***Bad format on last thread*** Hi everyone, Just hoping that someone on this forum could provide practical insight into the responsibilities of a ‘Quantitative Strategy Analyst’. I’ve been offered the job and therefore have an appreciation of what it can cover conceptually, though I really want to hit the ground running when I start, thus I’d greatly appreciate some practical advice :)) Please elaborate (practically) on the typical day-to-day tasks expected of such an analyst, tasks such as: * Modelling Oil prices: Demand/Supply influences, spot oil pressures to cover short-call positions, geo-political event risks etc… What would be the best way to go about modelling this in MS Excel for example? ie. regression between oil price and supply/demand data, # of short-call options written on a particular oil futures contract, etc. * Economic fundamental analysis: Interest rates and their influence on bond yields, equity prices…etc, etc… MS Excel models of regression, etc… I’m sure that there are a multitude of other topics that this role could address, so please provide comment where appropriate. Thanks for reading my post and thank you SO much in advance for your response(s)… Cheers.
Kakane, Congratulations ! Your day-to-day tasks will probably start by running models developed by others and trying to validate the results through a number of statistical tests. You will have to educate yourself on the main techniques used to develop the models (Optimization, Independent and Principal component analysis, Blind Signal Separation, … ) and eventually you will start participating in modeling. As you will probably find out soon, you will need a lot more than Excel and regression analysis to do well in this field.
Mo34, Thanks very much for your input. Regards,
Kakane Wrote: ------------------------------------------------------- > Please elaborate (practically) on the typical > day-to-day tasks expected of such an analyst, > tasks such as: Nothing typical. What is your job description? > > * Economic fundamental analysis: Interest rates > and their influence on bond yields, equity > prices…etc, etc… MS Excel models of > regression, etc… Hopefully you’re not modeling the influence of interest rates on yields as less than deterministic. You can do a correlation analysis of any pair of variables; the value add is knowing when that’s the wrong way to approach the problem. > I’m sure that there are a multitude of other > topics that this role could address, so please > provide comment where appropriate. Again you need to describe the role. You should be familiar with geometric brownian motion processes, and how to generate them for correlated variables. (“Cholesky decomposition” is a good topic to reference.) Then learn about econometric models and decide when that’s a better approach to modeling correlated variables. It’s so easy to lie with correlation analyses, so understand all the ways you can cheat with the data so you won’t end up accidentally doing that on the job.
DarienHacker, are you a quant? what type of research do you do?