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.