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I think math/models can help us prepare for it a little bit better, but they can't predict or prevent them. I think the development of the model really comes down to wisdom. Back in 2007, it was customary to exclude tail cases from economic statistics as outliers and to assume that most random...

Quants often have relatively nice lives but there are some caveats that vary by firm. The caveat is that we are often surrounded by people who make more than us. On the sell side we often have to operate as geeks in a very non-geeky culture. On the sell side- at least on the trading floor-...

The problem, again, with MIT is that it is a very, very young program. If OP were straight out of undergrad he'd have an excellent shot but his age hurts him here. OP would fare a lot better with CMU and NYU IMHO. If he were a trader at a BB in India, he'd also do well with Princeton...

Hang Gliding (USHPA Hang 3 Pilot) SCUBA diving off the NJ Coast, Long Island, and in Lake Michigan Some motorcycle racing I exercise some. We are the one profession in banking where you get paid pretty darned well, get a lot of free time and don't have a high-stress job.

You're clearly in the running for CMU's MSCF program, but you are a little old to be starting at MIT in 2015. MIT is a younger program that prefers to focus on placing people in the sell-side rather than the buyside. You clearly have a very interesting background for finance. It is possible...

Well, this sure beats my attempt at forming the "US-born Students' Stochastic Calculus Club". We only got two members and nobody could help us understand what this Calculus thingy was until we allowed foreign students to join. :) (I hope this joke managed to tiptoe through the cultural and...

Well, now I have some ammunition against the doomers. The best indicator of population collapse is decreasing wealth in the face of rising population. That doesn't seem to be happening in our case.

Sure. A front office job in banking is Research, Sales, Trading, or working on some deal team in M&A or IPOs ("Investment Banking Division") They are the people who talk to clients and make money for the firm. Quants work in all of these divisions. They can also work in risk management or IT...

MIT is a stronger program if you just want a front office banking or consulting job. Columbia has a great program, but it's getting too confusing with their plethora of graduate MS degrees. MSFE and MSOR are both great programs. MAFN I believe has a lot of part-time students who are working...

Oh come on. Most quantitative PhD programs are as selective as Princeton MFin (not Princeton PhD). If you got a funded PhD, you are not allowed to put people from master's programs in a separate camp than you. (It would be a lower camp) :) One other thing you need to be working on is written...

I would take a class in derivatives pricing. At a US-based school, this would typically be a 400 level class and a bunch of business majors and finance people will invariably be complaining that it's "impossibly hard". The day after your professor introduces the Black-Scholes formula and...

CS+ Stats or Math + Stats are a powerful combination. If you really want to work for an insurance company, there is nothing wrong with Actuarial Science, but you will have no trouble finding a job if you study Computer Science and can pass a coding interview.

Fixed that for you.

At an established tech firm you will be working on a specific aspect of a specific problem. Projects will run for months. There will be a lot of testing. At Google, you're cruising along in a Cadillac convertible; the top is down, life is a breeze. In finance, projects run for 48, maybe 72...

Hi. You read one of my CVs. I can't speak for everyone at Princeton but I for one have no idea what I'm doing when it comes to C++. Yes, I was the CS major who worked as an analytics programmer and then a desk developer. When I started at Lehman in 2007, I had no idea what I was doing with...

I hate to be mean, but the words "caliber" and "Career Services" have never gone together at UIUC, at least as long as I can remember. Look, there are some helpful people who work there, but they are seriously understaffed. At a small private college, there is a lot of handholding in the...

Drive-by, but Columbia MAFN for the school brand name and the location. And the fiance. This is assuming roughly equal tuition at both programs. You should probably be aware that this may not be the most selective quant program at Columbia. That said, it's a perfectly good program that will...

I honestly think that once a school like Harvard, Stanford, or Princeton gets to the last 20%, it's a coin toss.

Northwestern is a great school, but this is a new program. While Northwestern is renowned for its business school, especially for marketing, and there is nothing wrong with its CS program, I don't think its rank for CS matches the school's overall #10-15 US News rank. For a financial...

It used to be that you could not prepare for a GETCO interview. Anything was fair game, they made up their own questions, and they made some effort to make sure to change them if other firms started using them or people started repeating them. Reading Timothy Falcon Crack probably wouldn't...

Spend the summer trying to find a job in industry... then ask us again- and let us know what offers you've gotten- at the end of the summer. So, there are people who are really passionate about Academia and there are people who are really passionate about Industry. And then there is everyone...

You didn't like the advice you got on WSO? Responding to a few other comments: I honestly don't think ORFE (undergrad) is that narrow. You can do anything from an Econ to a CS PhD with it; given a Princeton ORFE degree and a decent GPA, you can find jobs anywhere from Google to WalMart to...

I'm not 100% sure. It's a new program. As usual, I am finding myself amending my advice to "What @Andy Nguyen said." This is a new program, and my drive-by analysis on programs I'm not all that familiar with (such as what I did with UVA) is to think back to how many undergrads and other...

This is a Chicago Prop Shop vs NYC decision. Given that you want to do risk management not trading or HFT, you probably want NYC. UVA and UIUC are both good schools; I don't know which specific program has the absolute advantage, but UVA will help you a little more when it comes to NYC recruiting.

Princeton does get a number of placements and offers from DE Shaw. I'm not really sure Princeton has a true stats program. ORFE is really strong here and the prof who teaches our stats class (Rigollet) probably qualifies as a genius. He may be brutal to have as an advisor though. Princeton...

My understanding is that Columbia's MSOR program is pretty flexible and Columbia has a top ~30 CS program. Columbia will get you more interviews than Ga Tech. Said interviews will also involve a 15 minute cab ride rather than a ~2 hour flight. My suspicion is that you are leaning towards Ga...

If you want to work for a bank in NYC , Columbia is kind of a no-brainer here. Georgia Tech is a great school, too, but in NYC banking and much of finance, Columbia is a very good name. If you had told me you wanted to be a mechanical engineer or study CS, my answer would have been different...

Northwestern has the best university-wide reputation on Wall Street. You'll get recruiters from all of the Wall Street firms heading out to Kellogg to recruit, as well as the broader university. I have less information about the programs you're citing. Are you sure you want to do analytics...

The problem is that CS is a much more difficult degree than anthropology at your typical school. It's not theoretical physics, but it gets at least a 7 out of 10 on the difficulty scale. A C is still a grade you have to earn in CS at most programs. At UIUC, we started with a class of 250 and...

I'm not sure. I think that with your background, Cornell, UChicago, NYU, and Baruch are possibilities for applying next year. Same with LSE and LBS. I think that with where your career is, you can do better and should wait a year. I really think the ideal situation would be for BNY to get...

Oh, North Carolina Chapel Hill? I was wondering what NCSU stood for. All else being equal, NC State has the strongest overall brand of the state schools. But it's not a huge edge and SUNY may beat it on proximity. Honestly these schools may not be worth quitting a tolerable econ research or...

Hi Vaibhav I'm really not familiar with any of these schools except for SUNY. SUNY is a good school but I'm not sure it's worth paying out-of-state tuition for. You may want to keep your current job.

The good news is that your stats background really makes you a good fit for a lot of roles. Depending on whether hedge funds recruit at your school, you may be able to go into research for one of the quant funds out there. These jobs are not easy to land, however. The Chicago prop shops...

If you want to do consulting or banking, MIT is the best choice. That said, I know of a few structurers who got into banking with an MFE. I've worked with a lot of Indian born and educated programmers and their ability to communicate and connect with people in English varies greatly. Some...

If you are trading with your own funds and not taking client orders I don't believe you need a FINRA membership or a Series 7/63. However, there may be licenses required for HFT that I'm not aware of.

I would also just point out that there is probably a little bias going on here, at least speaking for myself. Since I graduated undergrad, I've always played for Team Illinois (see username). I got into arguments with HR and MDs about why we weren't recruiting programmers from #5 UIUC when we...

Hi John. Although many of us would like to argue that we work in a competence-based field, we ultimately work in finance, and finance is a lot different from tech. There are more networking and marketing aspects to getting a job in finance than in tech, even for quants. If you want your son...

Which group at SAC?

MIT is a great school but Princeton gets a great deal of buy side placements (Blackstone, AQR, Citadel, Kepos, Bridgewater) that MIT struggles with a little more. Some of these buyside placements go to people without prior work experience. The list at MIT also includes the F500 and the big...

There are PhDs in every country. And there is a mild tension between MFEs and PhDs everywhere. Not everyone who does a PhD is cut out for quant research. Not everyone who does an MFE is cut out for it either. But an MFE or PhD who can also program can sit in a lot of different seats in...

I don't have all of the facts here, but I suspect it would be reasonably high, assuming there's not a second admissions fee. They don't want to waste your time- more importantly they don't want to waste the committee's time. If you want MSOR, and they're not charging a fee, it's probably wise...

I think MIT MFin probably wins over MAFN (not MSFE). The MAFN has a lot of part time students, and a lot of folks trying to get from IT into S&T. I still think it's a great program and Columbia is a great school in general, but the MAFN gets a little too diluted. As much as I like to claim...

It depends on what you want to do. Do you want to be a banker, or do you want to price exotics? They're two different programs that will set your career in somewhat different directions. Obviously both are finance related, and both programs have people who know some calculus and linear...

Banks often feel more comfortable hiring someone with a college degree, but you might be able to get away without one. If you have some reputable firms on your resume and you can pass a technical interview, you may be in the running.

OP is from France, he's posting on quantnet and likely has a STEM background (in France), so he may know more about what he's doing on this than either of us do. Stochal was never my strong suit, but I believe the drift correction for the lognormal distribution is 1/2*sigma^2. That's...

*Specific* Daily volatility of 0.02 meaning an annualized vol of 0.02*sqrt(252)= 32%? I'm also going to assume these are arithmetic returns but we took the beta using logged returns. Ok, so this is fairly straightforward assuming it's just a traditional stats problem. Given that the market is...

Yes. Or went abroad. Or went to Chicago. I don't know. I'm saying I think Stanford has a pretty good program, but I'm adding the asterisk that I don't have a lot of knowledge on placements. If you really want NYC, given no other information besides what I have, Columbia would be the safer...

1.). Stanford probably has a better brand. 2.). I have never met a Stanford MFE on Wall Street. I had met Princeton and CMU Mfins prior to applying for an MFE. I have no idea why this is. I would offer a soft push in the direction of Stanford.

So I know this is difficult, but do you want to work at a small firm where you have trading responsibilities and code for a living, or do you want to work for a bank where you support or advise traders or clients on strategies? I see CMU augmenting your existing skills better, but I see...

This is a case of whether you are aiming more for HFT vs. traditional quant roles. Columbia's strength is Math; CMU's is CS. This is a tough decision. In terms of branding, I think Columbia can help a bit more if you are working with a bunch of Ivy Leaguers. Smart people who count in hiring...

This forum needs more St. Bernard, less Pit Bull. (Yes I know I am about to get attacked by an owner claiming that Pit Bulls are gentle animals) But if you choose Harvard over Georgia Tech for a CS or engineering degree, you are crazy.

This will only happen when you and everyone else who believes this is a possibility stops participating in the market... My hunch is in 70 years. Also in reality, the fed has the ability to set a floor on the nominal value of the stock market. I think you've been spending too much time posting...

I believe NYU officially merged the two schools this year. So you can call it NYU honestly, and nobody will be the wiser. Both have historically had fairly strong MFE programs and I'm not sure employers will care that much. I wonder how much flak I will get for suggesting Baruch and Columbia...

1.). In NJ, sunset is still happening at 5:45. Days are quite short in much of the northern hemisphere and the idea to kill oneself may have started earlier. 2.) It's a human right IMHO. 3.) Rich people have the luxury of thinking about other things besides money and supporting their...

Sure, but if another person can tell you how to "do the impossible", it's not all that impossible, is it? "Doing the impossible" happens through finding the right opportunity that your background makes you a strong fit for, working your butt off there, developing your reputation within and...

A couple points here: 1.) Prop shops pay a big risk premium over banks. 2.) There are entry-level financial programmer jobs that a developer can get, and then there are entry-level quant developer jobs that someone with a top ~10-15 MS or PhD can get. You started a couple years ahead of the...

This is a forum for nice people. We all have a little too much in common in terms of our worldviews, professional situations, and backgrounds to troll each other here. Trolling is to be reserved for the football players in IBD and cash equities on WSO, or for the kooky people on a political...

As an alumnus, I appreciate the respect for UIUC. I wish it were true that UIUC had a better program, but I'm not really sure that's the case. UIUC will get you a job at a Chicago prop shop if you make an effort at recruiting and interview well. But I think NYU has the stronger brand. It...

For the record that's not what I'm saying. I'm saying "Gee. Knowing what I know today, I'm not sure I would be going into finance today like I did at the height of the bubble. I would have gone to work at Google Finance (based in NYC) where the coding and finance problems were the same, the...

I've seen a lot of people leave finance for tech over the past few years. I've seen guys quit jobs at Morgan Stanley for Google, leave Goldman Sachs for Facebook (developer roles in both cases.) At a bank, you're a cost. At a tech firm, you're part of the core business model. I've heard...

So salary for a reasonably experienced quant developer at many prop shops in Chicago starts at $60K. There's bonus, but I'm not sure total comp is better than what you're making. NYC sellside, starting comp is generally lower than the numbers you cite. You may make that after a few years, but...

One of my grad student friends landed an asst. professorship paying $230K at a b-school. I don't want to know what full professors there earn.

Anyone can make a traditional IRA contribution, but your income must be less than $60,000 to take a full deduction...

I don't think a CFA will help. I'm not sure why you want an MFE if you have a nice professorship somewhere. Why give up a $180K salary doing low stress research to earn $120K starting as a quant? And why get an MFE if your PhD is basically a superset of that and allows you to apply just about...

1.) People are nice here. Quants are nice in general. So I am going to politely state that you may have an attitude that may make getting a job different in difficulty than it is for others. 2.). I made it from IT to the trading floor in 2010. That's less than a decade ago. Now I am getting...

that's an important point. You do need to convert to a rollover IRA to get it out. But most people can't make pretax contributions to an IRA if they earn over a certain threshold. So let's get the money into a 401k and worry about the rollover later.

I think most portfolio strategy quants would claim that this is a front office role too. In fact they'd argue it requires more client interaction than prop trading. If you're in Chicago right now but wind up at an NYC firm, this may be one of the first of many cultural differences that annoys...

Got it. Next time let us know if you're a few years out of school- that's a really important detail. What did you trade? How siloed is your firm? Is there a team dynamic or do traders have their own books to worry about? Tell me about your firm's culture (EG is it more like a GETCO or is it...

So, a lot of the folks on the portfolio side have more of a stats or applied stats background. You see a lot of Econ and Finance PhDs, a lot of regressions, monte carlos, portfolio optimizations, etc. You tend to see less stochastic calculus in these roles and a lot more demand for...

If you want to work on the East Coast, Berkeley Engineering is worth an extra year over any other UC school except maybe UCLA or USC. Obviously pretty much every UC is a good school, but UC Berkeley is a great school. It beats every single Ivy in the engineering rankings. It has a national...

Looks like someone is on the fence about an MFE vs. a PhD or an MBA. I think I'd take one of the top five ranked PhD programs over a Princeton MFin on the basis of free tuition, at the very least. I am not as sure about an HBS or Stanford GSB admit. I wouldn't feel bad if someone turned us...

If shale is a mirage, why have natural gas prices dropped from $12/kcf to ~$4? Wind, nuclear, solar all have EROEIs in the double digits. I think there is some reason for some concern about energy but things look much better today than they did ten years ago. I think Malthusianism does a...

I've been through all of this with the Peak Oil Doomers in 2005-2007. The US now gets 3% of its electricity from wind, which is a huge increase from 0.5% a decade ago, and that the naysayers claimed could never happen. Wind has some issues when it comes to the stability of the grid and...

Ummm, they email you first. If you get an admit, they snail mail you a decision form due back April 15th IIRC.

I'm trying to remember, but I think it starts with a direct, informal phone call or email from Wendell. Formal notice occurs a day or two later for everyone. If you got an interview, I wouldn't read any disappointment into this yet. This would be a very early response date and there is only...

For the folks looking for a decent price on a reasonably fast laptop, this seems like a decent deal. Core I5 w/ 8 GB RAM $465: http://www.ebay.com/itm/Dell-Inspiron-15R-5521-Core-i5-1-8GHz-8GB-1TB-/271393821001?pt=Laptops_Nov05&hash=item3f30551149 I have something similar with an older Core...

I think all three programs offer similar flexible curricula. And my experience has been that Columbia quants are excellent communicators. I think the difference- and it's a very subtle difference- is confidence, especially in front office roles, often when dealing with high profile stuff. As...

So, if it's any comfort, this is a competence-based field. There are some exceptions to the rule, but where you go to school is much less important than your work ethic, intelligence, and competence. And where you land out of grad school is much more important than where you land for grad...

MIT (in general, not just Sloan) has been... optimizing the yield and selectivity numbers for years, and I think the rule that students have to fly thousands of miles to interview may be part of their most recent strategy. Ceteris paribus, I'd expect yield numbers to increase. I'm all for MIT...

Well, my core advice to you is to wait and to establish yourself on the team before you decide if you have time for a part-time quant degree. Stochastic Calculus is very helpful and very important. This is something you can probably cover in an MFE or Stats program, or perhaps even take as a...

1.) I'd get yourself situated first. Work for six months then start thinking about grad school. The only thing that sucks worse than finding out you have a miserable boss is to find out you have a miserable boss AND be stuck taking a graduate CS class in what little spare time you might have...

I work with Asians. I think they are all wonderful. I think all of the people I work with are wonderful. Even when they're screaming at me, even when they screw up. There's a simple way to test this hypothesis: look at the pass rate for PhD qualifying exams for Asians vs other students...

Yeah Ken. It took me 3 years to reach associate. Before the crash, in S&T or Research the rule was two years. After the panic of '08, at least at the bank I worked for, the promotion schedule lengthened to 3-5 years. A truly excellent person might still be able to do it in 2, and in some...

Well, alumns tend to be the best source of information on a low key school like Stevens. But there are also cognitive biases involved. My undergrad does very well in the Computer Science rankings relative to its name and I like to talk about that when comparing it with other schools. But when...

Well, with a CS background, you're a better fit for the HFT firms and quant shops in Chicago which is a 2 hour drive away. I say UIUC. With the caveats that you get thrown to the wolves on career services and getting help academically. But probably no more than you would at a foreign...

I agree with Anthony that trying to land a banking job right now is a good choice that I completely overlooked. It would also save $100K+ in tuition and expenses. I'd just caution that some roles in finance would be a step down from a product engineering role (EG designing aircraft wings) at an...

If it makes you feel any better, I got rejected twice from the school that I am now attending. If you're an engineer at a firm like Boeing, and you're an interesting person- you have cool hobbies- you're in the running for a top tier MBA. That's not to say you'll get in, but it's worth the...

UCLA is a good school. But you're an engineer who wants to do banking, and I'm not sure you get some of the rules in banking that don't apply in engineering or consulting. At Google or Lockheed, nobody cares where you went to school. They care that you're smart and good at what you do. In...

CMU's MSCF grads often land in front office quant or strategist roles, but I haven't heard of them landing as bankers. (It is certainly possible that they have.) You may consider waiting a year and applying. In the meantime, pick up some interesting hobbies and stay in touch with old...

Hmm, so the MSF route doesn't have a lot of overlap with the MFE route. I *think* what you're looking for is something in between a traditional MSF and an MFE. Maybe an MIT or Princeton MFin. MIT is 2/3 of the way to an MSF program while Princeton is 2/3 of the way to a quant program on the...

If you got a 3.9 GPA from a school people don't recognize, an easy way to verify that "this guy is smart" is to look at his GRE score. Let's see... 165? 170? Oof, 156? How did that happen? How tough is this program where someone could get a 3.9 GPA and bomb the GREs? That is, if they don't...

Stevens has a reputation in NYC of being a decent (not incredible) engineering school. People will not recognize it as easily once you get east of Secaucus, though. Personally, if I could get in-state tuition, I'd go with Rutgers. Stevens is a great school, but I don't think it's worth the...

Afraid I don't. Just a friendly desk strategist with a few years of experience, but only for a bank in NYC. I went to school in IL and have a lot of ties to Chicago, though (including programmers who work for HFT firms). If it's Jump, Citadel, or GETCO, (or DE Shaw or AQR out east) they can...

Fixed that for you.

Honestly, I think $450K is pretty good money anywhere in finance. You may be able to do better, but you have to be pretty far out on the tail, and this is all before you factor in the extra risk of HFT vs tech. I think a CIO at a an HFT firm would make a lot more than that; I doubt the average...

"Most... but not all... invites have been sent out"

When we start hiring the stochal guys to invent new products and issue CDO cubeds to average investors, that's when I start buying a portfolio of CDSOs at a 500 point spread on financial institutions. There is a place for particle physicists in the world. But it's more at Fermilab or Sandia...

Interesting. I think the Prof is a little more optimistic on the industry than I am, but I've definitely seen some of these trends, even when I was working 18 months ago. We've moved from the particle physicists we had before the crash to the programmers who can run stats and communicate...

No- few of them apply. That's why you probably have a significant advantage. (1) You're a woman applying to a program that's 65-70% guys (2) You come from an under-represented region of the world. You will probably not be the only Spanish or French speaking person in the classroom (you may be...

Any sports? Leadership? Princeton may be shifting more conservative this year. One of the more common themes among some interview candidates who have contacted me for advice is that they have prior full-time work experience. Given your profile, I am also a little surprised that you havn't...

Interview requests IIRC are typically sent about a week in advance of the interview. Looking at the scheduling history on QuantNet, I see that they went as late as Jan 23rd in prior years. This may mean that there could be another week or so of interview invites. I don't think I'm going to...

Yes, I'm a 2nd year student. But I should also mention that Princeton rejected me twice- once for undergrad and once for grad school (yes, the MFin program). So I've been rejected more times than I've been admitted. I've been through the rejection cycle. Yeah, I guess it's easier to say that...

Relax. They're typically non-technical questions. Wendell is trying to get a sense of who you are, what you are going for with your career, that kind of stuff. Get some exercise the night before.

Hi Mic. Where are you applying from, and what is your profile? I can give you a sense of whether this might be a ding or not, though you have to be prepared for the answer- it may hurt. If you're concerned about posting it online, PM it to me. Interviews are typically finished by the end of...

Tell us about yourself. If your friends were asked to brag about you, and they knew everything you did, what would they talk about besides your primary work or school? Do you play sports? Are you an expert on paintings? Everything else, we can figure out from a resume. But oftentimes...

I honestly think that a career in tech has better long-term prospects than a career in finance. I think the Seattle firm gives you the best long-term options here. The technology position at a BB, unless it's guaranteed to be a quant developer role, will be difficult to get into a front office...

It was not online and it was not directly through Princeton Career Services. (Actually, most jobs for Princeton MFins don't come through career services.)

No. It's not. It's a long story. I'm not sure how public he wants me to make it. But you can confirm through other sources that a student did take a year off from the Princeton MFin program and that he's making a lot of money this year.

Well, the program allows you to go in-absentia for a year. I am not sure what he is going to do after that; he has 10 courses of 16 done and may continue part-time after that. Or he may drop out. If I had a $600k opportunity, I'd defer for a year, too. Of the Citadel hires, one is married to...

Most of our candidates this year are already placed. By my recollection we have in my class placed at 5 at GS, 3 at Citadel, at least one, maybe 2 at AQR out of a class of 25 2nd year students, all in front office roles. One student took a year off for a ~$500-600K/year opportunity after his...

Yes. If you studied at the French engineering school Polytechnique, those students are often admitted as 1-year students here. If you receive a 2-year admit and you want a 1-year, and you fall into one of those broad categories where a 1-year admit may be negotiable, that is something you...

It used to be that many people wound up in finance with PhDs by mistake. People wanted to be physicists, wanted to be economists, then realized they hated academia, so they became quants. It's sort of like becoming a nurse practitioner. If you're a gambler, study applied math. But know that...

Hmmm. Most of the ORFE guys I know and know of are PhD-track folks. According to the website at least, the MSE ORFE is designed for folks continuing into a PhD in ORFE. ORFE is NOT an easy program at Princeton. It's harder than the CS program and might be as hard as the math program. The...

Which program are you referring to? Princeton has both an MS ORFE and an MFin program. The ORFE program is a little more geared towards people going into academia or data science or logistics roles, and the MFin program is geared a little more towards preparing people for quant, banking, and...

It's not just how much math- it's also how much you apply it. Your typical engineer has taken ~5 math classes plus another 15-20 that require him to regularly apply calculus, linear algebra, discrete math, or stats.

Princeton has never taken a state school student without a STEM degree, to the best of my knowledge. However there can always be firsts. Brand names get you into grad schools, but the quality of your work is what gets you a job. Honestly you are going into a tough industry. If you have a...

1. ) A 170Q is competitive everywhere. 2.) I think the 3.5 vs 3 AWA is worth giving up the 3 points on verbal before we even get to the difference in the Q scores. I'd submit the 2nd. Write a great personal statement, and all will be forgiven on the V and AWA scores.

I know MFE's who've dropped out to earn more than $530. I don't know MFE's who've graduated to earn more. http://poetsandquants.com/2013/11/13/highest-paid-stanford-mba-522k/ I know an MFE who dropped out and earned a touch over $522 his first year, but I don't know anyone who got the degree...

You have some points on the value of MO and back office work. All else being equal, it's better to prove interest in finance than not prove it. All else being equal, it's better to prove that you can get a front office job than not prove it. But I think much of the interest in finance is...

Yes and no. Both jobs are just as important, both are as useful professionally, but MFE programs want to get front-office placements. If you managed to get into the front-office already, it stands to reason that you can get back in. I am not calling a front office job a requirement by any...

If you're near Times Square and you're looking for sit-down dining for ~$10/plate, there's always Pearl's, Saigon 45, and Pongsri. If you're willing to go a bit more expensive, City Lobster at Rockefeller Center has a lunch menu that has more in common with $10/plate than their (over the top)...

I'm with Ken on this. The more distance (and ideally the more success) you put between the 3.0 GPA and your application, the better. A 3.0 GPA isn't awful, especially from a top ten school, but it's below average for most programs. If you can land in the middle-office and work your way into...

When applying to the top tier MFE programs run by liberal arts schools- we are talking Princeton, Cornell, Columbia, maybe Stanford and NYU, it's good to talk about the stuff that has a large cross product with your academics and credentials as a quant. They want interesting people on campus...

Yeah, the 590 GMAT is an ugly mark on an otherwise strong application. Take the GREs, and get separate quant and verbal scores. Somehow the verbal scores on the GRE tend to get overlooked without a composite score and people just zoom in on the quant (or the verbal and AWA if you are applying...

If your goal is simply to get a nice, white-collar job paying 40K GBP/year in the UK or $70K/year in the US, I'd think long and hard about an MS in CS and pegging yourself as a developer. I think applied math + CS gives you more options than applied math + applied math. But that's just me...

Congrats. Interesting that they had a technical interview- that's quite uncommon for graduate admissions at most schools.

This is an interesting article, but the suggestions suck. 1.) STEM can be cool. (CC nearly every astronaut, test pilot, many F1 drivers) 2.) You cannot teach an engineering degree in four years if you have to take a bunch of liberal arts classes. 3.) The dropout rate in Engineering is a matter...

^^^ Sure. That's why an MFE has been described to me from multiple independent sources as "a ghetto substitute for a PhD to get you a job as a quant". My back of the envelope guess is that these days, there are about 500 jobs on wall street that require an expert knowledge of stochal...

True. The courses do run a little too fast. I will also say that they are probably 1.5-2x the work of the courses I remember from undergrad. In undergrad, everyone would complain about CS 473 (Algorithms and Theory), and how it was impossible. We had seven homeworks, were allowed to work in...

I might be starting a huge argument here, but I'm going to suggest that stochal is probably less important today than it was ten years ago. I really don't know how many people apply the Girsanov Theorem on a daily basis anymore. If you want to cover all of the program's stochal in 15 weeks, I...

Time series would be really helpful. Discrete math and algos would be helpful if you plan on becoming a coder. StoCal is always big. Seems like you have a lot of your bases covered in terms of the program. What's the job opportunity? If it's $50+/hour, I say take it. If it's sub $20/hour...

I would not discount RPI at all when it comes to landing in analytics at a major NYC bank. You may want to consider switching to Computer Science. If you *must* study math, try to aim for at least a Cornell or NYU.

I will give you the same advice I gave my brother. To qualify for most quantitative MS programs, you need the following courses, regardless of your undergraduate degree. -Calculus I, II, III. -Calculus-Based Probability -Linear Algebra -An imperative programming course. Strongly recommended...

I agree with Ken here. More importantly, Associates are more expensive than Analysts and don't necessarily produce more. Having survived six rounds of layoffs between 2007 and 2012 before grad school, analysts tend to be the last people on the team to get laid off. @OP, traditionally, people...

The overlap, of course, is finance as well as sales and trading. There are A LOT of MBAs that work in Sales and Trading at investment banks. Most of them are in Sales, but most of them have pretty nice jobs and pretty nice lives. If I needed to stay in the Chicago area and I wanted to work in...

Keep a few things in mind about the US: 1.) We're very forward about stuff. You sit down with someone on an airplane, and after 15 minutes, you are hearing how they had two divorces, how they've got two kids in college or (my favorite) how they gave their life to Christ and how you can avoid...

1.) You have to get someone who knows you and likes you and can attest to your quantitative insight. 2.) After satisfying (1), go as high up the food chain as possible. What do I mean by (2)? Ideally, you want to find someone who has hired from this MFE program, or hires from MFE programs...

You need to get that GPA up. Though it is a good school, there is no excuse for a 2.9 out of UVA if you're taking a lot of finance courses. You need to land a job at a bank. Perhaps in IT or operations. You need to work your way into a quant role or a trading role. (It still happens- you...

True, although I would argue that in 20 years, we probably won't be quants and something that sounds mathy from UChicago has a whole lot more marketing power than something that sounds engineerey from UIUC. (I say that as a UIUC Engineering alumn.) OP: Get an MS in Computer Engineering from...

Haha. There is no common method. Every bank has its own proprietary method. In some sense, you have to look at kurtosis- vol of vol. Actually, you need vol of vol to go from options prices to the VIX. I'd look to maybe a Markov-switching model that has high vol and low vol regimes and...

Well hopefully you'll already have it in an in-memory cache before-hand so you don't need to solve analytically. Getting the standard normal cdf, for instance, isn't a cheap call if you're doing it on the fly.

Or you just do a ghetto montecarlo and get the same answer you'd get analytically. :)

...only though most quants are engineers or physics folk with a smattering of CS backgrounds. The fact that people play such a fast and loose game with mathematical notation and then defend the results as "but I got the right price" must really irk you.

Uhh, you can have a 1xn matrix or an nx1 matrix. The matrix multiplication happens the same way as for two vectors having a dot product taken, subject to the orientation of the matrix, of course. Fighting about mathematical semantics is about as foolish as arguing about grammar. If you want...

Oh of course. If you are an analyst or associate, you are always doing what the MD or VP doesn't want to do. If work were fun, they'd be able to find people to do it for free. :D

Hmmmm. I'd give UChicago a call. See what they think. We are talking about 18-20 credit hours of math courses- equivalent to greater than the maximum a FT student can take in a single semester without permission from a Dean. The summer program will be much shorter. I think UChicago's...

Got it. So you're sell side quant strategies at a Deutsche, JPM, etc. Your VPs and MDs (perhaps also you) go off to meet with the PMs at AQR and DE Shaw and pitch signals and systematic strategy research. This IS a front-office role, though, and you sit in research, not IT, right? Being...

Of course. I think Princeton has actually taken a few U of T students over the years. We have like 4 Canadian second year students in the program.

Hi ironmonkeyz. You have a strong professional background for an MFE admit- many of these programs would like to take proprietary traders. However, here is what I typically recommend in terms of academic background for an MFE: 1.) Calc I (derivatives) 2.) Calc II (integral calculus) 3.)...

The AWA is a bit embarrassing, but otherwise you are probably about as strong as candidates come for Princeton if you really were running Systematic Strategies at an AQR or DE Shaw or Renaissance. The final draw probably introduces a great deal of randomness, but I'd still put your odds north...

I've seen profiles like yours admitted at CMU. I can't estimate your chances at CMU, but I think you'll get into a top ten program.

On CMU vs Princeton, I don't think this is an unfair ranking. Princeton's MFin program is a Finance program, not an MFE. It is an odd duck of a finance program- we teach a lot of asset pricing, ARMA and GARCH, stochal and econometrics. But the program publishes a lot of research in not just...

Hi Lisa. >does recommendations greatly influence the result just like in PhD applications? I honestly don't know much more than you do about this. I can tell you that Princeton MFin is somewhere between a Finance PhD program and an MBA program, and that in both cases, recs matter big time. I...

Princeton only has about 20-40 students per class. It's a fairly small program and they post resumes of current students under "Guide for Recruiters". There are a lot of different backgrounds of students who get admitted: 1.) Stats gods from Polytechnique/Tsinghua/Peking University. 2.)...

I asked this question a few years ago when I was applying. The response I got was something like this: "If you have been working in industry for several years, we understand it can be very difficult to get academic letters of reference from professors who remember you... however at least one...

Over the past two months, I have seen several threads asking for advice on applying to Princeton Bendheim's MFin program, what the school is looking for, and many other questions. People on the forums have pointed to me because I go to school there, and they somehow think me being a student...

Over the past two months, I have seen several threads asking for advice on applying to Princeton Bendheim's MFin program, what the school is looking for, and many other questions. People on the forums have pointed to me because I go to school there, and they think I have some clue as to how the...

There are four things that government tends to be uncharacteristically good at- probably even better than the private sector: 1.) The post office. 2.) The military. 3.) National Parks. 4.) STEM programs at large public state schools. I think a lot of engineers (myself included) are starting...

Not sure how many students there are out there, but I recently bought a refurbished laptop- like new condition on Ebay for $500. A Dell Core i5 with 8GB RAM would normally retail for about $700 on Dell.com...

It's true 98% of the time in this low-rates environment, but 2% of the time weird stuff happens and the American feature makes a difference. What happens if you own an in-the-money call on a stock that up and decides to pay a 5% dividend two weeks before expiry? But yes, most people when they...

Don't forget VXX and VQT.

There's a lot of different contexts that vol gets used in. In the equity derivatives world, vol is how much a stock moves around. It is also a way of quoting a price on an option. Black-scholes implies that if a stock can be expected to realize 20% volatility while moving on a binomial...

By definition, if Mom and Dad are paying for school, they're not ignorant. They're smart for sending you to school. :)

It should be noted that CMU is internationally renowned in CS, too. They are both very good programs; I would lean towards the one that is cheaper on a net-of-scholarship basis. I would also give some serious thought to CMU's Pitt campus if you go full-time. NYC is very expensive and I get...

Are you allowed to do a PhD in just finance? Most programs will give you a TAship or RAship after your first year. Spend two or three years, get your MPhil, and you'll be an expert. And maybe you'll have a paper or two published in the Journal of Finance. Academically speaking, you'll be more...

No. Stay the hell away from the execution/trading business- it's going to be shrinking for the next 20 years. Insurance is a nice place to be, and you can always move into PM roles there. Focus on the CFA, FRM, or maybe get an MBA (part time) and transfer internally.

CMU is your best bet for step #1. Then two more years of experience and something like HBS or Booth (if you want to stay in Chicago) for step #2. There is no easy MFE->Algo trading -> PM greatness route. Algo trading is starting to become so specialized and have so many individual moving...

For CMU, I would also recommend an algorithms course. With MIT, Princeton, and CMU on there, I see three very different programs. MIT is more oriented for client-facing roles, for instance. CMU is really geared towards analytics development and algorithmic trading. They are both good programs...

Those are called eating clubs and they are only for undergrads. Grad students have the basement of the graduate college, instead. I think Harvard has fraternities. Yale has secret societies (CIA and Washington politician feeder school- go figure). Princeton has the eating clubs. I 100% back...

East Coast or West Coast?

@bigbadwolf Ugh, I hate golf. Quintuple bogies on a par 3 hole for me. Public courses are the way to go. Otherwise the firm should be helping to pay for your membership. Hang gliding is much more interesting. Instead of worrying whether the ball is going to land in the woods or bounce off a...

I dunno. A lot of folks on the trading floor are like me. VPs and Directors commute back to Jersey City and Hoboken every night. I do think it's helpful to socialize on a certain level. $7/beer at a bar near work is money well spent. It is probably much different in banking than it is in...

Largely the students and the faculty. There are some things you will spot right away. When I went to visit Princeton, I was surprised to discover Ann Taylor, Ralph Lauren, and other stores that undergraduates shopped in. This was a bit of a departure from Illinois where most of us were dirt...

I don't have a Porsche or a Ferrari. I don't want them. They are wasting assets. After food, shelter, a good mattress, and the basic necessities of presentable living, the only thing worth spending money on is a short walk to work and fun activities. If you have to work 80 hours a week, buying...

I think a lot of people go to wall street for money, but the question is what lies behind that. What do you want to do with the money? Growing up watching my parents, I learned that it's always best to be in a situation where work is an opportunity- not a necessity. If you get a new boss...

Andy Nguyen They're called hipsters, Andy, Hipsters. And they've taken over my beloved beer. Apparently drinking PBR makes me one too, though I always thought of myself as a redneck midwesterner. I can't claim I was first on the scene- that definitely makes me a hipster. And if I switch...

Warren is teaching us that you can be happy and successful without prestige or having to flaunt your status. The man turned down Wharton to study finance at the University of Nebraska under Benjamin Graham. He drives his grandkids around in a rustbucket convertible, takes them to Dairy Queen...

Ughh. Bloomberg needs to stop posting these articles. It does not help the industry to watch a bunch of rich people whine about having to downgrade from black to red caviar and *gasp* have to buy a domestic car. C'mon guys. Follow Warren Buffett's lead (even if you disagree with his...

JayMesa I think there is consensus around the fact that Princeton is a significantly stronger program, but also around the fact that we're not comparing Princeton against UW Green Bay either. There is not such an overwhelming difference between MIT and Princeton that you should dump MIT before...

I'm a bit less pessimistic. I just see 40 years in the desert. (Ok, more like 20). In spite of the financial crash of 2008, corporate profits are still setting records. Income on the S&P 500 is approaching $100 this year. Back in 2000, it was barely 1/3 that. So what we're seeing is that...

Here's what does it for me. I look at these charts and I hear the gregorian chants of "O Fortuna" rising in the background: http://sternfinance.blogspot.com/2008/10/future-of-financial-industry-thomas.html http://sternfinance.blogspot.com/2008/11/are-banker-over-paid-thomas-philippon.html

Princeton has the edge based on the selectivity, brand, placement rate, and stated tuition, but that's not enough to make the decision an obvious one. Again, we're comparing a Camaro and a Mustang here- they both have the same horsepower, torque, and 1/4 mile speeds. Most people will choose the...

Do you want to work in a shrinking industry? Do you believe "work hard play hard" means "work hard drink hard"? Do you enjoy pulling crazy hours? Watching people laugh at dumb clients? Having traders shout at salespeople over your shoulder all day long? Listening to everyone whine about...

They're both good programs and comparing MIT and Princeton is a bit like comparing Mustangs and Camaros. The Mustang was designed by Lee Iacocca, it was first to market, and for some reason, it has always had a little more appeal. A Camaro and a Mustang will run the 1/4 mile neck-and-neck, but...

They are both excellent programs. Princeton is more selective and has a more established reputation; MIT has Robert Merton and enough electricity running through the faculties' brains to power the state of Massachusetts. But you're not shooting yourself in the foot by choosing one program over...

BTW, don't forget to budget for moving expenses. I think I wound up watching $5K worth of cash fly out the door to find a place to rent and to move. And I was ridiculously thrifty- moving myself and finding a place in NJ. Search costs amounted to about $800 for plane tickets, food, and a...

Remember that student loans are unbankruptable debt. They are quite literally the modern form of debt peonage. And at the current rates (8% or more), you are going to need to come up with $500/month in interest just to tread water. And if you have an income actually capable of servicing that...

Think it's supposed to be posted "after 5PM EST".

February 23rd- Round 2 day of reckoning.

I'm really glad you asked that- that's a good question. If you want to generally stay in finance, I think an MFin from a top program gives you as many options over the next 30 years as an MBA from a top program. There's also a lot fewer of us. 1000 students graduate from HBS every year...

I think there is an instance or two in the tracker- but it might have been something else. I haven't heard of anyone applying to MIT before. Go home, grab two or three beers with friends, and try not to worry. Our analytical minds have the habit of trying to figure out if we'll be in...

Touche!

^^^ no, it's reality. Every year on the trading floor is two years of stress. Every month on the trading floor during a major market crisis (EG: 2008/2009) is three or four months of stress. It makes you gain weight, turns your hair gray, accelerates baldness, and causes other health issues...

If you're worried about your cardiovascular health, this might not be the industry for you. http://online.wsj.com/article/SB10001424052970204062704577223623824944472.html?mod=WSJ_hp_MIDDLETopStories

Per Andy's suggestion, I've done some rough back-of-the-envelope calculations on the cost of attendance: Tution and Fees: $40,500 2012-2013 Includes a weak student health insurance. If you have health issues, you may want to do a COBRA instead. Disability insurance: (STRONGLY RECOMMENDED)...

Andy, I want something a little bit broader than an MFE program. Hence why I am applying to MIT and Princeton but not CMU or Baruch. My interests are portfolio research and consulting, and Robert Merton's course on portfolio construction looks pretty interesting. I stated all of that in my...