Hi, quantnet, I am currently a junior in computer science at a supposedly good school. I am interested in being a quantitative developer and just had a couple of questions about relevance of my coursework to the industry. I assume algorithms is one of the best classes in any curriculum for being a quant, but I am also doing research in machine learning and wanted to know which of the principal research area, if any, have relevance with respect to algo trading / quantitative finance. I most likely have to do a senior thesis and would rather do it on something that carries some amount of weight. Thanks a lot!
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- Thread starter boner
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Do they teach you to crunch an undocumented, badly written VBA and C++ code?
This is the main skill a (junior) quant developer needs (unless s/he had luck to land by a brand new project).
The second aspect - you will benefit if you learn the domain specific (i.e. finance) know-how.
How many trading days are in a year? And interest day? What to do if a payment falls on holiday?
Have a look at QuantLib: a free/open-source library for quantitative finance and Market Risk Management | OTC Derivatives Margin Calculations | OpenGamma
(also look at my Notes on Getting started with QuantLib)
This is the main skill a (junior) quant developer needs (unless s/he had luck to land by a brand new project).
The second aspect - you will benefit if you learn the domain specific (i.e. finance) know-how.
How many trading days are in a year? And interest day? What to do if a payment falls on holiday?
Have a look at QuantLib: a free/open-source library for quantitative finance and Market Risk Management | OTC Derivatives Margin Calculations | OpenGamma
(also look at my Notes on Getting started with QuantLib)
Daniel Duffy
C++ author, trainer
- Joined
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Do they teach you to crunch an undocumented, badly written VBA and C++ code?
Unfortunately, universities and some/many academics do not see programming as a discipline that should be nurtured.
It seem to be more important that you can spit out Ito's lemma rather to being able to write well-structured code.
There is also greater emphasis on the social aspects of programming, such as learning how to program as part of a team, and how to write code that is easily re-used by other people, or "borrowing" code from other programs' source code, which was not considered immoral or illegal at the time. Some institutions focus more on pleasing the computing industry by teaching the most popular programming languages, or teaching the use of commonly available development tools, than they do on imparting the foundational concepts of computing science
Unfortunately, universities and some/many academics do not see programming as a discipline that should be nurtured.
It seem to be more important that you can spit out Ito's lemma rather to being able to write well-structured code.
There is also greater emphasis on the social aspects of programming, such as learning how to program as part of a team, and how to write code that is easily re-used by other people, or "borrowing" code from other programs' source code, which was not considered immoral or illegal at the time. Some institutions focus more on pleasing the computing industry by teaching the most popular programming languages, or teaching the use of commonly available development tools, than they do on imparting the foundational concepts of computing science
