justin88 Wrote: ------------------------------------------------------- > Muddahudda Wrote: > -------------------------------------------------- > ----- > > justin88 Wrote: > > > -------------------------------------------------- > > > ----- > > > Muddahudda what kind of quant trading do you > > want > > > to do? > > > > > > I’d like to work for a CTA/managed futures > > building models and applying them to the > markets. > > Something akin to the turtles. > > How are your programming skills? A lot of quant > shops do modeling in legitimate programming > languages (i.e. not Excel) such as > C++/Java/Python/R/Matlab/etc. Fairly non-existent. I only have one illegitimate language (VBA)… Humour me here for a second. If I were to pick up a bunch of C++ books etc, how long would it take to become proficient. I’m not suggesting I am going to do this for one minute though I am learning Spanish/French/German at the moment (thank god for the internet & rosetta stone…) so I might just give it a go!.
Muddahudda, I was in your exact position a few months ago with respect to programming and C++. All recruiters, as well as knowledge gained from lurking at Wilmott, NuclearPhynance, QuantNet, etc. have informed me that the thing that will make or break me will be my C++. My quant-focused PhD, with a double-digit publication count while still a graduate student (more than half of those as first author), and finance knowledge are totally useless beyond first getting me the initial interview. Doing well and getting past them requires hard and focused preparation, some of which was on knowledge totally independent of my graduate studies. Many people opine that the amount of programming required to be considered advanced/expert is 2-5 years full-time. To adequately survive initial interviews, you might require something like 6 months part time, but that is only with respect to the C++ core language and says nothing about the other stuff they will test you on like: - algorithms, data structures, and general computer science ideas like efficiency in space and time - finance-related programming (model derivatives) (As an aside, if you get hired as a Phd quant in this new environment, perhaps even more so in the coming years, you are most likely going to be hired as a quant developer, not as a quant analyst or quant trader. Anything is possible, just speaking in generalities.) ----- My suggestions on the programming front is to approach it along the following levels: RAW BEGINNER - Deitel - Introduction to C++ - SAMS - C++ Choose one of the above C++ books to get started, but it will depend heavily on your C programming knowledge as well (SAMS - C is a good introduction, no need to get into crazy stuff like K&R’s C, the bible of C). C++ introduces a lot extra stuff (object-oriented thinking that involves encapsulation, inheritance, polymorphism) in the core language, as well as the add-ons that are highly used in quant development such as the Standard Template Libarary, BOOST libraries, and QuantLib libraries. The latter two are peer-reviewed libraries, and are in the process of being standardized with committee members from the C++ standardization committee having heavy influence. You might want to get one good Microsoft compiler and one good non-Microsoft compiler. AT the beginning, I suggest that you download the free edition of Microsoft Visual Studio 8.0, Express Edition, which is free. ----- INTERMEDIATE - CORE LANGUAGE Once you get past the initial language facilities, you will need a more in-depth treatment of the subjects covered. - Eckel - Thinking in C++ [Vols. 1 and 2] These are highly regarded, and best of all, free. Just google them. - Cline - C++ FAQ This drills down into the nitty gritty (aka: the stuff they will ask you about in the interviews). Not super advanced stuff, but a high amount of bread and butter knowledge that you need to be a decent developer. ----- INTERMEDIATE - FINANCE FOCUSED The following two books are highly regarded by the quant community for beginners making the transition into intermediate. - Joshi - C++ Design Patterns and Derivatives Pricing - Duffy - Introduction to C++ for Financial Engineers ----- INTERMEDIATE - INTERVIEW FOCUSED The best books I’ve come across are the following. These people have interviewed on both sides of the desk for companies including Google, Amazon, Apple, Yahoo, and a variety of startups. - Mongan, Giguere, Suojanen - Programming Interviews Exposed - Laakmann - Cracking the Coding Interview ----- There’s much more that I want to write in terms of advanced C++ books and brainteasers, math, quant finance related to a job, but after you get started on these books, just search some combination of the keywords “C++” and “interview” on Wilmott, they can pick up from here. You might also be interested in the following book: - Chan - Quantitative Trading The author is a physics PhD from Cornell that worked at big name hedge funds and investment banks as a quant trader, before striking out on his own. He outlines steps for you to get started, that might not require the PhD route. ----- Regarding the subject of this thread, I wanted to say a few things. I wrote them down on my iPad last night, but accidentally navigated away from the page and it was all lost! First of all, I don’t doubt at all that you are very intelligent and fully capable of completing a PhD program. However, I highly discourage your going down the PhD route if you are already in your mid-30s. The only reason to do it, IMO, is that you love the subject and it is an ends in itself. Otherwise, it is pure hell having to finish it and any doubt of your decision to completion gets amplified 1000x as the time goes by. The graduate classes are going to be very difficult, most especially if you are displaced a few years from your undergraduate days or are unfamiliar with a new subject. You will have to jump through ridiculous hoops like multiple oral and written qualifiers where you can get kicked out, many people I know have gotten kicked out. Also even if you ace your classes and exams, the research is another beast and requires a different skill set. You will have to make an original contribution in a field where people have been working hard for decades! Also,there’s no guarantee that the PhD will land you a position as a quant trader unless you master all the C++/math/finance/brainteasers to get through the interviews. Some of these firms are highly discriminatory about the Phds they even want to see, for example, some listings I saw for the top firms said not to turn in your resume if you aren’t top N and have a stellar GPA. ----- Hope that helps. I’m in the process of writing a guide for all my friends who are interested in landing a quant job, and this is the first draft of the section focused on the programming aspect of the preparation. I’m trying to contribute more positively to this forum, as I’ve benefited greatly from advice from others, as opposed to just having it be a source of entertainment (fight, insult, and joke with people).
Sublimity, that is a MONSTER response. If there were an AF MVP (most valuable post) award, you’d take it right now. No one else need apply. I think that post will serve as both a bookmark guide for prospective quants and a benchmark for how to respond informatively with structure and content. I guess I mean to say thanks. Having said all that, you’ve put me off living life the ‘Way of the Quant’. The Phd is off the menu - i’m way past it and am used to earning a decent wage (and there is no trust fund to fall back on). It appeals as I am intellectually curious and want to transform my career trajectory. Notwithstanding that, I wish I had the insights you provided when I was in college and looking for a forward path. Illuminating. Top notch. Really very good. I 'm tempted to get one of your beginner books on my kindle for the hell of it.
Great post sublimity! Chad should “sticky” it. Good luck with your interview!!
sublimity Wrote: > > I’m trying to contribute more positively to this > forum, as I’ve benefited greatly from advice from > others, as opposed to just having it be a source > of entertainment (fight, insult, and joke with > people). Not too bad, seems that you have grown up a bit, just don’t think that insult is a source of entertainment for adults
Muddahudda Wrote: ------------------------------------------------------- > Sublimity, that is a MONSTER response. If there > were an AF MVP (most valuable post) award, you’d > take it right now. No one else need apply. I think > that post will serve as both a bookmark guide for > prospective quants and a benchmark for how to > respond informatively with structure and content. > I guess I mean to say thanks. > > Having said all that, you’ve put me off living > life the ‘Way of the Quant’. The Phd is off the > menu - i’m way past it and am used to earning a > decent wage (and there is no trust fund to fall > back on). It appeals as I am intellectually > curious and want to transform my career > trajectory. > > Notwithstanding that, I wish I had the insights > you provided when I was in college and looking for > a forward path. Illuminating. Top notch. Really > very good. I 'm tempted to get one of your > beginner books on my kindle for the hell of it. Agree on the great post. You seem to have matured a lot in the past 6 month :). As for Muddahuda, all is not lost. Most places I interviewed at ( for Quant analyst/trader and not quant developer positions) you can get by with Matlab. The focus here is on the analysis and not on making a code run faster or integrate better. If you can learn Matlab ( which is fairly straight-forward) you can still compete for this type of position ( assuming you have great financial ideas to compensate for your lack of PhD).
mo34 Wrote: Most places I > interviewed at ( for Quant analyst/trader and not > quant developer positions) you can get by with > Matlab. The focus here is on the analysis and not > on making a code run faster or integrate better. and that’s probably what truly a quant position is anyway. the definition is quite loose and lots of banks and recruiters market certain pure developer positions as “quant” in order to increase their appeal to candidates, while little or no finance knowledge is necessary as long as you are a hardcore programmer. without downplaying the importance of programming skills in a quant role, if you remove the research/analysis component this becomes just in-house software developer. it can be very frustrating to find yourself in such role if you have a real interest in quantitative finance
I interviewed for a position where the main concern was not whether you could optimize code (they had other coders for that), but whether you could prototype the code in a way that made for rational analysis of the data. In other words, if you have good financial analysis and can code well enough to express that analysis in some kind of algorithm, they’d then take it to their professional coders to figure out how to make the thing run in 21 milliseconds instead of 200. Not all shops are that way, but you should know there is quite a variety of needs out there.
Good luck to all jobseekers. I wrote that post to calm my anxiety about this job search. Every day when I wake up, I think: “I hope to get a call back or at least a rejection, I’m so screwed!” Every night when I go to sleep, I think: “I should have done and prepared mored today, I’m so screwed!”