Algo Trading : Requirements

[Alok]

Algo Trading: Requirements.

 

[DominiConnor]

I am close to finishing my Ph.D in Computer Science and plan to look for a job in Algorithmic/Quantitative trading. My Ph.D is in "Analysis of Algorithms".

I've done that sort of thing, very little of what I did was relevant in any way to algotrading ?

>Essentially, I take algorithms that work well in practice ("Hueristics") and try to explain the math behind them.


of Interesting skill to have, if you can actually do that. You have no idea of the depth some of the holes that await you on your career path.


I have a Masters in Computer Vision and a Bachelors in EE.
Obvious uses for both these in AT, expand please upon what you did in CV.

I have done quite a bit of coding in C++.
As the resident C++ bigot I am always glad to see that.

I plan to target both the executing side ("VWAP", "Implementation Shortfall") and the Alpha generation ("Trend Following", "Statistical Arbitrage") side of Algo trading.
Yes, well, I suppose.
In the spring I dined with the CS faculty at a very good school, and expressed the notion that they seemed to be doing hardly anything weird, and that they had spent 2 hours showing me cool things, not one of which I couldn't understand. It worried me then, and I can't help but think you need some (but not too much) novelty here.


(1) I do not have any specific background in Finance, i.e., I have not taken any courses in Stochastic Calc/Derivate pricing, PDE etc. Will this be a problem?

Yes. AT makes less use of them, but they expect at least basic competence.

(2) Since I will be applying in Algorithmic trading, how much of the "traditional" quant stuff do I need to know for the interview?
That's a bit elastic, I have a reading list...

Will I be expected be expected to be familiar with PDEs for instance?
You ought to hack your way through the Schaum outline book on this.

How about Statistics?
Worries me a bit that you did an MS in Computer Vision and ask this question. A lot of AT is stats, you can't know too much, and I fear you know too little.

(3) Would some Algo trading gurus have some suggestions about how exactly I should prepare (i.e., what I should read up) for my interviews?
i'm not an AT guru, I merely headhunt them. But you need to read Wilmott's Big book of banking (the three vol set not the single book), brush up your prob and stats.You need to research game theory, gambling math, and read Taelb's stuff and form a view on whether he is a charlatan or a genius. He's a friend of mine, but don't care which side you take as long as you can back it up.
Also you need to finish learning C++, trust me you're not ready yet.
I tend to recommend a mix of Sutter and Duffy's books for people like you.

Don't suppose you've done GPUs ?
We've got a job for an extreme high end GPU AQD...


(4) Finally, how is the job market right now for Algo traders?
Very good. But you're not quite an AT, you're a set of components from which an AT might well be assembled.

 

[amit patel]

I came across requirement in high frequency AT where they need IT people to support traders and AT applications.

In this kind of role, is there any possiblity where we can learn and move to business role or quant role I mean may be after gaining 2-3 years of experinece on such applications and also parallel persuing FE.

Please advise.

 

[amit patel]

I forgot to mentione that I've 8 years of experinece in C++ and Unix and working for IB. But unfortunately not at right place. So thought this position would be helpful to get into quant side role in 2-3 years.

Any thought ?

Thanks !

 

[DominiConnor]

I came across requirement in high frequency AT where they need IT people to support traders and AT applications.

This may well be the hole I mentioned, waiting for you to fall into it.

It is very easy for someone with your background to fall into tech support roles, especially someone with skills in analysing code.


In this kind of role, is there any possiblity where we can learn and move to business role or quant role

Possible yes, probable, no.

With your background, getting a job will be easier than for most people, but sadly that comes at a price that it's more likely to be ѕhit than for other people.

 

[amit patel]

With your background, getting a job will be easier than for most people, but sadly that comes at a price that it's more likely to be ѕhit than for other people.

Would you please explain more on these please ? In context of what ? Thanks.

 

[vkaul]

I have experience in computer vision(PhD research) which uses PDE based variational methods,signal processing(Masters level courses and some projects) and control theory. I have done a Masters in Mathematics with Advanced Analysis, Hilbert Spaces, Statistics classes.
Like you suggested I am working on C++ skills and honing my knowledge in finance right now. But which kind of role is good for me, quantitative analyst/trader/researcher or in risk analytic ?

 

[Andrew Symes]

Check out "High-Frequency Trading"

It's a new book (called "High-frequency trading" by I. Aldridge). It's available for pre-order on Amazon.com (or Amazon.co.uk). It's not out yet, but is supposedly a great book.
Good luck with your job search!

 

[DominiConnor]

With your background, getting a job will be easier than for most people, but sadly that comes at a price that it's more likely to be ѕhit than for other people.

Would you please explain more on these please ? In context of what ? Thanks.
You've got IT skills, and many will try to suck you into IT jobs. Although some will help you progress to where you want to be, most will not, by a factor of >100:1

One reading of your skills is that you are world class at understanding how existing programs work. That to some people will read as "maintenance code monkey".

You don't have a classical quant background, so some firms will gently sidestep you into IT department jobs.

Having IT skills means you are vastly more likely to be lied to as to how "close you are to the money" in the roles you get offered.

Bizarrely this can mean taking skills off your CV.
It is worth building a view of your skills table than implies that you don't know what "a view of your skills table" means.
That means SQL, VB.NET, Perl, Java, HTML, et al disappear. Anything that looks like "housekeeping" IT. But VBA can stay...