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The question is not "what to learn ?" but "what do you want to do with this knowledge ?"

Registration - http://championship.mql5.com/2012/en Rules - http://championship.mql5.com/2012/en/rules Previous year results - http://championship.mql5.com/2011/en Previous year winners - http://championship.mql5.com/2011/en/news/141

Both are very well known programs in EU but they are slightly different. MSc in Finance from HEC Lausanne is just your typical MSc in Finance with emphasis on derivatives while MSc in QuantFinance from ETHZ & UZH is more like master in Mathematical Finance where hard mathematical courses are run...

This is not a very quant related topic but looks like a good read for everyone: What Recruiters Look At During The 6 Seconds They Spend On Your Resume The full report (.pdf) is here.

http://screen-bug.googlecode.com/git/index.html

No, I did refer to a programs which last 9 calendar months: - MSc in Statistics from LSE - MSc in Accounting and Finance from LSE - etc

Well, some programs in UK (LSE for example) last 9 months but they are not compatible with Bologna process as far as I know.

CQF ?

You can try to find it by yourself via linkedin, for example. The last thing I've heard is that there are plenty of graduates in trading positions with degree in economics in the City.

I think you should start from FAQ in Quant Finance by P.Wilmott. All your questions which you've mentioned above are answered in this book.

Do you want to pay ~70K USD for your curiosity ?

On a side note. Don't mention it. Maybe it's indeed your goal but at the same time it's overused cliche and also doesn't improve the program's placement record if you move to home country.

Never heard of Malardalen. If you want to study in Sweden then there are 2 good Unis which offer master degree with specialization in financial mathematics - KTH and Stockholm University - both are very well respected Unis, especially KTH's math department. If you want to focus on computational...

robopool: You over exaggerate here a bit ;) It also would be a lot better if in addition to information about costs you will add what you (and other) students have reached after graduation.

EPFL is more discussed on Wilmott and other sites because EPFL's Math and CS departments are among the best in the world and it should not be a surprise if students from these departments work in London in the same way as from other well respected Math departments. Overall in science and...

Oklahoma State is there, Baruch, Imperial and Oxford are not. Just saying.

Are you aware ? http://www.eda.admin.ch/eda/en/home/reps/eur/vgeo/ref_visinf/visgeo/stutif.html Pupils and students who wish to attend a school or university in Switzerland for more than three months have to submit the following documents: ... A written confirmation of the applicant that...

Well, Europe is big. Are you EU or non-EU student after all ?

Job perspective where ?

It will be some evidence that I printed a picture of my boss ;) On a serious note, everyone prints tons of information every day. There should be some other evidence to start looking through all this data to find what you have actually done.

It's called steganography - http://en.wikipedia.org/wiki/Steganography When you send a picture of something irrelevant but some bytes in this image store some valuable information which was added by small modifications in colors.

"The hundreds" (c), then he copied it into Word before printing so I guess he played with font and layout to have as much as possible on paper. Anyway, it's not a problem to memorize some pretty code from high school. The problem is to memorize tuned code with advanced data structures, pointers...

Definitely. If a project is only 40K pages (40000x400 = ~1.5Mb which is nowhere near the real world) then it should take approximately one year to memorize it :)

Impossible. Initial idea that you have in mind is a tiny part of final implementation. There is also work of dozens people who implemented, fixed, re-implemented, tested, verified, tuned and maintained the code throughout the years, let alone some other bright ideas from other people which were...

If you move from middle office to front office in the same company - you usually have enough knowledge of supporting systems to hide all your illegal activity. Moreover, one usually have enough rights to do this because they are not revoked - IT security for front office is a mess, IT security...

why did you apply to this program ?

And course on equities and fixed income products is more helpful than time series and econometrics to be a successful quant or trader. I mean, how one can substitute another ? :)

As for Switzerland, I have never heard that any Swiss university has advertised something outside of the country. It applies even to elite programs like Math / CS / Physics / Biology from ETHZ and EPFL.

Actually, googling for "HEC Lausanne FERM" doesn't yield any reasonable resutls. Maybe "UNIL MScF - FE" or "HEC Lausanne - MScF - FE" would it a better choice? This program also has 2 more specializations which are held by other Swiss universities, but only in Lausanne one can study Financial...

Master in Finance with spec. in Financial Engineering, HEC Lausanne. http://www.hec.unil.ch/mscf/Welcome, http://www.hec.unil.ch/hec/masters/127 It was established in 1993 if I recall correctly but reorganized few years ago from 1 year to 2 years master program. If you search through...

No, I contribute from time to time to this and other sites on stackexchange.com, however I've never applied to any MFE program - I was thinking about this some time ago though.

Just an example of what I would do in this situation but take it with a grain of salt though. 1. Register on http://quant.stackexchange.com/ with your real name. 2. Contribute 3. Include link to profile in your CV 4. ... 5. Profit !!!

12K for tuition only or 12K for tuition + living ?

From techincal point of view both are turing complete so there are no advantages in terms of ability to do something in one language while it's impossible to do in other. However, there are lot of things in Java world to maintain code easier and speed up development which allow your to reach...

Would not it be better to ask Columbia Admission Office or contact someone from IEOR ?

If you are that smart you can get a position in Big 4 or BB or whatever famous company you can find in your home country. Goldman and DB are not limited to City and Manhattan - these are global corporations for some reason. With some real experience and solid name in your resume and some $$$ on...

Are you sure that you can't reduce it ? There are so many scanning options to decrese size of a pdf file (indexing for search, dpi, font etc.) Are there other options to upload the file instead of PDF ? Try different image formats with different compression options. Consider jpeg vs png - jpeg...

http://distance.ncsu.edu/courses/course-details.php?id=BUS:350::601:SPRG:2012

http://www.mines-paristech.fr/Actualites/PR/Ranking2011EN-Fortune2010.html

Thinking in C++ by B. Eckel. Free, edited by community, the name speaks for itself. PDFs are on the author's web site - http://www.mindview.net/Books

The advice on this forum is not about applications of MFE degree for a trading position, the advice is about to be as precise as possible about your goals, how to achieve your goals, about to understand what it takes, how to recover from failures etc.

It could be but time to market will suffer.

If need advice and/or motivation from others to learn something then ... you don't really need it :)

Not really, you just should be aware of this and keep it all in your head what is very tiresome - just look at these 300-400 pages manuals from AMD and Intel.

Yes, unless you use CPU specific instructions (SSE/SSE2 etc). However, if you don't use CPU specific instructions the point of writing in assembly language converges to zero.

1. FPGA is new king for high performance algos 2. GPGPU is another approach but future belongs to FPGA 3. If you are still interested in assembly language the best source that i'm aware of is here http://arl.wustl.edu/~lockwood/class/cs306/books/artofasm/toc.html

Yes, absolutely. The only other way to return to interesting posts right now is to google "quantnet <thread title>".

Create a new R package which would allow other people to use your new model.

Do you consider Finance IT option, at least for now? Last thing I've heard is that there are UBS IT in Cracow and Barclays IT in Prague.

I'm not that sure that LSE is a safe bet. If you look at the programming courses at LSE than there are only few Java courses for MSc in Applicable Mathematics and C++ for MSc in Financial Mathematics and that's all. Hence, I very doubt that if you are not a CS major with some hardcore low-level...

Asking someone else is to do the real work for you for free is. I don't see any problem if people are different and not all of them are willing to take a high risk-high reward position. Moreover, the p.5 and author's view reminds me some clients from this hillarious video.

Could someone explain what's wrong with p. 5 from this article ? It's seems like a legit response to me.

There is no single thing like overall latency, there are tons of latencies to consider: - number of hops on route to the exchange - can you decrease it with optimized routing table and specialized hardware ? - transfer protocol overhead - are you sure that you need extra packets with...

It's more like - you can talk about bonuses but you don't initiate the talks.

High frequency trading system design and process management.

For what kind of tasks ?

May be it would be wiser to contact Chicago MSFM program directly to speak with director or someone else who can give you more reasonable advice ?

There are 2 type of programs: 1. Fit your needs. 2. Don't fit your needs. And these rankings - they are not a destination but starting point in the process of understanding your needs. Moreover, most rankings don't cover programs in Applied Mathematics, Statistics, Machine Learning...

A question which is asked on interview in some software development companies. I guessed 3 natural numbers - x,y,z. You can ask me about two sums of these numbers with any coefficients - a,b,c. For example, you give me a1, b1 and c1 and I tell you the result of the exrepssion a1x+b1y+c1z. Give...

http://code.google.com/codejam/ - tasks from previous competitions are available - use whatever language http://projecteuler.net/ - my favorite - use whatever langauge. I'm competing with a friend here. The nice part is that after you solve the problem you can look at the discussion from other...

If you have an interesting story then people will be eager to hear more. If you will repeat cliche after cliche during the whole presentation then people will be upset after the first 30 seconds and eventually press "fast forward".

I have never applied to any MFE program but if this presentation is similar to "talk about yourself" question on any other interview than please find my concerns below. They already know it from your CV/Transcripts. You just spent 1/5 of your time on something other people already know and you...

Indeed. For some reasons in some situations companies don't like to specify explicitly that they are hiring a person in this or that area (e.g. for a new project or for a new type of products etc.). Therefore they prefer to work with HH, hide behind and only interview people who they agree to...

More free C++ code. http://finance.bi.no/~bernt/gcc_prog/recipes/recipes/

"If you know something, just say you know it, and then be prepared to answer questions about it during your phone screens and/or interviews. " (c) Steve Yegg. Ten Tips for a (Slightly) Less Awful Resume

Make sure you don't have the same typo in your CV ;)

This is exactly what Joel Spolsky mentioned in his article about The Law of Leaky Abstractions. Joel gives some very nice examples of leaky abstractions and C++ like Java and like other programming language is not protected from a weird things. One of the examples from this article:

Not really - I'm not that sensitive :) My post is not about to defend Java (either as language or some way to get more money) but to get a better arguments to abandon it.

There was a thread recently about the 25 weirdest interview questions. These questions remind me the post from Eric Lippert (C# compiler architect in Microsoft) who tried to imagine the following situation: So enjoy the great read. What would Feynman do ?

Are C++ fanboys loosing their ground to other programming languages so badly that they start to atack them? Few random points though. I'll give a hint. You can't leave a school without some basics in math in almost all countries. Does it scare you? Should all quants and financial engineers...

I don't quite understand the bolded part - you don't agree with what exactly? That this schema exists, that it works or something else ?

All above is just some humble opinion from my past observations. I've been on both sides. The problem with outsourcing is that some companies don't understand how to deal with it. For them it's just the way to reduce costs but in reality it's a completely different way to run your business and...

Hm ... Never ? What's "illegal" position and how come that bank's internal restrictions (about a position's limit) can put someone in jail? FYI, Nick Lesson wasn't pleaded guilty because his actions destroyed Barings or he blowed the limit but because he forged some documents in order to hide...

It was edited I believe - OP is a self-starter and learn from his mistakes which is a good sign :)

Hi, Tip №1. Never ever start a presentation of you from weaknesses. Tip №2. Never ever mention MFE, Quantitative Finance and HTML in the same paragraph let alone the same sentence. You are welcome :)

I would run and run fast - 2 things come to mind: - they are indeed bored - you are not welcome, if it's a boring job but they want you they will never ever tell something bad about this position It either case it's not worth a further discussion.

Define "fully utilise"? Both are Turing-complete.

Never heard about this. The only blog which is close that I'm aware about it's a Matt Davey's Tales from the Trading Desk. Not HFT's quant but he covers a lot essential things in his blogs from order management and communication with exchanges through appropriate data strucutres, algorithms and...

There is comics at xkcd.com on the same topic as P. Norvig's article that alain has posted above.

Your paper copy of contract is not terminated suddenly when you leave the company.

You were fooled :( Usually there is an appendix to your contract. This appendix contains some information about the situations when it's ok disclose your salary - something like "Only to the lawyer or government or similar" - it's written in better enlgish of course. It could be a lot wiser to...

Few random replies about the topic. RTJ and any other real time specifiation have nothing to do with speed. Read time is always about guarantees and never about speed of execution. If you can guarantee that under any circumstances you can complete required operations in 1 hour (whatever other...

I disagree. You WON'T have to go to the Facebook or twitter only when all your friends will move their social life to Google+. Did they move to Orkut ? Did they move to Wave ? Did they move to Buzz ? Did they use Knoll instead of Wikipedia ? Did they use Google Videos instead of Youtube ? If...

I smell another fail here like with orkut, buzz, wave etc. I appreciate their persistent effort but they have to understand - if I use gmail for some communications with friends or for business purpose it doesn't imply that I want it to be my twitter, tumblr or facebook and I want to be annoyed...

It looks like that a lot of fresh graduates here work in development roles (because there are a lot of questions about software development) and to some degree tips for IT resumes should be helpful for them as well. I just found quite good article from Steve Yegge in my old bookmarks about...

As for LaTex there is a great side called - CV Inn with a very neat introduction how to write your CV in LaTex - http://www.cv-templates.info/ As for .doc it is indeed a very bad choice. If you still want to use MS Word format then you can save it in .rtf. - rtf can be read on a many plarforms...

There is some buzz around the new open source framework for concurrent programming - Disruptor. It is an essential part of infrastructure for LMAX exchange. Project's site at Google Code Techical paper for Disruptor Video presentation at QCon

The only things that beat Java and only in FO are C++ and VBA as it was mentioned above. This is pretty clear and there is no need to prove the obvious thing. The whole point of our discussion is the following: Java beats all other C based languages except C++ in terms of popularity and...

I've counted. Still can't understand what is your criteria. What are other options ?

Years of experience. What is yours? Yep. Mark to market ;) Yep. Go ahead. C++ can be ahead of Java (for pure financial engineering roles). C# can be close in some cases and in some banks with strong MS lobby but usually there are less positions. C ? No way!

This statement is completely wrong. Go to your preferable web site with jobs postings in finance and comapre Java vs C++ vs C# vs whatever. Java is far ahead of every other programming language - back office and middle office are Java worlds right now and there are no reasons why this should...

In addition to AMP from Microsoft AMD had announced gDEBugger. http://developer.amd.com/tools/gDEBugger/Pages/default.aspx Few screens are below: http://developer.amd.com/tools/gDEBugger/PublishingImages/4_api_statistics_view.png...

Write some code in C-style, compile it with C++ compiler and pretend that you wrote in C++;) PS. Just kidding.

I had an opportunity to work with three devs who moved to FO recently - one moved to flow trading and two others became quants (desk and algo trading, respectively). All are extremely good developers and worked very hard for 7-10 years in IT for the same BB to get perferct understanding of the...

Nice link! It's so called "job security through code obscurity". There is a great peresentation available on this topic - Unfactoring from patterns.

http://sfi.epfl.ch/mfe (MFE @ EFPL) - if understand "French MFE taught in English" right.

Agree here. There is no way to reuse kernel for these tasks. I was mainly thinking about system programming that could help GPU to blossom. No, just find this approach when you don't have to rewrite your code a lot more promising.

You already answered this question already, don't you? We need to have improved syscall implementation and this is the reseach goal of kgpu project. And of course there is so much software on top of kernel so you will not even know that you use GPU in kernel mode. On the other side maybe it's...

At the moment the only way to utilize GPU for legacy software is to rewrite it from scratch which is quite consuming task. The better way would be, and KGPU is designed with this in mind, is to allow kernel decide what is the best way to utilize resources and if it's suitable to use GPU let it...

Nvidia and University of Utah released KGPU to the community - http://code.google.com/p/kgpu/ (source code is available) This lools like a next big thing that can really move GPU closer to end users because there is no need to rewrite the code - transition is quite seamless, just run the code...

And the next question is (usually) - lets consider we have 1000 rooms will you generate 52K cards and then shuffle every deck or you can come with more memory efficiten solution and how will you shuffle cards in this case.

But whatever you want then use prefered software for dual boot (for Mac see http://www.apple.com/support/bootcamp/) or virtualization software.

Don't waste your time on C++/CLI - I guess this is what you mean by .NET from C++ perspective.

If so then consider one of the following: http://www.amazon.co.uk/CLR-via-3rd-Jeffrey-Richter/dp/0735627045 - The best and the most precise description of CLR if you don't count CLI specification ;) http://www.amazon.co.uk/C-Depth-Jon-Skeet/dp/1935182471 - C# and BCL. Simple language...

And the best thing about this book is that it's free. However, I'm concerned that roni's book could have introduction to C++/CLI.

I'm confused what do you mean by "VisualC++ .NET" ? - C++ development in VS - C++/CLI - Win programming (MFC, WTL, COM) in VS All books you've mentioned are about completely different things.

Maybe I misunderstand something here :) Could you point to the papers/slides if possible. So far these words look quite odd to me: - Everyone uses the same algorithms and there is nothing new to propose != bottle-neck. - Everyone is able to process data 10^6 times faster than they were few...

Yes, it looks so. I only hope we are not the only persons here who read all this stuff ;)

Yes, it was so. Until you tried to compare apples with oranges and brought .NET with MFC into discussion to say that it's completely new de-facto API and somehow and tried to compare XLib with WinForms. If you want to compare XLib with its counterpart don't tell me about MFC but use GDI+ for...

Why ? I don't care whether they are multi-platform or not - it's the same level of abstraction on top of graphics API as MFC or WinForms or WinApi. .NET API is multi-platform now because of Mono. Should we eleminate it from discussion? Ok. Lets go through your example. I just modified it a bit...

Yep, agree about this - I thought you were talking about another level of abstraction. Lets look at XLib as example of well established API in the Linux world - we have XLib and on top of it we have QT, GTK, Motif etc. Lets look at GDI+ as counterpart of XLib from the Windows world - we have...

How come that Linux platform is not overhauled by QT and WxWidgets and XUL for native developemnt and Swing and SWT for Java and lets not forget about Abobe Flex SDK? I bet they copy each other in terms of core functionaliy however I don't see anything wrong in good understanding of all or at...

Yes, agree here. I just didn't want it to look like good vs. bad but rahter one way vs. another way. You can have a very good support from one part the community and in different situation you can be treated like a retard by another part. However, I can't agree with that - well, to be...

Yes, you are right I refered to this problem exactly. However, I woudln't state that everything is clear with programming interfaces in Linux. There are great things (for example, I am big fan of D-bus and it is what COM should actually be) but to say that situation as whole is a way better than...

Still light years ahead of compatibility between different Linux distros.

Reason for 99% of alls BSODs is a poorly designed driver which is not ceritifed by WHQL (Windows Hardware Quality Labs) and failed to handle situation like memory allocation failure due to fragmented memory or something like this. This small window which usually pops up when you try to install...

Win 7 / Vista have a lot of new features. Of course both are desktop OS so mainly it's about how to develop UI (think about Touch API, Taskbar, High DPI, Sensor and Location API, Direct2D and DirectWrite technologies, interaction with devices and power management etc.) but there are also very...

Because it's not about speed - you still can't handle a tick-level data here and don't realy need it - but ease of implementation and testability.

I see another pattern here - recruiters try to sell more and more positions with words "quantitative" and "front office", even if responsibilities mean work on wrapper around wrapper around quant lib with other unrelated stuff they would still try to sell this position to you as "quantitative"...

Few points from me: 1. Be able to overcome "leaky abstactions" http://www.joelonsoftware.com/articles/LeakyAbstractions.html You have to understand what's going on under the cover - Java, C++ or whatever. Garbage collection or shared pointers are great, but you have to undertand what...

VHDL.

The name of the article is a bit misleading. Should be something like "Why we don't hire one trick ponies".

Why not ? :) There are a good dozen of such topics about interview questions at various companies - Jane Street, GS and Two Sigma to name just few and, more to say, I think that every graduate student, is very intersted to see more topics with interview questions at these companies on this and...

Hi What exactly shows that Boost.Pool is a bottle neck and what interface do you use? Is your app multithreaded? Maybe it's not allocator itself but just a contention for the single pointer. Have you looked at other malloc improvements? As for custom allocators - there is no silver bullet. If...

F# is a very small part of the FP world. Erlang and Haskell have very mature implementation of their VM available on Win, Lin and Mac. Lisp and ML are not far behind. F# on the other hand has it's own place - functional programming in the .NET/Excel world where it's nice to have. Perhaps I...

http://www.infoq.com/news/2011/03/oop-out-at-cmu IIRC, CMU was the first university where they introduced Master in Computational Finance with a good portion of C++. And now they are the first to drop OOP out of their curriculum for the 1st year CS students. Imo, it's quite interesting trend...

GPA is great indicator of commitment and overall level for recent graduates. It doesn't matter a lot for those with experience who can demonstrate in their CV something other than list of relevant courses, for example, to mention a new risk management system in major IB that was built from...

I believe that they have all the rights to think so. The "problem" with universities in Germany/France/Russia is not that they are weak but that academics in these countries have created their own "ecosystem" where they teach courses in russian/deutsch/french, are published in journals in...

http://harmful.cat-v.org/software/c++/I_did_it_for_you_all

Private beta has been opened - Log In - Quantitative Finance - Stack Exchange Public beta will open in one week, at February, 7.

There are many ways to start with C/C++ and every has its own pros and cons. I would recommend my own. Start with Amazon.com: C Programming Language (2nd Edition) (0076092003106): Brian W. Kernighan, Dennis M. Ritchie: Books by Kernighan and Ritchie. It's small book but it covers everything...

As for p.1 it's quite helpful. I think I undestand what you mean, Andy. Thanks for time to explain!

Some time ago I've started to work on my application package to prepare myself for MFE and 2 questions have rised. Perhaps someone has something to share. 1. Let say, I had personal problems in my last year in the university (disease of a family member) therefore my thesis was some kind of weak...

Start with tests! If you have some classes for numeric operations than you need to have test cases. Just write the simple client for your code, when you will start working on test cases you will see possible problems with your code - somewhere it would be hard to inject dependencies, somewhere...

Glasses: the ultimate image changer

You may want to look at Jim Gatheral "Volatility Surface" book. It has nice article on volatility surface asymptotics in general and short expirations in particular.

Then you should enjoy this :) code slate: you don't bury survivors

I'm not quite sure about "career in finance" but if you ask about "to start career in finance for a foreigner" I would rank Hong Kong as No 1 from my experience - it is limited so take it for what it worth but it's still a someone's experience ;) - Very easy to get work visa - 2K USD...

Tons of them: - New security model from SL - Covariance and contravariance for interfaces (was here previously for delegates) - Lock free data structures and few more synchronization primitives - Thread pool improvements = multiple queues + work stealing - Optional and named parameters -...

You may want to look at http://www.markjoshi.com/downloads/advice.pdf

One way is to look at C++ and libs. You can try to use Boost or some math libs. For example, intel math library - Intel® Math Kernel Library - Intel Software Network Another way is to look at specific languages (compiler / runtime). For example, Google uses sawzall for logs processing and it's...

InfoQ: Targeting the GPU with GPU.NET - new product has arived (it's still beta though) Neat tutorial on how to start: Tutorial: Your First GPU.NET Application | TidePowerd Implementation of BlackScholes is also availabe among few examples: CSharp.BlackScholes at master from tidepowerd's...

MIT already switched to Python from Schema. There are various interviews with Sussman about this decision. For example, you can find it here: Why MIT now uses python instead of scheme for its undergraduate CS program | cemerick However there is no single word about C++, pointers, recursion...

If one has general quesion, then he should not complain about general answer. It's very hard to provide description of program in general because different people have different priorities - one is very interested in scholarships while another just doesn't care, one is interested in placement...

5. Linkedin can be useful to track the career path of former students or contact the current students/look at their background.

So, to see the performance improvement they replaced outdated SQL Server 2000 and managed apps on Windows server 2003 with brand new server and native apps. Hmm ... I wonder, did they run benchmarks with Oracle 8th version as database on backend? ;)

AMD unveiled alpha version of their pure Java API for GPU programming. InfoQ: Aparapi: New, “Pure Java” API for Executing Arbitrary Compute Tasks on GPUs Unveiled at JavaOne Aparapi (home page)

Until you post your makefile and say what exactly doesn't work there is not too much to say.

I realy like DINA - Dina Programming Font - DonationCoder.com (it's modified Proggy) It has all the characters on the first page and you can see that it was speciall designed to distinguish between: - 1 (one) - ! (exl. mark) - I ( like L) - l (like big I) - o - 0 (zero) - O - braces...

I would stick with the book recommended by your ppofessor even though I've never read "Foundations of Algorithms" by Brassard.If you are looking for extra information there are 2 books in alogrithms that are must have in my opinion: 1. "Introductions to Algorithms" by Cormen (you've mentioned...

Hi There are 3 books that I would recommend in your situation. Thinking in C++ by Eckel - to cover some basics. it's available online for free and it's great book to begin for someone with experience. Coding standards by Sutter - to be familiar with best pratices, possible pitfalls Effective...