Asset management to HF

quantsmodelsbottles

Active Member
Hi all,

As of recently I'm working at a big asset manager (think AQR, PIMCO, BlackRock, DFA, T. Rowe Price, etc.) as a junior research analyst in the trading division after graduating with a Bachelors. The thing is that smart beta strategies are run instead of finding alpha, in the light of the academic framework of Efficient Market Hypothesis. However in the future I do want to be generating alpha and working with stat arb, signal generation, etc. The two things I do have going for me is that I'll 1) gain a lot of knowledge about market microstructure (and perhaps also NLP) and 2) have access to high-frequency tick data. 1) is an obvious case, do very well at the job and add value there. For 2) would it help to build a toy HFT strategy/backtesting tool in my spare time at work? No one expects it to actually work but it might show sound statistical methodology, good programming, and working with relevant data. Or just focus on 1)? Thanks in advance!
 

grisha

New Member
C++ Student
Hey, I'm in a pretty similar situation with quant asset management about a year out of undergrad. For what it's worth, I was able to get a final round at a well-known HFT shop by leveraging a crypto project I built in my spare time. The crypto exchanges are a great sandbox to practice some of the techniques because the API's they provide are pretty similar to what you would see on a "real" exchange. Full orderbook feed + FIX API for execution. It wasn't even close to paying rent or anything, but they were very interested to hear about my strategy.

Having bombed that interview, I'm now shooting for an MFE. But I would say showing the initiative to build your own trading strategy goes a very long way. Assuming you are doing it in a systematic and scientific way and not just clicking buttons day trading FX or something. Also by no means recommending to do it specifically with crypto, I know it's a source of debate.
 
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quantsmodelsbottles

Active Member
Hey, I'm in a pretty similar situation with quant asset management about a year out of undergrad. For what it's worth, I was able to get a final round at a well-known HFT shop by leveraging a crypto project I built in my spare time. The crypto exchanges are a great sandbox to practice some of the techniques because the API's they provide are pretty similar to what you would see on a "real" exchange. Full orderbook feed + FIX API for execution. It wasn't even close to paying rent or anything, but they were very interested to hear about my strategy.

Having bombed that interview, I'm now shooting for an MFE. But I would say showing the initiative to build your own trading strategy goes a very long way. Assuming you are doing it in a systematic and scientific way and not just clicking buttons day trading FX or something. Also by no means recommending to do it specifically with crypto, I know it's a source of debate.
I might need the MFE to transition too sadly. To get some good exp and offset a bad GPA I just have to last a few years on the street...which is not so trivial as I am finding out
 
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