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I was looking at how the limit order book works and couldn't find a suitable introduction book or tutorial that explains this stuff from the ground up. Basics of limit order books and dynamics. I did see some papers but they are kind of advanced. Any ideas?

columbia and berkeley as a non-degree student + stanford

first of all people in the know - those who have studied serious mathematics or physics will know about complexity science. Complexity science is an interesting development: theory with experimental work. fake quants or people who haven't done serious mathematics can be ignorant of new and...

econ at a good graduate school will be seriously mathematical - more along lines of real analysis. but masters programs are okay. MBA is way to go.

Agree Quant is over. Focus on doing something not for money. And you don't have to stay in the West. Russia is a good option so is Brazil

level is bad. no measure theory required.

Leading UK groups in Pure Mathematics RAE 2008 RankInstitutionFTE Category A staff submitted4*3*2*1* 1 Imperial College London 21.8 40 45 15 0 2 University of Warwick 32 35 45 20 0 3 University of Oxford 55.16 35 40 25 0 4 University of Cambridge 55 30 45 25 0 5= University of Bristol 34.53 30...

Okay so let's take two identical AAA grades A'level student. One went to Warwick and another Oxford. Is the 2.1 from Oxford superior to Warwick? Why don't you ask Warwick math people - how many top students from Oxbridge go to Warwick to do their PhDs. Fact is that Warwick or Oxford or Imperial...

never too late. some quants start in their 40's

quality has never been problem. In fact with quotas you can have the best students. The problem is that the numbers are just huge. Also Dominic is accusing the US schools of racism. Well Dominic would you like it if the UK was flooded with Chinese applicants and your esteemed Oxbridge was no...

why not pick CS. that way you will never go hungry.

then go for NYU

"If most quants are stupid and most quants are Asian does that mean Asians are stupid" So what is Paul is trying to say here.

I would advise against Berkeley. If you want to do finance go do an MFE. General stat is not a gateway to finance. Do it if you are serious about statistics and that it is not restricted to finance. Most people will want to do stat to get those million dollar jobs in big banks. Well then it...

Shreve II is meant for people like you. You don't need Measure theory to get most out of Shreve. Unless you are reading "Brownian Motion and Stochastic Calculus" which is not aimed at MFE students and is a serious book. I heard there will be an alternative to Shreve II end of this year by...

This has been the case for many years. What will schools do about it if they are to ensure a balanced intake of students and maintain diversity. I think this is a hard question. Some schools don't care. Some schools are mostly Asian in certain programs. This in turn affects non-Asian...

Spivak and Pugh are excellent. This might be even better for you. Tools of the Trade: Introduction to Advanced Mathematics Paul J. Sally, Jr. This is a good back and more emphasis is on you to do it alongside the author. I personally dislike Rudin. Many people like it and him. I think...

knowing the basics is not the same as having a background. many people know calculus or linear algebra. Only you can decide how much you know and whether it is enough to take the test. A parable comes to mind. The story goes as this, 'a young engineer claims to be a theoretical physicist. So as...

I would not suggest GRE subject test in Math. Unless you have an undergrad in math. Lot of people fool themselves into thinking they can do math. I am not being facetious here. Yet most are engineers doing engineering math. You say you are from a maths background yet say you did engineering...

dedekind cuts and completeness or R are very important. usually when students take limits or appeal to convergence results they need to understand the foundations. but is it really useful in finance ? Analysis on its own is useful and a rigorous study of it can set you free from an...

cvn columbia or stanford or geaorgia tech online offer several pde courses

market is bad

no not enough quant jobs. but some of them end up in banks, hedge funds or elsewhere. there is a surplus

looks like you should be ideal for a quant position. self studying is worth it as you have the background already

i would suggest skipping school and go into a programming role. and it irks that people claim to have math skills. engineering math is not math. am sure you are amply qualified and strong in quantitative skills. so you are already strong for a quant developer role. it doesn't matter really...

can't say we didn't see it coming

well common. Is Bristol or Bath or Manchester or for that matter UCL or Edinburgh 2nd tier. So research at these places is below COWI! Really if you do a good phd it shouldn't matter where you do it. 2nd tier to me would mean somewhere like st. andrews or the like. If the place has a large...

hidden markov models or levy distributions.

hi all, I mainly work with derivative pricing models. I have been asked to look at high frequency data. Are there any packages in matlab or R that I can use. I couldn't find anything - or maybe I am being ignorant. This is my first introduction to tick by tick data and I need to clean the...

what is that you are looking for. I would say forget books and ask yourself what is your background. have you taken courses in measure theory or pde. stochastic calculus assumes knowledge of probability. surprising you say that Basic Stochastic Processes by Brzezniak & Ziastawniak is too...

mathmo drop the attitude of cambridge. I agree with Barny there are plenty of other good schools on par with Cambridge Math bachelors at the same level. It is competitive but you should aim for all the top schools that you listed. You should stand a good chance of admitted. Some people at...

FT rankings put LBS as no. 1. Come on now. LBS may be good but is it better than Wharton, Harvard, Chicago, Stanford.....etc. And Oxford MBA is ranked 27th IE is better than Oxford. Or IIMA better than Chicago, Duke or Berkeley. And HKUST is at number 6 above MIT. The test is this take any...

Dwindling. It is all well and good to be optimistic but when bank capital and regulatory changes are painful the role of quants is limited. I would say more jobs for lawyers and such and less for quants doing risk management or regulatory capital type of stuff which is not rocket science...

you have a good background. sounds like you are doing the right thing. jobs in chicago will still be around as many hedge funds and prop firms won't be affected by volcker rule that much.

With the regulatory changes and capital requirements, future for quant finance and quant careers is doomed. All banks are cutting back. Too many MFE programs. CS, UBS, and a host of other banks including GS will be cutting jobs. It is looking bad. The crises and neurosis in the markets mean...

I just love it when people plaster their whole transcripts on the chat page. The problem is everybody wants to be a trader at an investment bank. And as far as universities it is a bit silly to just target MIT and Princeton. There are other good schools. No guarantee. The best way to find...

hmm. probably go for High Freq finance.

yes. if a foreign bank does trade in the US for prop purposes, it can still be subject to Volcker rule. Depends on counterparty and instrument. It is a bit draconian. Not sure if this will go through as there is a strong lobby. but yes in some way or another foreign banks in US will be...

i agree with Andy. MFE are terminal masters degrees which serve a purpose and a market

the right electives. If it is applied math, you should mix theory with numerical stuff. PDEs and ODEs with numerical methods in PDEs. Do a course in applied analysis. Take some applied stochastic processes or applied probability course. The rest is free. Try to choose a couple of computing...

hmm. I can't agree that Stanford has a better Engineering than Stanford. Both were formed around the turn of the 20th century with money from rich individuals. Stanford has a stronger CS dept and very strong medical and biological sciences faculty. Cornell has a hotel school. Both school...

forget the MFE. Applied math with the right electives is the broadest followed by stats.

learn real analysis level 101 learn basics of proofs and what is differentiability and integrability master basic probability combine your knowledge to learn stoch calc you should be be very well versed with integration and differentiation - Advanced calculus level. Believe math for physicists...

This is not a degree but a certificate! And the quant level is low. Yet another school tries to make money out of its brand name. In Asia they love MFEs, thinking it will help them make rich. I am disappointed that Stanford is doing this. Ironically the markets in Asia are nowhere near as...

Applied Complex Analysis with Partial Differential Equations Nakhle H. Asmar (Author) http://www.amazon.com/Applied-Complex-Analysis-Differential-Equations/dp/0130892394/ref=sr_1_3?s=books&ie=UTF8&qid=1318329367&sr=1-3 personal choice. Complex Analysis is a beautiful subject. But then...

complex variables - cause it ties in with PDEs and Fourier transforms

the future is math.

then why are sales people needed or for that matter traders. if quants can do everything. honestly. structuring is a viable front office business line. sales people do not develop and market new products. quants do not engage with clients and do deals. Albertho you need to talk to a...

no masters not required. very little programming required. you should be familiar with basic option pricing and strategies. most structurers spend time on keeping up with markets and talking to clients suggesting new deals and structures. quants and researchers help them with pricing and...

Andy_B, which is easier for you. I thought most stochastic processes courses require a thorough knowledge of real analysis. I would take stochastic processes or PDEs assuming you know basic analysis.

Structuring is dead. Really unless you are going for plain vanilla stuff. The days of complex stuff are receding. Banks are shedding people. To justify a MFE program is getting harder.

structuring is similar to sales - you deal with clients, market structures and deals and price them. Structurers keep up with the market and in general structuring is very very far from quant world. Structurers will talk to clients, price deals and suggest new deals to clients. They don't...

in Asia, most students just get ebooks through some dodgy website. This is not just a problem in North Asian countries but also the richer asian countries. People just don't want to pay for books. sad

Congrats Mark. I was looking forward to the follow up to Concepts in Math Finance. I will order it from Amazon.

people can be quants at any age. In US some banks will hire older quants with phds having being in academia. if you are 45+ it is difficult. 35+ is still possible if you have prior experience

"hey i am going to stanford". common be realistic. it is one of the richest schools in the world. you get all the connections. so teneciousj if you are an undergrad what are you doing on this forum - bit early for you isn't it. or are you admitted already.

what about programs in switzerland and UK. should there be a ranking of programs in Europe. I believe UK and continential Europe have some very good programs - they are not ranked

stats vs cs. If you are good at math, take the background preliminary courses in programming and develop your math skills. Math is hard.....! I say it again math is hard. What sort of job are you going for. If you have taken introductory courses in fundamentals of programming, algorithms...

baruch is way too high - its mfe may be okay but as a university it is third tier

i would no neither. Honestly, do you have time to do another degree. Where in the world are you. If you know math, you should be able to learn CS. Unless your first degree was from a very poor unknown school and the second BSc is from a top school. I would do neither

I am sorry but these rankings are deceiving. Putting Chicago so low is not quite right. The truth is that while UChicago MSFM has had problems it remains one of the top programs. Their faculty now teaching is superb. They manage to place a lot of their students in good jobs in Chicago. For...

i still can't believe in this day and age after 2008 that someone got away with this. where the hell is risk management. UBS is a good name. But with this it is gonna be hard. I think we are not getting the full story. UBS say fraud. maybe other banks or traders were involved.

it doesn't make sense to do MFE after PhD in financial math. You should know or be able to pick up simple portfolio stuff and other MFE stuff during your PhD studies. It is like asking whether to do a high school diploma from a top school once you have a BSc from an okay school

>> I would not bother with GRE math. You seem to show off a bit in saying that you took all these courses so why do you want to brush up math. I don't understand if you took all these math courses why would you need to boost your profile it should be good already. You seem to already have the...