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Would you really say "Martingale" in a Quant meeting?

donny

donny

Joined
4/28/10
Messages
73
Points
18
Hey friendly QuantNet community,

This is Donny here again, the guy grateful for each of your comments about 2 months ago which made him ultimately decide to take a hedge fund job in Singapore.

In my final semester in college, I decided to enroll a class on "Measure Theory" - yup, a class consisting of topics in the abstract realms of mathematics namely borel sets, probably measure, Borel-Cantelli, etc.

Then, I was suddenly thinking to myself. Exactly when would I go up to the senior portfolio manager and say "Boss, although I have modeled this process as a martingale, I'm still finding it hard to find a closed form solution for its expectation."

I'll like to casually ask you, especially the quants, whether I would ever say such a statement (I'm allowing the hypothetical situation that I'm in DE Shaw for example). If yes, ooohh ... learning this stuff is so cool and useful. If no, well ... its cool too and I'll just have to keep such words to myself.

Thank you.
Donny
 
This is a great question. I'm going to try to sneak the word "martingale" into every meeting I have for the rest of this week. (The audit readiness meeting tomorrow morning is going to be a real challenge.)
 
:D
The participates of your meeting will most probably think you had a lovely bird watching session during the weekend that just passed.
 
If you're trading... you're constantly faced with whether or not the process is a martingale, as the answer to the question determines whether or not you can consistently make money trading. Quant shops are deeply aware of this fact.
 
Well, I didn't make any promises about how I would use the word....

Anyway, to answer your question, it depends very much on the context. Yes, I could see it happening, but usually if you don't know the other participants' backgrounds it's best to stay away from technical details unless your intent is to reassure them that they don't have to worry about it, you've got it all under control. In which case I find it's usually better to just drop it in there casually and then move on. Some folks can be a little touchy if they get the impression you're trying to show off--or show them up.

I remember one case where I was dealing with a senior RM whose staff was very quantitative and who asked me a question whose only real answer was quite technical. I gave a full answer and got outright yelled at by this guy because I didn't understand at the time that his background was not as strong as his junior guys', so in the end I was unintentionally making him look bad in front of them. Lesson learned: Explain as much as possible in a way that a general audience can understand, and only supply technical detail when it's explicitly asked for. (And when it is, make sure your answer is both smooth and correct so that you sound very, very smart when you're doing it.)
 
I guess your boss will reply: the expectation of a martingale is its present value.
 
You should say martingale at the next poker game.
 
Off topic Donny, how is it going in the new job? Share some experiences :)
 
Hello all,

To Ohad, I have yet to start. I'll start work January next year. It's quite a different feeling, walking around campus knowing for sure that I'll be doing real stuff in the real world once I take my last examination. It as though it's my final game in NCAA, where textbook stuff always teaches and then saves you, after which I'll enter the NBA and get eaten up by Kobe.

Thank you bob for the note. Definitely, I wouldn't want to show up the managing director by unnecessarily creating some sort of intellectual divide; he is after all the one getting the investors not me. I do like your suggestion do introducing such terminology in a smooth, correct and smart manner. I can picture the results which I assume would give me more credibility and would assure the bosses that at least Donny knows some stuff.
 
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