Search results

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...

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...

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...

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

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 ?

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

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 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 ?

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...

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?

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...

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 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...

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.

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...

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...