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lost me at "spreadsheets"

actually demonstration/information content wise I liked "Too big to fail" (http://www.imdb.com/title/tt1742683/) much better.

i found moneyball extremely boring, but maybe it's because i find baseball extremely boring.

interactive brokers maybe

hold the presses, russian elections get manipulated? although i did like the article.

nobody is going to just let joe the plumber write naked calls or puts all willy nilly.

that guy needs a better screening process for interns and a higher tolerance for bullshit from freelancers.

a good poker player is that much more intimidating if you know he has a phd in combinatorial mathematics.

i have a friend who is completing a social work degree. his contribution to society will be far greater than anything I can provide as an fe. of course, i can come up with a silly idea that will be used to sell homes to people that can't afford them, but does that make me Jimmy Carter?

http://lmgtfy.com/?q=heston+and+nandi+option+pricing+model

http://tinyurl.com/3gapjvn

well you can always figure out 2 of the numbers. seems like to get the 3rd you would need to use the fact that they are natural numbers, but I am not sure how.

having watched the movie now, I think it's quite good (strong allusions to goldman etc..) i stand by my "film about var" statement. benzb-whatever, if you are familiar with the context of the movie you would understand why var. i don't understand why they kept showing the bofa tower in...

try to take your statement out of a financial context and re-think it again.

as silly as it sounds, it's their job to make markets.

http://www.imdb.com/title/tt1615147/ now my life is complete! ...$8 trillion of paper rely on that equation...

As a side note, according to FT article from today: a study by CFTC claimed that the traditional market makers bore more blame for the flash crash than HFTs because they never stepped back in, whereas HFTs came back after liquidating their net positions.

Interesting article. While I agree about the erosion of confidence due to events like the flash crash, a lot of what they say after that sounds like conspiracy theory with some truth laced in.

This is already in place, at least on CME.

we can always go back to having 200 drunk guys on an exchange floor shoving paper tickets in each others faces. At least it's entertaining to watch. A minimum limit order persistence time will solve nothing for the people that complain about HF now. They will still be too slow to react compared...

Unless you are thinking about a different flex Trade, it's not free or even relatively cheap.

Given two excellent candidates of equal strength, this would be a tie breaker if I remembered about it while choosing.

definitely a big improvement over 2009 in terms of methodology.

old joke about judging people, traditionally it's a blonde waitress.

embrace the power of multiple paragraphs.

Friday we saw approximately twice the usual volume in interest rate futures on a non-farm payroll day. This was before CME markets closed and S&P made their announcement.

An article that cites slashdot user comments and wikipedia...

and yet.... http://bitcoincharts.com/markets/

not every affluent person has to wear a $10k suit on the subway. they might be wearing ripped jeans and a tshirt just as easily.

there is a vast difference between living on foodstamps and not....

i weep for those living outside of their means.

and there i thought google was sun-starving their employees

shark week, aka 7 days of english vocabulary improvement.

watch television.

42 is always the answer

non-Greeks perceive that they stand to lose more than Greeks.

Thinking is the root of all evil.

iDroid 7

so.... MIT is great. That article reads like a wiki page to me.

Pretty neat. Wonder if he avoided ssh since the thing is running on his hardware.

From what I remember you need to run the code on the same machine where the terminal is running.

http://en.wikipedia.org/wiki/CIR_process

the plan is obviously to breed more mathematicians.

i am too disturbed to think...

So...are you just a math genius in disguise? Good luck with your MFE application...

double rnd = random(); if(rnd > 0.5) buy(); else sell(); I can definitely run that at home.

what happens when you try to value an American Call?

I was talking about this with a co-worker and we thought that if this was in NYC we would definitely go.

As Alexei said, the factors come out easily using the risk neutral derivation. I don't think the original paper used the risk neutral derivation as most people do it today.

it was a bull earlier today too. the author should have used the word "quant" a few more times.

Yike is right about sales being an important skill. Unless you can convince people that your idea has value (whether it's selling a car or proving P=NP) you will not be successful. That is not to say that some ideas are easier to sell than others.

practically speaking it makes no difference. When working with c code I often find myself writing c++ wrappers.

http://www.stat.lsa.umich.edu/~kshedden/Courses/Stat406_2006/Stat406/Notes/CLT.pdf

cheap put options. if you are going to gamble go for the big one.

So aside from the IP snafu of the other competition, it seems to follow your schema.

I am all over that bunny hill with my ipod blasting Metallica ;)

The black diamond is waiting for you ;) I disagree on wearing heavy clothing unless you plan to be on the bunny hill the whole day. Wear 3-4 layers (tshirt, long sleeve shirt, fleece, goretex jacket) and you will be fine. Balaclava ski masks are a godsent. You must have ski googles if you...

Monte Carlo methods in finance - Wikipedia, the free encyclopedia

Nice write up. Did you run any tests to confirm that the implementation behind ASIO is actually better than writing a standard concurrent queue template?

He is going to a white collar prison, although he should definitely watch out for that CPA gang. I hear they use calculators instead of shivs.

do you routinely print out thousands of lines of code and read it at home? does anyone? he was too lazy to just grasp the general logic and reproduce it independently. instead he decided to go the easy route and print everything. also the whole bit about staying late at work smells of...

His excuse was to study the code at home by printing it? The guy deserves what's coming to him.

The solution is obviously to cancel all online accounts, destroy your computer and write code using punch cards while living under a rock.

well at least he has a point of view.

expensive ;)

Well the guy is definitely a good writer, judging by the quality of that article.

If you are doing academic research you can try using kdb, kx.com . The 32bit version is free to use for non-comercial purposes.

I would love to see a "Scrubs" like show about quants. Just pretty please, if you use math, make sure it's correct.

wow, this is really quite cool. Definitely wish this was around when I was in high school.

Rule 1 of making money in "illegal" ways: don't get caught.

All the people mentioned in this article have been working in finance for 10+ years, putting them somewhere in their mid 30's and higher. That is not to say that young people wouldn't be successful, but the main reason given in the article for starting their own business is that they were tired...

$100k and what else? It takes more than that to start a business. Besides, depending on the school, a good chunk of that money will go towards paying off your debts.

I am fairly certain that if most people stop answering emails they will start answering their phones a lot more. I would rather answer emails ;)

"I want to be a Quant ideally after my Undergrad" In all honesty, if that were a realistic goal you probably would not be asking for comments here. On the other hand I don't know you so you shouldn't take things I say to heart.

n(t) = max(K-S(t), V(t))

if only it was illegal to lose money.... this seems more like a publicity stunt by CME to show that it's tough on algos than anything else.

Wow apparently the girl in the photo for the article was reduced to sitting in a shed looking sad after her application was denied ;)

i opened the thread, i see the word document, i leave the thread.

binoculars - $80 snacks - $30 bread crumbs - $5 black swan - priceless

CME's exchange is in Chicago, hence I demand all competitions happening on CME take place in Chicago!

The CME one looks pretty cool, except the location. Houston, really?!?!?!?!?

pretty cool. i am surprised this hasn't hit the huge news aggregators yet.

will be nice if it's actually $35 by the time it's released. I would definitely get one.

quant traders build very complicated machines to flip coins. discretionary traders use their fingers.

why do you care about the stock model? if you have a single execution your variance is 0.

you are computing variance with a single data point?

mmm absolute profit. Something along the lines of: if(flip_coin()) buy else sell Should work just fine ;)

Ah the American way: lawyer up and sue everything that moves.

this thread is failing to entertain in the morning.

Both problems can be found in most stochastic finance texts. You are not trying hard enough.

Looks like the bandwagon slammed into a giant red brick wall.

having your primary computer die from age is pretty freaking annoying. You can probably pick up a nice netbook for under $500 that will do what you need it to.

Wirelessly posted That's ok, Spain will put Germany in it's place ;) I second the espn3 at work

He screwed up and tried to cover it up. This has nothing to do with being a quant.

unshaved, check. untucked shirt, check. wearing shorts in warm weather, check. seems like the standard way to dress for work.

iphones for all!!

it's not legal to bet on sports online, but you are free to do as at places like Vegas.

no, I take the meaning of everything and divide by 100 ;)

I usually use 0.42 for my correlation purposes.

not exactly sfw, but funny nonetheless ;)

laugh out loud and such good find

The queue is just a thread safe wrapper for std::queue, it's not a consumer or producer by itself. It is used elsewhere and can potentially have data coming in and out from several threads (more than 2). scoped_lock takes care of unlocking, the beauty of boost ;) The push method does in fact...

I am working on a piece of code and part of it is a producer-consumer queue. The following is my pop method: void pop(Data& popped_value) { boost::mutex::scoped_lock lock(m_mutex); while (m_queue.empty()) //block while queue is empty { m_condition_var.wait(lock); } popped_value =...

dual screens are meh, just get a 60'' tv and hook up your pc to that ;)

it's not a price, it's a value.

you are too hardcore for me.... We simple folk use eclipse.

Mexico just got demoralized by that offsides call...

1997 want their internet meme back ;)

The distraction test was weird, it fills up your whole screen. So technically even if you are a multi-tasker it's easy to concentrate on it. I think that particular family is a bit on the extreme side. I doubt that most people go quite that overboard with technology.

Seems like the same old story to scare kids that are interested in finance. In the end you are either cut out for it or not.

food, give out food!

"I read somewhere...." You can't be wrong on the internet.

Baruch can handle a larger class size, but why devalue the degree? Since Baruch is part of CUNY they are allowed to charge a particular amount in tuition. Taking a larger class only allow less qualified people to devalue the degree for everyone else. Being smaller and selective is not a bad...

coming up....new diet to make trader's fingers thinner

aside from the 2 quants who do 168 hour work weeks, I think the rest of us are ok....

this email is bullshit, I definitely get up and go pee when I want to. trickle down economics, really?!?

Wish git eclipse plugin was more better ;(

let flash orders die in peace already.

this is a joke. CFTC will likely approve the contracts under consideration, but they hold no true risk transference value to anyone except film investors (i.e. production houses). given the movies are hand picked it may be too homogenized since it is likely to be limited to US films initially...

Dear diary, Today I decomposed a matrix using Cholesky. It was exhilarating and made me feel more alive than ever. Tomorrow I might even solve the system using SOR, the thought makes me tingle with anticipation. ;)

code.kx.com excellent for what it does, super expensive. we use it at work for market data processing and generating analytics.

seems to me that the type of women that would go for these positions would have the same mindset as the male traders do right now. Body chemistry aside, people do it for the money not for world peace.

i am in middle school

bet he could concentrate on math just as well if he lived without roaches and on a more comfortable bed. I consider what he is doing self-destructive. He will probably die younger than he should, thereby limiting his contribution (which is already great) to mathematics.

i printed my resume on hot pink paper.

you can give crossover a try, but when I tried to use it for MS office in general it didn't go too well. Perhaps they have improved since then.

gpa is generally not as important for people with relevant work experience. cfa doesn''t help or hurt.

Well I am not particularly worried about the child threads as they die when the parent JVM is killed. What is annoying me is the varying behavior of the shutdown hook and it's potential relation to the child threads.

I have gotten used to ending background processes by issuing sigterm, but recently I have been working on a java project that requires a bit of clean up on shutdown. The solution seemed to be to use shutdown hooks, but they appear to have a problem with threaded applications because the actual...

Depends on whether you want to keep your strategy in matlab or move it to another language. I use QuickFIX (both c++ and java, although java is better for my purposes mostly). QuickFix: Open Source FIX Engine or QuickFIX/J - Free, Open Source Java FIX engine The c++ version has a python api as...

Terms of Service Looks like a pandora's box to me. It introduces a relatively complex instruments to consumers that mostly won't understand it. At least annuity products and insurers in general are relatively well regulated, especially those that do business in NY.

I root for the underdog.

Saints. I hope they beat up Manning as bad as the did Favre.

If only there was a way to see things in 3D without paying $10k. If only we had some sort of ocular instrument that allowed us to do this for free.

quants kill cute puppies for fun!!!!

You will probably be asked questions and be expected to answer them. Financial analyst sounds like a basic business position so more likely the questions will be geared towards the "where do you see yourself in 5 years" type.

still doesn't run on 64bit linux, my money please.

have the company foward that phone # to another one...

market includes more than just the US market... FX is 24/7/365 pretty much.

the answer is always "i will be your boss", never fails...

usually a $1 annual donation to the schools fund works.

you generally have access to huge range of newspapers and other resources through a school library.

your system could be converting floats to doubles to do the underlying operations.

there were crumpets?!?!?!?!?!??!?!?!?!?!?!??!???!?!!

There is info available on the competition website. Read the cases and judge for yourself the level of quantitative analysis needed.

Isn't that part of being a quant? Making good decisions based on your knowledge?

Ilya perhaps your calling is software development then.

According to them it's more stressful to be a historian than a software engineer.

where is my flying car?

I am an educated consumer :)

I am a customer ;)

re-inventing the wheel is always bad, unless you can make the car fly because of it.

Yes, I often use them.

The search function is a good place to start.

You need to know enough to pass the interview and then you need to know enough to keep the job.

Peppy don't be disillusioned into thinking that quants or actuaries are sought solely for their mathematical prowess. Financial knowledge is very important. Keep in mind that to become an actuary you will need to take at least 5/6 exams and then another 3/4 depending on specialization.

Well my goal was "I want to buy a $10mm yacht".

I read your background as: physics major that started his own online business with limited experience that applies to quantitative computing and some self-taught finance knowledge. Unfortunately that doesn't read as a quant job qualification to me, but I am not a recruiter or employer...

The economist in this joke should be replaced by "Risk manager" and it will reflect real life precisely.

Yes lets seal the proceedings to everyone who **cked up can sleep soundly.

Uncle Wayne is really the smart one in all of this, he is properly utilizing the resources available to him. Managerial material for sure.

GARP : Global Association of Risk Professionals Basic message: Trend setters will survive, trend followers will explode in the next crisis.

Lying on the resume is ok if you are in sales, a lawyer, or a poker player; i.e. a professional liar.

If you are finding the math very hard, the area may not be for you. However, that is not to say you should give up just because of my opinion.

There are several threads about this on quantnet. stats.

Students not in the Baruch MFE are not allowed to enroll in the Stochastic Finance course, which has a graduate probability course pre-req regardless. I would suggest you take 4500, which has been moving towards becoming an intro class for FE, when I took it the class didn't feature as many...

Average experience is not an accurate representation of the student body. As mentioned by goodstudent, some have none and some have a lot. A better measure might be the median. To answer your question: no it's not impossible. I personally enrolled directly after undergrad.

Amusing little report. I got the feeling the reporter had no clue.

There are several threads on quantnet about getting market data for free or cheaply. The more granular the data, the more it will cost you. In general data is pretty expensive.

Some juicy stuff in that FAQ in terms of new functionality, seems like they are making c++ more prototype friendly.

Wilmott is a very smart guy, but that interview reads more like an ad for CQF than something else.

The google is your friend: http://gpgpu.org/ you can also use quantnet search feature.

Matlab is certainly used in practice, but rarely if ever in production.

Andy do you mean 1 & 3 are correct?

You use the number that reflects your trading horizon, in your case it's 150. More years more days. Standard deviation - Wikipedia, the free encyclopedia

An MFE is meant to prepare you for a job, although some MFE grads go on to do phd degrees. I would suggest you learn c++ as your school expects while taking that class. In fact it's probably better for you to take a c++ course than something like "fixed income securities" as long as you are...

As far as I know in order to replace the grade you need to either take an F or W in the class. Although the F or W won't count in your gpa if replaced by an A, they will still show up on your transcript during graduate admissions. This means that you need an explanation for why you did badly in...

Your problem is not relevant to risk-neutrality. Seems to me you just need to figure out probabilities of your 30-day avg closing prices falling within some range and these will come from your simulation.

Conditional probability - Wikipedia, the free encyclopedia It's good to understand the underlying principles.

Let me qualify, he said MBA with concentration in accounting and fe. To me that reads as "accountant", not "quantitative analyst".

MBA != financial engineering, ever.

That just absolutely sucks for them. Hope there is a legal recourse.

Ilya, this may surprise you, but large investment banks have a much stronger lobbying presence than even the biggest hedge funds. This thing probably won't pass anyway, it's just a bit of sensationalism.

I manage it by not managing it. Keeps me out of the major network pools of spam.

I will write you one if you write me one! ;)

<object id="ce_91503521" width="400" height="300" data="http://current.com/e/91503521/en_US"><param name="movie" value="http://current.com/e/91503521/en_US"></param><param name="wmode" value="transparent"></param><param name="allowfullscreen" value="true"></param><param name="allowscriptaccess"...

French people are known to panic first.

happy birthday aditya.

As elliot pointed out your product is a FIX engine, which is an important, but not really "algorithmic" part of electronic trading. Fixflyer is not a broker, but a vendor that supplies a fix engine and apparently an order management system as well as some analysis software. If one were to take...

Being an MBA doesn't really help in this competition.

Rotman Financial Research & Trading Lab It's open to undergrad students.

It is unlikely that the interview questions are very different from what you would find in known interview question books as well as the thread here on quantnet.

Obviously they would make clothing out of fish scales ;)

I believe you need to be enrolled in a CIS course to take advantage of that site, but definitely correct me if I am wrong.

About the only thing that makes any difference there is the battery life, the other stuff is bogus.

Take a look at Beginning Perl - perl.org , but you can probably gain sufficient interview knowledge from read tutorials that can be found via google. Concentrate on regular expressions.

If you are using a mac just stick with OS X as it's unix based and xcode is a really good all around IDE.

Yes, if you refuse to adapt you are in fact screwed going forward no matter how much R you use to do your homework.

Having read this thread (and mostly feeling dumber for it), I am still confused as to where all of these sweeping statements are coming from. Would you mind posting your sources of enrollment information for lets say the top 200 universities in the US as well as the information that tells us...

Went ahead and reinstalled cleanly. Much better.