappointed me as it is shallow, covers everything as a patchwork and does not take the reader to a challenging level. I am trying to build my base...

I got AWA of 4.5 (63 percentile) in GRE. V - 640 (92 percentile) Q - 800 (94 percentile) From couple of posts that I read, it seems like many times students have been rejected or asked to retake GRE by top schools like Haas with such AWA score. Am I right in this kind of perception? Any...

Learn from GS and CAT Is it not that people patent only systems which can be reverse engineered. GS never patented the "process" which just recently was stolen/compromised. And I can see the reason. The code/idea changes every couple of days. Patent would just expose entire idea to the...

1. My understanding is: it should be like other resume where you try to highlight the relevant information and omit not so important ones. Relevant for MFE would be computational work, etc. 2. Any idea of the Objective section of resume? Seeking admission into MFE Program at XXXX...sounds too...