How to Get a Quant Job in Finance(financejobs.co)
financejobs.co
How to Get a Quant Job in Finance
https://www.financejobs.co/development/how-to-get-a-quant-job-in-finance.html
140 comments
"Following which he worked for the Royal Bank of Scotland from 1999 to 2005 as a quantitative analyst at a variety of levels, finishing as the Head of Quantitative Research for Group Risk Management."
No wonder he moved to Australia.
No wonder he moved to Australia.
My great-uncle went pure math (he had an Erdős number of 1), a brief sojourn in industry, pure math.
From the stories I've heard the industry stint was purely about money. He had grown up very poor and had four children, a few years working on oil field and bond models was enough to supplement his professor salary for the rest of his career.
On the other extreme is someone like Simons who left pure math to found a hedge fund and is still at it billions of dollars later.
From the stories I've heard the industry stint was purely about money. He had grown up very poor and had four children, a few years working on oil field and bond models was enough to supplement his professor salary for the rest of his career.
On the other extreme is someone like Simons who left pure math to found a hedge fund and is still at it billions of dollars later.
I worked at a hedge fund at the start of my career, though it was somewhat atypical as it was a very new fund and had more of a startup environment than a well established hedge fund. The work was a fantastic split between analysis and building new software to run the fund.
But to your point, the CTO of the fund was a pure math phd who got into finance/coding when his advisors asked "Ok so now how are you going to make money". which is common for most of the heavy duty quants I know.
But to your point, the CTO of the fund was a pure math phd who got into finance/coding when his advisors asked "Ok so now how are you going to make money". which is common for most of the heavy duty quants I know.
And also theoretical physicists. Permanent jobs are hard to find in these domains...
What's the upside to admitting on HN to having front office experience?
Seriously? Why are you on HN at all?
I'm going to assume your comment wasn't as mean as it appears in writing.
Why am I here? Because I started my first business in college, then went into finance to get some 'real world' experience, and then went on to start several other businesses (both tech and finance). I've employed quite a few people over the years, had some good times, some bad. You know : The basic entrepreneurial story. I started programming with 6502 machine code, C, C++, Perl, and more recently Python, Scala and GPUs. Will likely start something to do with deep-learning/NLP in the New Year. HN feels like home. That's why I'm here.
As to the content of my comment : It was intentionally low. I wanted to see how many negatives a valid comment about actually being in the finance industry would generate (-2 after a couple of hours, constant since). And, besides, any person in the finance business would immediately smile at the clear-cut upside/downside evaluation that is so common in the business. I just said it out loud.
Best wishes to you.
Why am I here? Because I started my first business in college, then went into finance to get some 'real world' experience, and then went on to start several other businesses (both tech and finance). I've employed quite a few people over the years, had some good times, some bad. You know : The basic entrepreneurial story. I started programming with 6502 machine code, C, C++, Perl, and more recently Python, Scala and GPUs. Will likely start something to do with deep-learning/NLP in the New Year. HN feels like home. That's why I'm here.
As to the content of my comment : It was intentionally low. I wanted to see how many negatives a valid comment about actually being in the finance industry would generate (-2 after a couple of hours, constant since). And, besides, any person in the finance business would immediately smile at the clear-cut upside/downside evaluation that is so common in the business. I just said it out loud.
Best wishes to you.
Pure math to head of QR risk management over the period when RBS took on insane leverage and relied on wholesale lending markets staying at low rates forever. An assumption that was incorrect and led to RBS being bailed out by UK tax-payers.
Good work fella.
Good work fella.
head of quantitative research = spending all your time on pricing models for complex derivatives. it's unlikely he had anything to do with RBS's overall financial strategy
Head of modelling risk for RBS. Maybe some of it was derivatives. Some of it should have been modelling the cost of borrowing money on wholesale markets. The RBS strategy was leverage to the hilt, borrow short, lend long. Lunacy.
Maybe he thought it was a bad srategy until he calculated in the likelihood of tax-payer bailout if things went wrong.
[deleted]
But hey, it must have been a fun, taxpayer-subsidized ride. Or as a certain person in the industry once famously said: "As long as the music's playing, you've got to get up and dance", right?
should have paid more attention to the machines in the dinosaur pen :-)
For non uk peeps a while back RBS had major screw up on the mainframe side that meant that some people where not able to access their bank account for days weeks for one of the NI subsidiary's
For non uk peeps a while back RBS had major screw up on the mainframe side that meant that some people where not able to access their bank account for days weeks for one of the NI subsidiary's
Having hired a lot of quants and programmers in finance I can probably give a bit of background on what to expect:
Get this book, read it and understand it.
http://www.amazon.com/Heard-Street-Quantitative-Questions-In...
Quants tend to be in 1 of 3 categories:
1) pricing quants, you work for a bank or investment house like Goldamn. You know stochastic calculus very well, you know finite differencing like the back of your hand. You'll know every way to look at a derivative product. You can program in matlab. You create the next big thing like CDO's or CDS's
If you love math, this is where you want to be.
2) Quants who trade You work at a hedge fund. You can program in python with scikit or use R. You don't know calculus maybe as well as a pricing quant but you know some area of the market much much better. You know stats like its your mother tongue.
3) Risk quant/programmer. You do modelling all day for a trader or risk manager. You can take a portfolio and model any feature that someone ask for. Var, beta, greeks, you can spit them out quickly. You know C++, excel and R. You might have been an engineer in a former life.
This is often considered the low position in the quant hierarchy. This is how some programmers break into the industry.
4) I lied there is actually special category 4). This is the professors of quants. You sit around all day and think about the next big equation, or how to model derivatives better than black scholes. If you are one of these people chances are your name is known in the industry:)
EDIT someone asked if you can do these without a math degree. The short answer is probably not. YOu'll need a math, engineering, or physics degree, unless you really are driven to learn hte math yourself.
A comp sci degree might work but you would be the exception and you'd be fighting up hill. Ask your self honestly, how many branches of mathematics have you self taught yourself and you'll get your answer. For most the answer is none, for a select few the answer is yes.
Someone asked about brain teasers. They do get asked, you have to deal with it, whining in an interview that this type of question gives no useful hiring indicator won't get you hired. I don't ask them but they are common:(
We throw around brain teasers at work during the day trying to stump each other. I guess some of it is trying to look smart. Some of it is that we just really like to dissect any problem and figure it out.
I think the biggest reason for asking brain teasers is that at a hedge fund there are no rules for how to make money, excluding legal. They want people who can think outside the box. it turns out that its really tough to test for "can the candidate think outside the box"?
Trading is a higher stress job than most other math or programming jobs, what we are trying to see is not only are you smart, but can you think on your feet and not get stressed out, because if an interview stresses you out, whats going to happens when a $50,000,000 position that should be going up starts to go down.
Are you going to complain that the model says it should go up and the market isn't being fair, or are you going to accept what's happening and get back to work? You'd be surprised at the number of people who chose option 1.
I ask a bunch of questions that some people feel are brain teasers. In between questions I'l throw out what's the square root of 225 to see how the candidate reacts. Good traders seem to be exceptional at mental math, with very, very few exceptions.
I'll also ask alot of probability questions. Get ready to know what your expected payoff is if you gamble on dice games, its basically what you do every minute of the day when trading:)
Now if you are a programmer, how do you get into the industry? You need to know stats, machine learning, and programming, really well.
And I don't mean know machine learning, like "I tool an nlp library and stiched it together to do sentiment analysis on a corpus of text". I will ask what algorithms the underlying library used. You used SVM, great talk to me about your kernel selection methods. I want to know that you understand the math, and more importantly the assumptions and limitations of the library you are using.
The reason is that when you trade on a model that is based on your machine learning, I want to know that you know when it breaks. Finance is an industry that loves to model but has crashes that are predicted to happen 1 in 1000 year events happen every 10 years.
I love helping programmers who want to become quants get into the industry. Please feel free to ask if you have questions!
Get this book, read it and understand it.
http://www.amazon.com/Heard-Street-Quantitative-Questions-In...
Quants tend to be in 1 of 3 categories:
1) pricing quants, you work for a bank or investment house like Goldamn. You know stochastic calculus very well, you know finite differencing like the back of your hand. You'll know every way to look at a derivative product. You can program in matlab. You create the next big thing like CDO's or CDS's
If you love math, this is where you want to be.
2) Quants who trade You work at a hedge fund. You can program in python with scikit or use R. You don't know calculus maybe as well as a pricing quant but you know some area of the market much much better. You know stats like its your mother tongue.
3) Risk quant/programmer. You do modelling all day for a trader or risk manager. You can take a portfolio and model any feature that someone ask for. Var, beta, greeks, you can spit them out quickly. You know C++, excel and R. You might have been an engineer in a former life.
This is often considered the low position in the quant hierarchy. This is how some programmers break into the industry.
4) I lied there is actually special category 4). This is the professors of quants. You sit around all day and think about the next big equation, or how to model derivatives better than black scholes. If you are one of these people chances are your name is known in the industry:)
EDIT someone asked if you can do these without a math degree. The short answer is probably not. YOu'll need a math, engineering, or physics degree, unless you really are driven to learn hte math yourself.
A comp sci degree might work but you would be the exception and you'd be fighting up hill. Ask your self honestly, how many branches of mathematics have you self taught yourself and you'll get your answer. For most the answer is none, for a select few the answer is yes.
Someone asked about brain teasers. They do get asked, you have to deal with it, whining in an interview that this type of question gives no useful hiring indicator won't get you hired. I don't ask them but they are common:(
We throw around brain teasers at work during the day trying to stump each other. I guess some of it is trying to look smart. Some of it is that we just really like to dissect any problem and figure it out.
I think the biggest reason for asking brain teasers is that at a hedge fund there are no rules for how to make money, excluding legal. They want people who can think outside the box. it turns out that its really tough to test for "can the candidate think outside the box"?
Trading is a higher stress job than most other math or programming jobs, what we are trying to see is not only are you smart, but can you think on your feet and not get stressed out, because if an interview stresses you out, whats going to happens when a $50,000,000 position that should be going up starts to go down.
Are you going to complain that the model says it should go up and the market isn't being fair, or are you going to accept what's happening and get back to work? You'd be surprised at the number of people who chose option 1.
I ask a bunch of questions that some people feel are brain teasers. In between questions I'l throw out what's the square root of 225 to see how the candidate reacts. Good traders seem to be exceptional at mental math, with very, very few exceptions.
I'll also ask alot of probability questions. Get ready to know what your expected payoff is if you gamble on dice games, its basically what you do every minute of the day when trading:)
Now if you are a programmer, how do you get into the industry? You need to know stats, machine learning, and programming, really well.
And I don't mean know machine learning, like "I tool an nlp library and stiched it together to do sentiment analysis on a corpus of text". I will ask what algorithms the underlying library used. You used SVM, great talk to me about your kernel selection methods. I want to know that you understand the math, and more importantly the assumptions and limitations of the library you are using.
The reason is that when you trade on a model that is based on your machine learning, I want to know that you know when it breaks. Finance is an industry that loves to model but has crashes that are predicted to happen 1 in 1000 year events happen every 10 years.
I love helping programmers who want to become quants get into the industry. Please feel free to ask if you have questions!
This article and discussion are quite timely for me, as I was recently offered a position as a "quant analyst" at a derivatives arbitrage firm -- from what I understand, similar to 3).
My other two options are working at an ambitious new robotics startup, and a PhD in deep learning.
I have a few questions:
1) What would you say is a reasonable salary range for someone with a master's degree in computer engineering and a year of experience in back office, as well as an assortment of ML side projects? How high could you expect it to be in 2, 5, 10 years?
2) Is it very difficult to break into the industry? This opportunity just landed in my lap (recruiter), and I'd like to know how likely it is that I'll find something like it again.
3) Will a PhD in machine learning (and the resulting five year gap in the industry) make me more or less employable? How will it affect my salary/job opportunities?
4) Just how much of the job is reading and implementing machine learning papers, and how much of it is general software engineering?
5) Where can you derive meaning and satisfaction from a job in quantitative finance? How do you reconcile the opportunity cost to society from not working on directly socially beneficial applications in fields like medicine and artificial intelligence?
My other two options are working at an ambitious new robotics startup, and a PhD in deep learning.
I have a few questions:
1) What would you say is a reasonable salary range for someone with a master's degree in computer engineering and a year of experience in back office, as well as an assortment of ML side projects? How high could you expect it to be in 2, 5, 10 years?
2) Is it very difficult to break into the industry? This opportunity just landed in my lap (recruiter), and I'd like to know how likely it is that I'll find something like it again.
3) Will a PhD in machine learning (and the resulting five year gap in the industry) make me more or less employable? How will it affect my salary/job opportunities?
4) Just how much of the job is reading and implementing machine learning papers, and how much of it is general software engineering?
5) Where can you derive meaning and satisfaction from a job in quantitative finance? How do you reconcile the opportunity cost to society from not working on directly socially beneficial applications in fields like medicine and artificial intelligence?
> How can you reconcile the opportunity cost to society [...]
There are two fine institutions that may help with this: taxation and charity. If you earn a lot of money, then you pay a lot of taxes and can afford to give a lot away.
Everyone likes to complain about taxation, but it's what turns a free market full of individuals and corporations all (to a good first approximation) trying to maximize their own wealth into something that benefits everyone.
And the most effective charities seem to be able to save a life (or provide a kinda-equivalent amount of other benefits) for something in the vicinity of $2000. (Important cautionary note: all such figures are very rough and you shouldn't trust them too much.)
So, suppose you have a choice between a quant-finance job of, let's suppose, exactly zero social value, and a job in medicine that pays $50k/year less. And suppose you'd be equally happy in either aside from ethical concerns. Then by taking the quant-finance job and giving away all your extra earnings, you give your government (let's say) an extra $20k/year to spend on schools and hospitals and police and roads -- and, unfortunately, various other things you might approve of less, so let's say it's the equivalent of $10k/year going to something obviously valuable like teaching, so you're paying for about 20% of an elementary-school teacher. And you give an extra $30k to (I hope) very effective charities, so maybe you are saving 10 lives a year.
So it comes down to the question: is the medical job more beneficial to the world than 20% of an elementary-school teacher and 10 poor Africans' lives per year?
You might answer that either way, but at any rate I don't think it's obvious that the answer is that the medical job is better.
(Some notes: I am not claiming that anyone who goes into finance in preference to another worse-paid job is obliged to give away all the extra money they earn. Only that doing so is one option, and that it might work out pretty well ethically speaking. It might be psychologically difficult to give away so much of one's earnings. It might be harder to "derive meaning and satisfaction" from things as indirect as tax and charity, compared with deriving them from one's actual work. It can be argued that quant-finance has positive social value, but I'd be skeptical of claims that it has much. I do not work in finance and never have, though being a mathematician it's always possible that one day I might.)
There are two fine institutions that may help with this: taxation and charity. If you earn a lot of money, then you pay a lot of taxes and can afford to give a lot away.
Everyone likes to complain about taxation, but it's what turns a free market full of individuals and corporations all (to a good first approximation) trying to maximize their own wealth into something that benefits everyone.
And the most effective charities seem to be able to save a life (or provide a kinda-equivalent amount of other benefits) for something in the vicinity of $2000. (Important cautionary note: all such figures are very rough and you shouldn't trust them too much.)
So, suppose you have a choice between a quant-finance job of, let's suppose, exactly zero social value, and a job in medicine that pays $50k/year less. And suppose you'd be equally happy in either aside from ethical concerns. Then by taking the quant-finance job and giving away all your extra earnings, you give your government (let's say) an extra $20k/year to spend on schools and hospitals and police and roads -- and, unfortunately, various other things you might approve of less, so let's say it's the equivalent of $10k/year going to something obviously valuable like teaching, so you're paying for about 20% of an elementary-school teacher. And you give an extra $30k to (I hope) very effective charities, so maybe you are saving 10 lives a year.
So it comes down to the question: is the medical job more beneficial to the world than 20% of an elementary-school teacher and 10 poor Africans' lives per year?
You might answer that either way, but at any rate I don't think it's obvious that the answer is that the medical job is better.
(Some notes: I am not claiming that anyone who goes into finance in preference to another worse-paid job is obliged to give away all the extra money they earn. Only that doing so is one option, and that it might work out pretty well ethically speaking. It might be psychologically difficult to give away so much of one's earnings. It might be harder to "derive meaning and satisfaction" from things as indirect as tax and charity, compared with deriving them from one's actual work. It can be argued that quant-finance has positive social value, but I'd be skeptical of claims that it has much. I do not work in finance and never have, though being a mathematician it's always possible that one day I might.)
If the financial job in question is an exact zero sum job (with 0 social value), then neither taxation nor charity would help at all, because essentially while doing your job you're already causing a negative value to someone else. And even if you give always ALL your wealth, you'd just return those wealth back to society. In essence, after a lot of shuffling of wealth around, you still didn't contribute anything.
(And again, that's an "IF". I'm not stating whether the premise - financial job is a zero sum game - is correct or not.)
Doubtless there are roles within the financial industry deserving of the "vampire squid" label in social impact, but I'd expect them to be fairly obviously unethical if not outright illegal on inspection (deceptive sales of risky exotic derivatives comes to mind). Quantitative pricing of exchange-traded products (e.g. HFT) is much harder to argue against, IMO. To me it seems like a clear net positive to process information better than others to offer more competitive prices to anonymous buyers and sellers, because tightening spreads means more efficient markets through better price discovery. It doesn't sound very different than a retailer undercutting prices by running a leaner business than the competitors and afford lower profit margins. Of course the competitors are screaming bloody murder, but how is this not good for society?
> 5) Where can you derive meaning and satisfaction from a job in quantitative finance? How do you reconcile the opportunity cost to society from not working on directly socially beneficial applications in fields like medicine and artificial intelligence?
If this is a strong concern of yours you should probably go with one of the other two options. There's opportunities to make money in many industries. You might not end up with as high as a net worth as you would've if you went into quantitative finance, but that's not an absolute rule and you'll more likely burn out if you don't find satisfaction in your job. This isn't a dig towards anyone that is in the finance industry and enjoys their job, but it's common for people to end up quitting from dissatisfaction/work conditions.
Besides that, a robotics startup sounds pretty exciting.
If this is a strong concern of yours you should probably go with one of the other two options. There's opportunities to make money in many industries. You might not end up with as high as a net worth as you would've if you went into quantitative finance, but that's not an absolute rule and you'll more likely burn out if you don't find satisfaction in your job. This isn't a dig towards anyone that is in the finance industry and enjoys their job, but it's common for people to end up quitting from dissatisfaction/work conditions.
Besides that, a robotics startup sounds pretty exciting.
To be clear, I'm an engineering whose moved into the quantitative side, but am really poor at stochastic calculus, I haven't used it in 5 years. I wouldn't get a pricing job at a top their Investment house:) So I can't speak for the kind of quant job that most people consider to be the typical quant job.
Off the top of my head...
> 1) What would you say is a reasonable salary range for someone with a master's degree in computer engineering and a year of experience in back office, as well as an assortment of ML side projects? How high could you expect it to be in 2, 5, 10 years?
First off your education counts for nothing when negotiating salary. If you can do the job, you get the salary for the job. Some people really have a tough time of letting go of this. I don't care if you have Phd or are a high school drop out, you get paid based on performance and role.
In Toronto, starting $100,000 with raise to 200,000 at the high end in 10 years.
Bonus is 0 - 2x that, expect about 0.75 . Alot of that would be based on the firms record and not your own. It doesn't sound like you'd be actually making money so you have a chance to be higher if you develop trading strategies.
That's great money but not the kind of money some people think. You don't get huge bonuses until you, yourself, produce even larger profits.
> 2) Is it very difficult to break into the industry? This opportunity just landed in my lap (recruiter), and I'd like to know how likely it is that I'll find something like it again
Connections really help. A Phd really helps. Writing a piece of open source software that a firm uses really helps, Writing a paper that the firm uses really helps. Jobs can be hard to come by as the industry is pretty incestuous. People move around alot and that means someone trying to break in has to answer the question of why hire you instead of the guy whose done this for 10 years and I know everyone he's worked for.
> 3) Will a PhD in machine learning (and the resulting five year gap in the industry) make me more or less employable? How will it affect my salary/job opportunities?
If its for pricing, it probably won't help at all. If its a HFT then it helps.
Machine learning is used alot less than people think at most funds. Alot of people are under the assumption that you can just apply some machine learning to the market and make money, it just isn't possible for most people. There are just too many factors that can affect the price of a stock.
how do you model panic? Consumer confidence? Russia invading the Ukraine? OPEC selling oil below $80 a barrel? The US invading Iraq?
All of these affect the price of stocks, and its often modeled as an additional fudge parameter, that is positive or negative according to the whims of the modeler on that particular day, in other words, its a hack in the greatest sense:)
4) Just how much of the job is reading and implementing machine learning papers, and how much of it is general software engineering?
A lot less than you'd like. a ratio of 10:1 plumbing vs paper implementation is about what I do and I get to chose what i do:( If you think about it, the algorithm is small compared to the surrounding code you need just to get an order out the door.
Back testing can be 3 weeks out of 4 sometimes because for every idea you have that succeeds, you'll have 10 that fail at some level.
> 5) Where can you derive meaning and satisfaction from a job in quantitative finance? How do you reconcile the opportunity cost to society from not working on directly socially beneficial applications in fields like medicine and artificial intelligence?
Not touching this question with a 10 foot pole. I know I'm really excited for Monday mornings, others might not be.
Off the top of my head...
> 1) What would you say is a reasonable salary range for someone with a master's degree in computer engineering and a year of experience in back office, as well as an assortment of ML side projects? How high could you expect it to be in 2, 5, 10 years?
First off your education counts for nothing when negotiating salary. If you can do the job, you get the salary for the job. Some people really have a tough time of letting go of this. I don't care if you have Phd or are a high school drop out, you get paid based on performance and role.
In Toronto, starting $100,000 with raise to 200,000 at the high end in 10 years.
Bonus is 0 - 2x that, expect about 0.75 . Alot of that would be based on the firms record and not your own. It doesn't sound like you'd be actually making money so you have a chance to be higher if you develop trading strategies.
That's great money but not the kind of money some people think. You don't get huge bonuses until you, yourself, produce even larger profits.
> 2) Is it very difficult to break into the industry? This opportunity just landed in my lap (recruiter), and I'd like to know how likely it is that I'll find something like it again
Connections really help. A Phd really helps. Writing a piece of open source software that a firm uses really helps, Writing a paper that the firm uses really helps. Jobs can be hard to come by as the industry is pretty incestuous. People move around alot and that means someone trying to break in has to answer the question of why hire you instead of the guy whose done this for 10 years and I know everyone he's worked for.
> 3) Will a PhD in machine learning (and the resulting five year gap in the industry) make me more or less employable? How will it affect my salary/job opportunities?
If its for pricing, it probably won't help at all. If its a HFT then it helps.
Machine learning is used alot less than people think at most funds. Alot of people are under the assumption that you can just apply some machine learning to the market and make money, it just isn't possible for most people. There are just too many factors that can affect the price of a stock.
how do you model panic? Consumer confidence? Russia invading the Ukraine? OPEC selling oil below $80 a barrel? The US invading Iraq?
All of these affect the price of stocks, and its often modeled as an additional fudge parameter, that is positive or negative according to the whims of the modeler on that particular day, in other words, its a hack in the greatest sense:)
4) Just how much of the job is reading and implementing machine learning papers, and how much of it is general software engineering?
A lot less than you'd like. a ratio of 10:1 plumbing vs paper implementation is about what I do and I get to chose what i do:( If you think about it, the algorithm is small compared to the surrounding code you need just to get an order out the door.
Back testing can be 3 weeks out of 4 sometimes because for every idea you have that succeeds, you'll have 10 that fail at some level.
> 5) Where can you derive meaning and satisfaction from a job in quantitative finance? How do you reconcile the opportunity cost to society from not working on directly socially beneficial applications in fields like medicine and artificial intelligence?
Not touching this question with a 10 foot pole. I know I'm really excited for Monday mornings, others might not be.
This is a great rundown. It's worth mentioning though that if you are interested in HFT in particular but not necessarily being a "quant", there are lots and lots of really interesting technical problems to be solved as a pure software developer.
The upside is not the same as being a very successful trader, but it can still be head and shoulders above working at the Amazon/Google/Microsoft's of the world. Writing high performance, high availability trading infrastructure is hard, and scaling it globally is even harder. A successful HFT firm will be iterating on it's infrastructure fast enough that there is always interesting work to do, especially if you like distributed systems.
The upside is not the same as being a very successful trader, but it can still be head and shoulders above working at the Amazon/Google/Microsoft's of the world. Writing high performance, high availability trading infrastructure is hard, and scaling it globally is even harder. A successful HFT firm will be iterating on it's infrastructure fast enough that there is always interesting work to do, especially if you like distributed systems.
Pay is reasonably divided based on those 4 category breakdowns as well.
1) High guaranteed, little upside 2) Low guaranteed, high upside 3) Moderate guaranteed, little upside, better QoL? 4) Low, none..., excellent QoL
I'm not sure how I'd feel discussing kernels of an SVM with someone -- to me, that feels pedantic. I generally feel that the fundamental driver to 'models no longer working' is evolving covariance dynamics (changing linkages) -- this has very little to the mechanisms of most ML tools.
Perhaps the metaphor I'm looking for is that I wouldn't expect a carpenter to be able to build and explain the components of a power drill to use it to help my house.
QuantFi is a huge discipline -- you build teams with hopefully a mixed bag of skills. On the trading side, I'd rather have someone with experience w.r.t to the market + products than math-jutsu any day.
1) High guaranteed, little upside 2) Low guaranteed, high upside 3) Moderate guaranteed, little upside, better QoL? 4) Low, none..., excellent QoL
I'm not sure how I'd feel discussing kernels of an SVM with someone -- to me, that feels pedantic. I generally feel that the fundamental driver to 'models no longer working' is evolving covariance dynamics (changing linkages) -- this has very little to the mechanisms of most ML tools.
Perhaps the metaphor I'm looking for is that I wouldn't expect a carpenter to be able to build and explain the components of a power drill to use it to help my house.
QuantFi is a huge discipline -- you build teams with hopefully a mixed bag of skills. On the trading side, I'd rather have someone with experience w.r.t to the market + products than math-jutsu any day.
How high is high and how low is low? I'd assume even the lowest payed quants are making high 5 or low 6 figures at a bank.
All relative and the curve is certainly right tailed.
There are trader/quants who basically work for free for just upside at lots of prop shops + HFs. There's actually deals WORSE than that where people sacrifice a lot for upside participation in their strategy.
Trading at a bank is a mixed objective problem generally -- much of what you do is NOT about making $ so understanding how and why people make what they make is not trivial.
I can't imagine a world where any of these wouldn't be at least low 6 figure roles -- the banks/HFs/prop-shops have to pay to compete with the Googles/Facebooks of the world.
There are trader/quants who basically work for free for just upside at lots of prop shops + HFs. There's actually deals WORSE than that where people sacrifice a lot for upside participation in their strategy.
Trading at a bank is a mixed objective problem generally -- much of what you do is NOT about making $ so understanding how and why people make what they make is not trivial.
I can't imagine a world where any of these wouldn't be at least low 6 figure roles -- the banks/HFs/prop-shops have to pay to compete with the Googles/Facebooks of the world.
How would one go about getting a job as a #3 with an MS in economics but no practical finance experience? I can code reasonably well, know stats reasonably well, and know calculus reasonably well, but could easily bone up on all 3 in about 2-3 months, enough so to confidently pass the interview process. But how would I get an interview without any finance connections?
Lots of options:
One-hops (1-2 year stint then transition out)
1. Programming gig at finance facing software shop 2. Programming gig at exchange
No-hops
1. Work on popular open source framework in heavy use (ZeroMQ, QuickFix, pandas, sympy, sklearn, etc) 2. Find headhunter/recruiting agency 3. Attend local finance oriented meetups and schmooze
I wouldn't trivialize the hiring process -- all of these roles are pretty competitive.
One-hops (1-2 year stint then transition out)
1. Programming gig at finance facing software shop 2. Programming gig at exchange
No-hops
1. Work on popular open source framework in heavy use (ZeroMQ, QuickFix, pandas, sympy, sklearn, etc) 2. Find headhunter/recruiting agency 3. Attend local finance oriented meetups and schmooze
I wouldn't trivialize the hiring process -- all of these roles are pretty competitive.
People act like finance is some secret inner sanctum, but it isn't. Finance companies/hedge funds advertise on job boards like any other company. They also often use very aggressive recruiters so finding the recruiting company du jour in your area and talking to them can help.
I've worked (well over) a decade programming in the financial sector, and I got my first job in the industry based on a headhunter and 20 minute interview phone call. It just turned out that I was damned good at it.
I've worked with some brilliant mathematical people, and I've worked with many who were not so brilliant. There are a ton of people who do the 'math' and 'stat' work at major financial institutions who are nowhere near as good at math as they should be. I haven't found it to be much different that any other industry from a programmatic perspective.
I've worked with some brilliant mathematical people, and I've worked with many who were not so brilliant. There are a ton of people who do the 'math' and 'stat' work at major financial institutions who are nowhere near as good at math as they should be. I haven't found it to be much different that any other industry from a programmatic perspective.
Thanks, great information. I'm a software developer, and I have worked for a long time in the telecom/mobile/VoIP sector. Half a year ago I switched to SW development in the financial world (not quant though). I am currently halfway through a really excellent book aimed at technical people moving into finance (quant or otherwise). It's called The Complete Guide to Capital Markets for Quantitative Professionals" [0] (yes, I know, no prize for imaginative title).
So far, it's been a fantastic read. Detailed, good information, and very well written. I saw the recommendation for the "Heard on the Street" book. I was wondering if people can recommend some other books for moving into finance?
[0] http://www.amazon.com/Complete-Quantitative-Professionals-Mc...
So far, it's been a fantastic read. Detailed, good information, and very well written. I saw the recommendation for the "Heard on the Street" book. I was wondering if people can recommend some other books for moving into finance?
[0] http://www.amazon.com/Complete-Quantitative-Professionals-Mc...
Thank you for writing such a clear and detailed post. I wish I had this information back in grad school.
I am very interested in #2 (quant trader). I studied Electrical Engineering back in school, and took classes on stats+probability as a part of my degree. I wanted to do something mathy, but through an interesting turn of events, I ended up in software development (Java -> Python -> Javascript).
I'm thinking of kicking the tires and refresh my stats/probability knowledge, but most online courses I could find are pretty introductory in nature. What would be a good path for me to be seriously considered for #2?
I am very interested in #2 (quant trader). I studied Electrical Engineering back in school, and took classes on stats+probability as a part of my degree. I wanted to do something mathy, but through an interesting turn of events, I ended up in software development (Java -> Python -> Javascript).
I'm thinking of kicking the tires and refresh my stats/probability knowledge, but most online courses I could find are pretty introductory in nature. What would be a good path for me to be seriously considered for #2?
Someone asked about brain teasers. They do get asked, you have to deal with it, whining in an interview that this type of question gives no useful hiring indicator won't get you hired.
Or to put it another way: if your hiring culture enshrines shallow, game-show style intellectualism along with such a condescending, "just suck it up" attitude towards candidates... then don't whine that you can't find decent programmers.
Or to put it another way: if your hiring culture enshrines shallow, game-show style intellectualism along with such a condescending, "just suck it up" attitude towards candidates... then don't whine that you can't find decent programmers.
It's just a culture filter. If they have data backing up their methods, that would be nice to see and compare to Google's hiring process that rejected puzzles and brain teasers. I personally don't think there's any correlation with brain teasers and programming ability though.
One point to note. The more prestigious the school the more mathematics is thought in my experience. In my school the comp sci-major had more math lectures than the physics students (and better grades, as physics where becoming unpopular putting a higher bar on the comp. sci entry grades).
In my school you had a class for 6 months: introduction to programming, that's it! The rest of the 5 years where basically only math/algorithms (machine learning, statistics, probability, compiler algorithms and such).
I've heard that this is changing as the industry values practical programming experience, but boy would I've been pissed if I'd spent 5 years to learn ancient tech.
I'm quite pissed about people getting a comp. sci. degree from knowing some C++, HTML5 and bubble-sort nowadays from shabby universities. Get of my lawn!
In my school you had a class for 6 months: introduction to programming, that's it! The rest of the 5 years where basically only math/algorithms (machine learning, statistics, probability, compiler algorithms and such).
I've heard that this is changing as the industry values practical programming experience, but boy would I've been pissed if I'd spent 5 years to learn ancient tech.
I'm quite pissed about people getting a comp. sci. degree from knowing some C++, HTML5 and bubble-sort nowadays from shabby universities. Get of my lawn!
>Good traders seem to be exceptional at mental math, with very, very few exceptions.
I would have thought no exceptions. What are the characteristics of the few who make good traders despite not being exceptional at mental math?
I would have thought no exceptions. What are the characteristics of the few who make good traders despite not being exceptional at mental math?
I know very successful quant traders who are so poor at mental arithmetic that they reflexively use ipython to compute 20% of $100M.
Writing correct trading algorithms has more to do with knowing what your blind spots are than being good at math party tricks.
Writing correct trading algorithms has more to do with knowing what your blind spots are than being good at math party tricks.
It depends on the type of trader. Before the days of automation, it was essential. If you could do the mental math the fastest, you would get the best trades. Not surprisingly, this skill matters less when all your trading activity is conducted by algorithms.
I'm in university for engineering right now, and this is an industry that I have been considering going into when I get out of school. What are things I can be learning/studying/reading/doing in the interim to give myself a head start?
I am already a good programmer and my mathematics ability is not lacking. My weakest point is probably finance, as I only have a rudimentary understanding of economics.
I am already a good programmer and my mathematics ability is not lacking. My weakest point is probably finance, as I only have a rudimentary understanding of economics.
>someone asked if you can do these without a math degree. The short answer is probably not. YOu'll need a math, engineering, or physics degree, unless you really are driven to learn hte math yourself.
This is interesting, but I have a slightly different interpretation of the question: Assuming you _can_ learn the math yourself, will anybody believe you? Is the degree necessary, if only for pedigree purposes?
This is interesting, but I have a slightly different interpretation of the question: Assuming you _can_ learn the math yourself, will anybody believe you? Is the degree necessary, if only for pedigree purposes?
As far as getting an interview, I have no idea.
In a job interview for a position where the math is a requirement, it's going to be easy to convince people. There's very likely going to be someone who knows the math much better than you in the interview.
In a job interview for a position where the math is a requirement, it's going to be easy to convince people. There's very likely going to be someone who knows the math much better than you in the interview.
Note also that pure derivatives quants like (1) are disappearing, and (3) is ascendant due to regulatory concerns (Dodd-Frank, et al).
Do you have any advice for a back office developer trying to move into the front office? I am getting my master's part time from a good program in CS with specializations in Systems and Machine Learning. But, I am worried that my back office experience will get me stuck in those type of roles.
Thanks for sharing your knowledge and helpful information!
Can you do 2 or 3 without a CompSci/Math degree?
My team is a mix of 2 and 3, we have comp sci, math, actuarial, engineering and physics people with about an even split. Oh and one quant dev who was a medical doctor but found programming more fun. So it's all sorts.
You mentioned actuarial - as an actuary interested in quant work, I'm surprised they are so well-represented on your team. Do you find lots of them in the industry? I'm taking the Quantitative Finance specialty actuarial exams and figured it'd be a long shot to break in, but maybe there's hope.
Nope don't see many of them but some.
Most quants do NOT have Comp Sci degrees. There is a lot of Math degrees in teh field but physics, signals processing, etc are also common.
Now if you are a programmer, how do you get into the industry? You need to know stats, machine learning, and programming, really well.
My experience being a quant and being around quants is that, sadly, they don't get to use much machine learning. Some do, but it seems like 97-98% of the work is much more mundane.
Am I correct in perceiving that many hiring managers expect more in the way of interesting experience than they really need (or have to offer in the work that needs done)?
My experience being a quant and being around quants is that, sadly, they don't get to use much machine learning. Some do, but it seems like 97-98% of the work is much more mundane.
Am I correct in perceiving that many hiring managers expect more in the way of interesting experience than they really need (or have to offer in the work that needs done)?
> Am I correct in perceiving that many hiring managers expect more in the way of interesting experience than they really need (or have to offer in the work that needs done)?
Yes I think you are Michael. Especially for quant jobs 2 and 3 that I enumerated.
The only reason I listed machine learning is that it is the trogan horse that gets programmers to learning stats. I can't over emphasize enough just how much you need to know stats. half of trading is knowing stats as all good traders trade only when they have the advantage. 100% upside for 10% downside is a good rule of thumb.
I mentioned the deep dive into the machine learning techniques as unfortunately most of the programmers I meet who call themselves data scientists, just aren't very good at stats. I'll ask them what methods they use and they'll tell me the library they used.
Unfortunately most interviews go like this:
me: I see you did some K-means clustering, tell me about it.
them: Well, we used R to cluster related books into groups.
me: how did you choose the inital partition
them: blank stare, um the library does that.
me: yes, well I mean did you use Forgy or Random Partition
them: I don't know what those are. That's just random trivia that I would look up when working. Do you find asking random trivia helps you hire people:
me:...So do you have any questions for me?
Hedge funds have lots of mundane programming jobs. Most are back office stitching together WPF and accounting systems. Even at the HFT firms I've seen only a small portion of the programmers actually do anything on the main trading system.
I'd love to hear about your Jane Street experience here:)
Like most things the closer you are to the money the more you'll make and the more exciting your job will be:)
Most quant jobs that I've seen were very mundane, category 3 is most of the quant jobs. Though most will tell you that they are in category 1 :)
Yes I think you are Michael. Especially for quant jobs 2 and 3 that I enumerated.
The only reason I listed machine learning is that it is the trogan horse that gets programmers to learning stats. I can't over emphasize enough just how much you need to know stats. half of trading is knowing stats as all good traders trade only when they have the advantage. 100% upside for 10% downside is a good rule of thumb.
I mentioned the deep dive into the machine learning techniques as unfortunately most of the programmers I meet who call themselves data scientists, just aren't very good at stats. I'll ask them what methods they use and they'll tell me the library they used.
Unfortunately most interviews go like this:
me: I see you did some K-means clustering, tell me about it.
them: Well, we used R to cluster related books into groups.
me: how did you choose the inital partition
them: blank stare, um the library does that.
me: yes, well I mean did you use Forgy or Random Partition
them: I don't know what those are. That's just random trivia that I would look up when working. Do you find asking random trivia helps you hire people:
me:...So do you have any questions for me?
Hedge funds have lots of mundane programming jobs. Most are back office stitching together WPF and accounting systems. Even at the HFT firms I've seen only a small portion of the programmers actually do anything on the main trading system.
I'd love to hear about your Jane Street experience here:)
Like most things the closer you are to the money the more you'll make and the more exciting your job will be:)
Most quant jobs that I've seen were very mundane, category 3 is most of the quant jobs. Though most will tell you that they are in category 1 :)
Me: ...So do you have any questions for me?
Instead of trying to "expose" these people for supposedly over-representing their competence in some skill area X mentioned in an ancillary way on their resume (relating to some job they had N years in the past), you might want to try just asking them a simple normal, human question first: "So was this something you go to delve into the internal workings of? Or did you just use an API for some small task?"
If it's the former answer, then fine -- drill away into the internals. If it's the latter (which is by far the more typical case -- the way things go in most dev environments), then you can just say "That's fine", and look for some other bullet point to zoom in on. Or if in fact X is a major requirement for you -- you can say "That's fine, but we're really looking for people who have done at least a fair amount of X here. But we thank you very much for taking the to talk with us."
Either way -- there's no reason to go into snark mode and assume these people are frauds or idiots just because they don't have a lot of detail to offer you. The bottom line is that unless they mention X as some major skill area, you pretty much have to assume that it was just another random thing they were forced to learn that day (you know, to keep their jobs). And unless it's mentioned in a way that would suggest they spent a significant amount of time on it, of course they aren't going to remember very much beyond the most superficial aspects of how it works.
Instead of trying to "expose" these people for supposedly over-representing their competence in some skill area X mentioned in an ancillary way on their resume (relating to some job they had N years in the past), you might want to try just asking them a simple normal, human question first: "So was this something you go to delve into the internal workings of? Or did you just use an API for some small task?"
If it's the former answer, then fine -- drill away into the internals. If it's the latter (which is by far the more typical case -- the way things go in most dev environments), then you can just say "That's fine", and look for some other bullet point to zoom in on. Or if in fact X is a major requirement for you -- you can say "That's fine, but we're really looking for people who have done at least a fair amount of X here. But we thank you very much for taking the to talk with us."
Either way -- there's no reason to go into snark mode and assume these people are frauds or idiots just because they don't have a lot of detail to offer you. The bottom line is that unless they mention X as some major skill area, you pretty much have to assume that it was just another random thing they were forced to learn that day (you know, to keep their jobs). And unless it's mentioned in a way that would suggest they spent a significant amount of time on it, of course they aren't going to remember very much beyond the most superficial aspects of how it works.
"The bottom line is that unless they mention X as some major skill area, you pretty much have to assume that it was just another random thing they were forced to learn that day"
If you call yourself a data scientist but don't know a lick of statistics then you are the one being misleading. You can't just pick this stuff up overnight. It is a bit like claiming you are a systems developer but then in the interview you don't know a thing about pointers or what the heap is. If your actual knowledge of systems development is "I wrote a python wrapper around a c library once" then representing yourself as a systems dev is intentionally misleading your interviewer.
If you call yourself a data scientist but don't know a lick of statistics then you are the one being misleading. You can't just pick this stuff up overnight. It is a bit like claiming you are a systems developer but then in the interview you don't know a thing about pointers or what the heap is. If your actual knowledge of systems development is "I wrote a python wrapper around a c library once" then representing yourself as a systems dev is intentionally misleading your interviewer.
If you want to find out if a candidate knows "a lick of" statistics, try asking about something generic, like confidence intervals. But he didn't do that; instead he grilled them on the default partition scheme for algorithm X.
Which (unless the candidate advertises themselves as having significant experience in algorithm X) is about as useful as asking them if they know the airspeed velocity of an unladen swallow.
Which (unless the candidate advertises themselves as having significant experience in algorithm X) is about as useful as asking them if they know the airspeed velocity of an unladen swallow.
You are seriously underestimating the importance of deep statistical knowledge in some of these jobs.
In the example, the candidate wasn't grilled on the default partition scheme; he or she was grilled on the partition scheme that was used. If someone thinks that's an unimportant implementation detail, why would you ever want to hire them?
In the example, the candidate wasn't grilled on the default partition scheme; he or she was grilled on the partition scheme that was used. If someone thinks that's an unimportant implementation detail, why would you ever want to hire them?
You are seriously underestimating the importance of deep statistical knowledge in some of these jobs.
In some of these jobs, maybe. But the person I was initially responding to wasn't looking for someone with "deep statistical knowledge"; rather, he was looking for that species which goes by the trendy, loosey-goosey catch-all moniker, "data scientist".
And if you're going to put "data scientist" in a job title -- with no further qualifications -- then you had better understand that it's nearly useless as a description of anything (beyond a few colloquial definitions floating about, which there's still no real consensus on).
If on the other hand, you want an "MS/PhD background in Machine Learning and/or Statistics, or equivalent work experience" then that's fine too, of course -- just put it in the job description. It's really quite easy to do, and it will save everyone tons and tons of time (and grief).
In the example, the candidate wasn't grilled on the default partition scheme; he or she was grilled on the partition scheme that was used. If someone thinks that's an unimportant implementation detail, why would you ever want to hire them?
Again, it matters to the extent that they, themselves, emphasize it as a core skill area. When someone simply says "did $foo using X" in some project description, I personally don't read anything more into it than that.
In some of these jobs, maybe. But the person I was initially responding to wasn't looking for someone with "deep statistical knowledge"; rather, he was looking for that species which goes by the trendy, loosey-goosey catch-all moniker, "data scientist".
And if you're going to put "data scientist" in a job title -- with no further qualifications -- then you had better understand that it's nearly useless as a description of anything (beyond a few colloquial definitions floating about, which there's still no real consensus on).
If on the other hand, you want an "MS/PhD background in Machine Learning and/or Statistics, or equivalent work experience" then that's fine too, of course -- just put it in the job description. It's really quite easy to do, and it will save everyone tons and tons of time (and grief).
In the example, the candidate wasn't grilled on the default partition scheme; he or she was grilled on the partition scheme that was used. If someone thinks that's an unimportant implementation detail, why would you ever want to hire them?
Again, it matters to the extent that they, themselves, emphasize it as a core skill area. When someone simply says "did $foo using X" in some project description, I personally don't read anything more into it than that.
I can see why you read it that way, but that's not how I read the initial comment and it's at odds with the top-level post. I might be out of date, but I don't think quant jobs are listed as informal "data scientists;" those postings are more for what were characterized as "mundane back office jobs." (Again, I could be wrong.)
But the question's not as esoteric or impossible as you're making it out to be. "What's a confidence interval" is something any good undergraduate applying for finance jobs should be able to answer, regardless of major. I'd expect an enthusiastic undergrad stats or compsci major to care about the implementation details of an estimator they'd used for something nontrivial. (Which seemed to be the case in the original comment.)
But the question's not as esoteric or impossible as you're making it out to be. "What's a confidence interval" is something any good undergraduate applying for finance jobs should be able to answer, regardless of major. I'd expect an enthusiastic undergrad stats or compsci major to care about the implementation details of an estimator they'd used for something nontrivial. (Which seemed to be the case in the original comment.)
Fair enough, and points taken. Thanks.
No regrets.... if you are going to suck up to traders to get in on their pile of gold, either commit to it or don't. I used to complain about code exams until i realized "this is how you prove you want/deserve the job.... if someone else can pass where i fail, that is not necessarily the hiring managers fault". if you cant answer their questions dont expect the job.... you either want it enough to fortify your defenses or you dont. Even if they are going to ask a bunch of redundant, irrelevant, easily Google-able crap -- not having an answer is going to beg the question "how come they never, out of curiosity or to impress people in my position, Googled this easily Google-able crap?"
i just dont think these environments r made for you or me...... i used to win many math comps and was at the top of my class for years & years. in college i went into media programming & psychology because i didnt really want to study stuff i thought was boring all day just to be a market kiss-ass
as a result, i have a pretty boring job but i let my mind wander creatively & still work on a ton of music & creative projects. I've designed some pretty sophisticated machine learning algorighms/research in audio signal processing but i don't get to study it all day because there is not much market demand.
i know i have more raw talent than most people i interact with (in fact im confident i can self-teach myself various technical disciplines to near-expertise) but i've also come to understand that employers don't care. beyond entry level, they are just looking for someone who says the right things and has already done work that resembles the job they are hiring for.
sometimes i consider self-teaching toward a goal like being a quant, but then i remember that that world is not for me. im not insanely greedy so its not a big deal. and though my enterprise work now is boring, there are several things on the horizon that seem much more promising & appealing than finance. i am accumulating skills & enjoying having room in my head for other thoughts. i don't work in the startup world because i haven't encountered anyone with compelling ideas but i suppose thats where people like me are destined to end up.... i stay sharp & am confident that i could code a mini-enterprise in a year, once i find the right idea.
i just dont think these environments r made for you or me...... i used to win many math comps and was at the top of my class for years & years. in college i went into media programming & psychology because i didnt really want to study stuff i thought was boring all day just to be a market kiss-ass
as a result, i have a pretty boring job but i let my mind wander creatively & still work on a ton of music & creative projects. I've designed some pretty sophisticated machine learning algorighms/research in audio signal processing but i don't get to study it all day because there is not much market demand.
i know i have more raw talent than most people i interact with (in fact im confident i can self-teach myself various technical disciplines to near-expertise) but i've also come to understand that employers don't care. beyond entry level, they are just looking for someone who says the right things and has already done work that resembles the job they are hiring for.
sometimes i consider self-teaching toward a goal like being a quant, but then i remember that that world is not for me. im not insanely greedy so its not a big deal. and though my enterprise work now is boring, there are several things on the horizon that seem much more promising & appealing than finance. i am accumulating skills & enjoying having room in my head for other thoughts. i don't work in the startup world because i haven't encountered anyone with compelling ideas but i suppose thats where people like me are destined to end up.... i stay sharp & am confident that i could code a mini-enterprise in a year, once i find the right idea.
What areas of statistics would you say are the important ones? Obviously, having a excellent grasp of probability is a must, but what about other things? If I were a statistics major, what courses would you say are most important? It seems like things like regression analysis would be much more important than experimental designs, no?
The only reason I listed machine learning is that it is the trogan horse that gets programmers to learning stats.
Ah, that makes perfect sense.
To me, the appeal of machine learning is that it's challenging and respected enough that programmers doing it get the autonomy to work in any subfield of computer science, from the high level to the low. If you're a data scientist and you say you want to use Clojure or Haskell (a high-level concern) or that you want to do GPU programming or dive deep on assembly (low-level work) you can. Machine learning, 10 years ago, was extremely appealing because software managers were figuring out that they needed it, but most admitted they knew little about it, so they gave a lot of autonomy to individual contributors. (That may change, and "data science" may become thoroughly commoditized.)
It's the Fundamental Theorem of Employment: you're usually hired either to do (a) something your boss can't do for himself or (b) something he doesn't want to do. With (a) you get respect and autonomy and high pay; with (b) you get treated like a commodity. "Data scientist" (or software "architect" vs. "engineer") is, often, a programmer who's managed to learn enough of "the hard stuff" to move himself over to (a). It's the (b) category of engineers who get stuck on "Scrum teams".
I feel like some of the crowding of "data science" (and, as you noted, not all of the "data scientists" know what they're talking about) comes from the way that "Agile"-style micromanagement has made the rest of programming so braindead. There are people like me who enjoy the hard mathematical aspect, but others who've just learned that if they call themselves "data scientists" they get more interesting projects and don't have to munch on Scrum tickets. For them, the math is an impediment rather than a challenge and an attraction.
I mentioned the deep dive into the machine learning techniques as unfortunately most of the programmers I meet who call themselves data scientists, just aren't very good at stats.
There's a depth vs. breadth problem, because machine learning is a much, much bigger field than many people think. I've gone pretty deep on penalized regressions (e.g. ridge and Lasso with large numbers of features) but know only the basics about tree-based models. I can read the papers on neural network architectures (e.g. convolutional nets) and implement them, and I understand the theory that led to them, but I still lack some of the intuition (like why rectified linear units are more useful in image processing than regular logistics).
I feel like there are some people who pick up a lot of vocabulary and interview well (but not with you, because you actually know the field) but are really just playing around with parameters. I like the math, but "data science" is mostly bullshit and I hope the term will die; I want to see more machine learning and less business pomposity.
Ah, that makes perfect sense.
To me, the appeal of machine learning is that it's challenging and respected enough that programmers doing it get the autonomy to work in any subfield of computer science, from the high level to the low. If you're a data scientist and you say you want to use Clojure or Haskell (a high-level concern) or that you want to do GPU programming or dive deep on assembly (low-level work) you can. Machine learning, 10 years ago, was extremely appealing because software managers were figuring out that they needed it, but most admitted they knew little about it, so they gave a lot of autonomy to individual contributors. (That may change, and "data science" may become thoroughly commoditized.)
It's the Fundamental Theorem of Employment: you're usually hired either to do (a) something your boss can't do for himself or (b) something he doesn't want to do. With (a) you get respect and autonomy and high pay; with (b) you get treated like a commodity. "Data scientist" (or software "architect" vs. "engineer") is, often, a programmer who's managed to learn enough of "the hard stuff" to move himself over to (a). It's the (b) category of engineers who get stuck on "Scrum teams".
I feel like some of the crowding of "data science" (and, as you noted, not all of the "data scientists" know what they're talking about) comes from the way that "Agile"-style micromanagement has made the rest of programming so braindead. There are people like me who enjoy the hard mathematical aspect, but others who've just learned that if they call themselves "data scientists" they get more interesting projects and don't have to munch on Scrum tickets. For them, the math is an impediment rather than a challenge and an attraction.
I mentioned the deep dive into the machine learning techniques as unfortunately most of the programmers I meet who call themselves data scientists, just aren't very good at stats.
There's a depth vs. breadth problem, because machine learning is a much, much bigger field than many people think. I've gone pretty deep on penalized regressions (e.g. ridge and Lasso with large numbers of features) but know only the basics about tree-based models. I can read the papers on neural network architectures (e.g. convolutional nets) and implement them, and I understand the theory that led to them, but I still lack some of the intuition (like why rectified linear units are more useful in image processing than regular logistics).
I feel like there are some people who pick up a lot of vocabulary and interview well (but not with you, because you actually know the field) but are really just playing around with parameters. I like the math, but "data science" is mostly bullshit and I hope the term will die; I want to see more machine learning and less business pomposity.
I'd like to see an article titled "Why Get a Quant Job in Finance?"
Because you get to work on really interesting math problems, in an environment that isn't stingy with pay or equipment and has clear objective measures of what things are important for the business?
I think the question that rhodri poses is an important one. For me, satisfaction comes from more than just the solution to the immediate problem, or the amount of money I'm being paid to solve it. Satisfaction comes from knowing that what I'm spending my life on is meaningful in some greater sense.
Other ML fields like robotics and deep learning have virtually limitless applications that may benefit society in some way. Of course, I have heard the arguments for statistical arbitrage being useful by way of reducing inefficiencies in the market and providing liquidity, but this is far less tangible.
Other ML fields like robotics and deep learning have virtually limitless applications that may benefit society in some way. Of course, I have heard the arguments for statistical arbitrage being useful by way of reducing inefficiencies in the market and providing liquidity, but this is far less tangible.
> I think the question that rhodri poses is an important one.
And I think kasey_junk answered it pretty succinctly. That's not to say that it's the only valid reason to want to do anything. It just happens to be quite a common reason for people to become quants.
If what you want to do is answer the great questions in life then I'm not sure that being a quant is necessarily going to help with that.
And I think kasey_junk answered it pretty succinctly. That's not to say that it's the only valid reason to want to do anything. It just happens to be quite a common reason for people to become quants.
If what you want to do is answer the great questions in life then I'm not sure that being a quant is necessarily going to help with that.
There's another way that hasn't really been mentioned yet, and that's to work for yourself via your own quantitative trading system or through Quantopian's crowdsourced hedge fund (https://www.quantopian.com/managers). Disclaimer: I'm an employee there
I got an applied math Ph.D. with a good
course in measure theory and stochastic
processes from a star student of E. Cinlar and
a lot in optimization, wrote my dissertation
on stochastic optimal control,
had a solid background in
software, especially in scientific
computing, including a lot of applied
statistics,
sent a resume to Fisher Black at Goldman
Sachs, and still have his nice answer back
that he saw no opportunities for mathematics
in finance.
Jerked the chains of lots of headhunters and got nowhere.
I concluded f'get about it.
Maybe since then it's changed.
Jerked the chains of lots of headhunters and got nowhere.
I concluded f'get about it.
Maybe since then it's changed.
Hey, I wanted to send you a message but your profile has no email. Can you send me a message or put an email in your profile? Thanks.
How do I send you a message?
There is no messaging system; visit the user's profile (click on their name) and cross your fingers they have some kind of identifying information- an email address, a web page, etc.
[deleted]
You can find my email in my profile by clicking on my username.
I do see URL
What's going on I don't know.
www.localmeze.com
What's going on I don't know.
I did not realize that the email is not publicly displayed. I have put in the about section now.
hn At machine.imap.cc
hn At machine.imap.cc
Just sent to
hn At machine.imap.cc
hn At machine.imap.cc
When was this?
Long time ago, e.g., Fisher Black
was still alive (maybe he's not now).
I hadn't yet heard of James Simons. The rumor I heard was that Simons liked to hire mathematical physicists from Russia.
I had no way to go to Wall Street and already know all about everything they they were doing. The martgingale convergence theorem, measurable selection, power spectral estimation, sure, all about Wall Street, no.
When I was in graduate school, people who understood both measure theory and martingales, Markov processes, etc. were like hen's teeth. Or, sure, essentially every pure math Ph.D. knows measure theory, but curiously, at least in the US, they rarely take a course in graduate probability. It's tough for me to believe that many physics students actually work at all carefully through measure theory. So, hen's teeth.
So, I thought that I had relatively good qualifications. And since I'd read E. Thorpe's book, Wall Street was one of my goals. But I couldn't get the time of day from Wall Street.
Finally, with the letter back from Fisher Black, I gave up. I mean, good grief, a lot of the interest is in the Brownian motion approach to the Dirichelet problem and Black-Scholes, and that was Fisher Black.
In a sense I can't fault Wall Street: A lot of people there are making a lot of money now, with, usually without, measure theory, etc., so clearly they don't need me.
Once again, over again, one more time, in the US the main way to make money is to own a business and make it valuable, not to work for someone else. So, I'm doing a start-up. Based on some mathematics, including measure theory? Yes. Having to do with Wall Street? No.
Right, LTCM: So, let's see, independent increments with the same distribution and not much more and satisfy the central limit theorem and, thus, get a Gaussian process, really, an approximation to Brownian motion. So, ..., and LTCM should have worked, right? Wrong! Those assumptions are only approximately correct, and moreover need some work on the rate of convergence to a Gaussian, with good attention to the tails, and, there, tilt. Boom. Someone kicks over a bucket of fish heads in Asia and ..., down goes LTCM.
I hadn't yet heard of James Simons. The rumor I heard was that Simons liked to hire mathematical physicists from Russia.
I had no way to go to Wall Street and already know all about everything they they were doing. The martgingale convergence theorem, measurable selection, power spectral estimation, sure, all about Wall Street, no.
When I was in graduate school, people who understood both measure theory and martingales, Markov processes, etc. were like hen's teeth. Or, sure, essentially every pure math Ph.D. knows measure theory, but curiously, at least in the US, they rarely take a course in graduate probability. It's tough for me to believe that many physics students actually work at all carefully through measure theory. So, hen's teeth.
So, I thought that I had relatively good qualifications. And since I'd read E. Thorpe's book, Wall Street was one of my goals. But I couldn't get the time of day from Wall Street.
Finally, with the letter back from Fisher Black, I gave up. I mean, good grief, a lot of the interest is in the Brownian motion approach to the Dirichelet problem and Black-Scholes, and that was Fisher Black.
In a sense I can't fault Wall Street: A lot of people there are making a lot of money now, with, usually without, measure theory, etc., so clearly they don't need me.
Once again, over again, one more time, in the US the main way to make money is to own a business and make it valuable, not to work for someone else. So, I'm doing a start-up. Based on some mathematics, including measure theory? Yes. Having to do with Wall Street? No.
Right, LTCM: So, let's see, independent increments with the same distribution and not much more and satisfy the central limit theorem and, thus, get a Gaussian process, really, an approximation to Brownian motion. So, ..., and LTCM should have worked, right? Wrong! Those assumptions are only approximately correct, and moreover need some work on the rate of convergence to a Gaussian, with good attention to the tails, and, there, tilt. Boom. Someone kicks over a bucket of fish heads in Asia and ..., down goes LTCM.
Sounds like you'd have been a much better fit for Renaissance Technologies than Goldman.
I heard that at GS Rubin pushed
algorithmic trading.
Sure, would've been great to have met Simons. Heck, I never got around to working in differential geometry but at one time did get the notes of S. S. Chern! And once tried to understand a seminar of an A. Gleason student! But I did cover exterior algebra, from both Fleming and Spivak. Now I have Cartan's book, now in English!
I have no idea just what Simons did to make his $12 billion or so, but likely it had to do with algorithmic trading in some sense.
Once I did get an interview at Morgan-Stanley, showed them some work I'd done in mathematical statistics, I later published, and mentioned that I'd like to work in the applied math of trading but got no interest.
The people on Wall Street made plenty of money and didn't need me.
So, I decided to go where I could make money just by pleasing users/customers -- do a start-up, i.e., hire myself.
From headhunters, I got a lot of just hostility: The main reaction was that in looking for a job I was doing something wrong. For another, my resume said I'd been a professor. Right, I had been. So, the head hunter got all twisted out of shape suggesting that I claimed the title of Full Professor. Nope, I claimed no such thing. The headhunter was eager to be nasty. Bizarre. Dysfunctional. Destructive. Nonsense.
I don't know what Wall Street wanted; I have to doubt that much of Wall Street knew what Wall Street wanted; whatever they did or didn't want, they didn't want me.
It's a very old problem: If working very high up, then are almost certainly (Simons is a grand exception) are working for people who, net, don't know measure theory. Then a person actually making use of such math will have a huge interpersonal interface problem.
Quite broadly one of the main bottlenecks in getting value from technical work is the problem of the awkward, often bitter, interface between a good technical person and a less technical superior.
I have heard that the lawyers have a solution here: A working lawyer is supposed to report only to a qualified lawyer.
Really, then, a technical person with some valuable technical work should just start their own business.
Or, how many people on Wall Street working as applied mathematicians and not for themselves earn money enough to live in a nice Manhattan townhouse or apartment? My guess is, not many and that, instead, the big bucks, say, for a $20 million townhouse, are going to non-technical people, management, sales, IB, trading, firm ownership, etc.
Sure, would've been great to have met Simons. Heck, I never got around to working in differential geometry but at one time did get the notes of S. S. Chern! And once tried to understand a seminar of an A. Gleason student! But I did cover exterior algebra, from both Fleming and Spivak. Now I have Cartan's book, now in English!
I have no idea just what Simons did to make his $12 billion or so, but likely it had to do with algorithmic trading in some sense.
Once I did get an interview at Morgan-Stanley, showed them some work I'd done in mathematical statistics, I later published, and mentioned that I'd like to work in the applied math of trading but got no interest.
The people on Wall Street made plenty of money and didn't need me.
So, I decided to go where I could make money just by pleasing users/customers -- do a start-up, i.e., hire myself.
From headhunters, I got a lot of just hostility: The main reaction was that in looking for a job I was doing something wrong. For another, my resume said I'd been a professor. Right, I had been. So, the head hunter got all twisted out of shape suggesting that I claimed the title of Full Professor. Nope, I claimed no such thing. The headhunter was eager to be nasty. Bizarre. Dysfunctional. Destructive. Nonsense.
I don't know what Wall Street wanted; I have to doubt that much of Wall Street knew what Wall Street wanted; whatever they did or didn't want, they didn't want me.
It's a very old problem: If working very high up, then are almost certainly (Simons is a grand exception) are working for people who, net, don't know measure theory. Then a person actually making use of such math will have a huge interpersonal interface problem.
Quite broadly one of the main bottlenecks in getting value from technical work is the problem of the awkward, often bitter, interface between a good technical person and a less technical superior.
I have heard that the lawyers have a solution here: A working lawyer is supposed to report only to a qualified lawyer.
Really, then, a technical person with some valuable technical work should just start their own business.
Or, how many people on Wall Street working as applied mathematicians and not for themselves earn money enough to live in a nice Manhattan townhouse or apartment? My guess is, not many and that, instead, the big bucks, say, for a $20 million townhouse, are going to non-technical people, management, sales, IB, trading, firm ownership, etc.
Really, then, a technical person with some valuable technical work should just start their own business.
Precisely. You've correctly identified the irrational non-technical prejudice the financial industry may have towards someone such as yourself. The only solution is to become their competitor. You'd be surprised how easy it is to beat incompetent corporations at their own game. If it can be done with multi-stage rockets, it can be done with hedge funds.
Hence why we're all united here as fans of PG's essays on HN. Welcome aboard, and god speed in your entrepreneurial ventures.
Precisely. You've correctly identified the irrational non-technical prejudice the financial industry may have towards someone such as yourself. The only solution is to become their competitor. You'd be surprised how easy it is to beat incompetent corporations at their own game. If it can be done with multi-stage rockets, it can be done with hedge funds.
Hence why we're all united here as fans of PG's essays on HN. Welcome aboard, and god speed in your entrepreneurial ventures.
Thanks. So far, it all looks fine.
For me, it has been some fun math and software. I'm gathering some initial data and should go live soon. Then if people like the work, I'll be in good shape.
Just checked with my ISP: Can upgrade to 25 Mbps upload speed with a static IP address for $89 a month. That 25 Mbps is a lot: If users really like my work, enough to half fill that 24 x 7, it adds up to millions a year in revenue. Less expensive to start than a pizza carryout, and makes money even when I'm asleep.
I'm borrowing at least two of PG's points: (1) At first don't try to please 1 million users only a little but try to please 100 users a lot. Then they will tell others and will have 1000 users and 10,000 users. Then expand to another 100 users .... (2) Initially, don't be afraid to do work that does not scale. So, I'm following that: For the data, the 'business model' has that gathered, in a way that will scale, automatically as a by-product of the usage, but that will work well only with a lot of usage. In the meanwhile, I will will just insert good data by hand!
From the lectures in Sam Altman's course at Stanford, just completed, what I'm doing looks fine except I'm a solo founder, who's done all the work, thus, knows all the work, has no co-founder disputes, owns 100% of the business, and has meager burn rate. The burn rate is so low that by the time the business qualifies for equity funding, it will likely also be profitable enough for me to buy lots more servers, in a spare bedroom, upgrade my house circuit breaker to 200 A, put in a window A/C, get some UPS units, put my emergency electric generator on a pad in a small shack just out back and have it kick off when the UPS says so, get a new SUV and Corvette, and keep growing. Outsource bookkeeping, accounting, taxes, and legal, and grow. Maybe be like the Canadian romantic matchmaking service Plenty of Fish, long just one guy, two old Dell servers, ads just from Google, and $10 million a year in revenue.
Sure, if we were four co-founders, all married, with all four wives pregnant and wanting a new, two bath, three bedroom house, with a nice backyard, in a nice neighborhood, and a new SUV, for her, with a baby car seat, a play pen, a bassinet, a crib, a stroller, two washing machines, help with the housework, a GYN, OB, pediatrician, GP, dentist, dermatologist, optometrist, swimming instructor, etc., then, sure, we'd be desperate for equity funding! But, not me!
Looks fine so far.
$10 million a year is a lot for a mathematician on Wall Street.
For me, it has been some fun math and software. I'm gathering some initial data and should go live soon. Then if people like the work, I'll be in good shape.
Just checked with my ISP: Can upgrade to 25 Mbps upload speed with a static IP address for $89 a month. That 25 Mbps is a lot: If users really like my work, enough to half fill that 24 x 7, it adds up to millions a year in revenue. Less expensive to start than a pizza carryout, and makes money even when I'm asleep.
I'm borrowing at least two of PG's points: (1) At first don't try to please 1 million users only a little but try to please 100 users a lot. Then they will tell others and will have 1000 users and 10,000 users. Then expand to another 100 users .... (2) Initially, don't be afraid to do work that does not scale. So, I'm following that: For the data, the 'business model' has that gathered, in a way that will scale, automatically as a by-product of the usage, but that will work well only with a lot of usage. In the meanwhile, I will will just insert good data by hand!
From the lectures in Sam Altman's course at Stanford, just completed, what I'm doing looks fine except I'm a solo founder, who's done all the work, thus, knows all the work, has no co-founder disputes, owns 100% of the business, and has meager burn rate. The burn rate is so low that by the time the business qualifies for equity funding, it will likely also be profitable enough for me to buy lots more servers, in a spare bedroom, upgrade my house circuit breaker to 200 A, put in a window A/C, get some UPS units, put my emergency electric generator on a pad in a small shack just out back and have it kick off when the UPS says so, get a new SUV and Corvette, and keep growing. Outsource bookkeeping, accounting, taxes, and legal, and grow. Maybe be like the Canadian romantic matchmaking service Plenty of Fish, long just one guy, two old Dell servers, ads just from Google, and $10 million a year in revenue.
Sure, if we were four co-founders, all married, with all four wives pregnant and wanting a new, two bath, three bedroom house, with a nice backyard, in a nice neighborhood, and a new SUV, for her, with a baby car seat, a play pen, a bassinet, a crib, a stroller, two washing machines, help with the housework, a GYN, OB, pediatrician, GP, dentist, dermatologist, optometrist, swimming instructor, etc., then, sure, we'd be desperate for equity funding! But, not me!
Looks fine so far.
$10 million a year is a lot for a mathematician on Wall Street.
"Hirers tend to be looking for strong programming and data management skills as much as mathematical ability"
This cannot be over emphasized. You cannot just have an aptitude for math/statistics/probability. You will need to be able to write high performance production quality code.
This cannot be over emphasized. You cannot just have an aptitude for math/statistics/probability. You will need to be able to write high performance production quality code.
Now admittedly this is sampling bias, but I have never seen code written by a quant that could be put into production without being reworked by a software professional.
The skill sets are in some way exclusive of each other. Quants do lots of exploratory work. This involves tons of one-of experiments and throwing away things that don't work. They often frequently don't have the operational understanding of the way the systems they interact operate. Further, making stuff fast on a computer is a very, very particular skill. People that could do all of that are extremely rare (such that I've never met one).
The skill sets are in some way exclusive of each other. Quants do lots of exploratory work. This involves tons of one-of experiments and throwing away things that don't work. They often frequently don't have the operational understanding of the way the systems they interact operate. Further, making stuff fast on a computer is a very, very particular skill. People that could do all of that are extremely rare (such that I've never met one).
Sampling bias. At least in HFT, the days of hiring quants who can't code are over.
I can personally vouch for the fact that there is a large space between "can't code" and "write high performance production quality code". Quants are no exception.
And a large space between "can't write high-performance production-quality code" and "doesn't write high-performance production-quality code".
I can write high-performance production-quality code, and occasionally I do, but maybe 95% of the code I write is hackish, primarily intended for exploration and experimentation, and written in a language fundamentally ill-suited for high performance. Engineering it all carefully and optimizing it would be a tremendous waste of time and effort.
I work in technology rather than finance, but I bet there are plenty of quants for whom much the same is true.
I can write high-performance production-quality code, and occasionally I do, but maybe 95% of the code I write is hackish, primarily intended for exploration and experimentation, and written in a language fundamentally ill-suited for high performance. Engineering it all carefully and optimizing it would be a tremendous waste of time and effort.
I work in technology rather than finance, but I bet there are plenty of quants for whom much the same is true.
95% of quant code is not only fails to achieve low-latency, it's utterly incorrect, unmaintainable and frankly deranged.
That might also be true for 95% of all code.
Agree mostly, even when wanting to deliver a perfect solution that's simply not an option because of requirements for speed of delievering results and lack of man power.
So true. Of course, you better not tell that to the person who wrote it. You might not get your bonus.
Bug free first time and write code fast also helps.
Spot on.
I got a job in finance as a quant and spent the first year building automated processes to pull portfolio holdings data from email attachments and scrape data from a bunch of different sources.
I got a job in finance as a quant and spent the first year building automated processes to pull portfolio holdings data from email attachments and scrape data from a bunch of different sources.
Not mentioned but important is coding - if you are a quant in an IB these days, you will be expected to do some level of coding - often C++, Python, and maybe some Excel VBA to plug things in for the desk to play with, while IT production-ise the rest intop the RMS and trading apps.
> while IT production-ise the rest intop the RMS and trading apps
Generally to software engineer it so it performs properly, can be put on a grid, etc etc.
Generally to software engineer it so it performs properly, can be put on a grid, etc etc.
" Brainteasers are popular." Can somebody explain why? I'm genuinely interested, since in software dev interviews we see less and less brainteasers...
One (slightly cynical) answer is that people like to hire people like them. Most quant types working in hedge funds are very good at brainteasers, and if other people are good at brainteasers it ticks one of the "this person is like me" boxes whilst also ticking the "this person is smart" box.
It also allows an endless pissing contest of comparing new brainteasers among your colleagues, and telling stories of helpless candidates who couldn't even manage the first gasp of a hint of an idea towards the solution.
I tend not to like extremely complex brainteasers as interview questions, and especially not ones that require an "aha" moment to solve them correctly, because mostly what you're testing for is whether the candidate has seen that question before (or one like it).
On the other hand, I am a big fan of asking relatively easy math questions (i.e. first year undergraduate) in interviews, because if I'm going to be paying someone $100k+ to work on mathematical models, I'm damn well going to make sure that they understand basic probability, statistics, calculus and linear algebra. These are a bit like fizz-buzz for quants - if the candidate can answer them it doesn't prove anything, but if they can't answer them then you can stop the interview right there.
It also allows an endless pissing contest of comparing new brainteasers among your colleagues, and telling stories of helpless candidates who couldn't even manage the first gasp of a hint of an idea towards the solution.
I tend not to like extremely complex brainteasers as interview questions, and especially not ones that require an "aha" moment to solve them correctly, because mostly what you're testing for is whether the candidate has seen that question before (or one like it).
On the other hand, I am a big fan of asking relatively easy math questions (i.e. first year undergraduate) in interviews, because if I'm going to be paying someone $100k+ to work on mathematical models, I'm damn well going to make sure that they understand basic probability, statistics, calculus and linear algebra. These are a bit like fizz-buzz for quants - if the candidate can answer them it doesn't prove anything, but if they can't answer them then you can stop the interview right there.
It's a shibboleth : https://en.wikipedia.org/wiki/Shibboleth. It shows you belong.
I work as a quant and I like to give brainteasers in interview. It definitely does not tell me if someone will necessarily be good at his job or a good fit for the team, but it does help me rule out a lot of potential candidates.
These are not very tricky brainteasers that depend on getting a particular insight. They're actually somewhat pedestrian. However, if you can't manage to competently work out a simple, well defined problem, you're going to struggle with the more complex issues we deal with.
These are not very tricky brainteasers that depend on getting a particular insight. They're actually somewhat pedestrian. However, if you can't manage to competently work out a simple, well defined problem, you're going to struggle with the more complex issues we deal with.
Can you give an example or two of the more complex issues you deal with?
I honestly have no idea.
I honestly have no idea.
Can't be too specific, but I often need to solve differential equations, find closed form solutions to some integrals (mathematica helps but is often not sufficient), build models which strike a good balance between realism and tractability. Find which properties are important to preserve in models and which aren't, etc.
chollida1's comment is spot on and I oscillate between 1 and 2.
chollida1's comment is spot on and I oscillate between 1 and 2.
None of these have any similarity to brainteasers. In fact, these are all excellent subjects on their own that could be tested directly. For example:
"Give me an overview of a numerical method used to solve differential equations."
The more time you spend asking brainteasers, the less time you have to devote to your actual skills of interest. You may even find that quizzing someone on mathematics may help refresh and solidify your own understanding.
"Give me an overview of a numerical method used to solve differential equations."
The more time you spend asking brainteasers, the less time you have to devote to your actual skills of interest. You may even find that quizzing someone on mathematics may help refresh and solidify your own understanding.
Do you have experience interviewing candidates?
Many candidates will answer this question correctly and yet be totally unable to do anything when they're confronted with a non textbook case. To be clear the brain teasers I ask are mathematical problems, not the type of brain teasers used in consulting interviews. For instance:
We play a game where we each draw a secret random number uniformly between 0 and 1. We each may re-throw if dissatisfied with our first throw, or me may keep it. We do not know whether or not the other has chosen to re-throw. We then compare our results and he who holds largest number wins $1. What is the best strategy to follow?
That's the type of brainteaser I'd ask. It's accessible to a good high school student. I interviewed a PhD candidate in applied mathematics from a top Ivy league university who:
- wouldn't believe that maximizing the expected value of the number obtained wasn't optimal until shown an explicit counterexample
- was unable to write the equations properly or model the problem
- was unable to solve the equations after I handed them out to them
He was however able to talk about his thesis work. Your questions wouldn't have caught that at all. His thesis work was in game theory.
Many candidates will answer this question correctly and yet be totally unable to do anything when they're confronted with a non textbook case. To be clear the brain teasers I ask are mathematical problems, not the type of brain teasers used in consulting interviews. For instance:
We play a game where we each draw a secret random number uniformly between 0 and 1. We each may re-throw if dissatisfied with our first throw, or me may keep it. We do not know whether or not the other has chosen to re-throw. We then compare our results and he who holds largest number wins $1. What is the best strategy to follow?
That's the type of brainteaser I'd ask. It's accessible to a good high school student. I interviewed a PhD candidate in applied mathematics from a top Ivy league university who:
- wouldn't believe that maximizing the expected value of the number obtained wasn't optimal until shown an explicit counterexample
- was unable to write the equations properly or model the problem
- was unable to solve the equations after I handed them out to them
He was however able to talk about his thesis work. Your questions wouldn't have caught that at all. His thesis work was in game theory.
I haven't read up on game theory in a long time, does "best strategy to follow" mean "the strategy that maximizes my expected payoff for all the strategies my opponent could employ"?
So, an explicit counterexample would be my opponent picking a strategy of only re-throwing above .25. His expectation is then .25 * (0 + .25)/2 + .75 * (0 + 1)/2 ~= .40, so I should not rethrow if I get above .40 and below .50, even though it would raise my own expectation.
Am I thinking about that correctly?
So, an explicit counterexample would be my opponent picking a strategy of only re-throwing above .25. His expectation is then .25 * (0 + .25)/2 + .75 * (0 + 1)/2 ~= .40, so I should not rethrow if I get above .40 and below .50, even though it would raise my own expectation.
Am I thinking about that correctly?
Don't focus on expectation, focus on probability of winning.
Ok, I'm stumped. If I've parsed your description correctly, we get no info about our opponent's actions or the results until the end. Absent any ability to observe their strategy, it seems like you do want to maximize for expected value of your own actions, and I'm curious about the counterexample.
How do we maximize EV? A single throw's pdf is 1, for x in [0,1], so its EV is 0.5. The question is how to improve on a single throw by deciding to re-throw. A re-throw is independent and gives the same EV. We want a strategy that gives us higher cumulative EV. Say our strategy is that we have a threshold A, where we re-throw any result below A. Because x is uniform, the probability that we re-throw is also A. The cumulative EV of the strategy is A * EV(second_throw) + (1-A) * EV(keep_first_throw). Since we only keep the first throw for results in [A,1], the EV for that event (integrating x * pdf from A to 1) is (1+A)/2. So EV of the whole strategy is A/2 + (1-A) * (1+A)/2. It has max EV when A is 0.5, giving EV of 5/8.
So how do you do better?
How do we maximize EV? A single throw's pdf is 1, for x in [0,1], so its EV is 0.5. The question is how to improve on a single throw by deciding to re-throw. A re-throw is independent and gives the same EV. We want a strategy that gives us higher cumulative EV. Say our strategy is that we have a threshold A, where we re-throw any result below A. Because x is uniform, the probability that we re-throw is also A. The cumulative EV of the strategy is A * EV(second_throw) + (1-A) * EV(keep_first_throw). Since we only keep the first throw for results in [A,1], the EV for that event (integrating x * pdf from A to 1) is (1+A)/2. So EV of the whole strategy is A/2 + (1-A) * (1+A)/2. It has max EV when A is 0.5, giving EV of 5/8.
So how do you do better?
I don't really get it either, but I think the idea is that you're supposed to somehow optimize on the assumption that your opponent is equally likely to be using any strategy. (To my mind this makes the problem very confusing because it's such an unrealistic assumption.) If you assume that the only possible strategies are "rethrow if my first throw is <= x", then you can define a function f(x,y) giving the EV where x is the threshold for your rethrow and y is the threshold for your opponent's. I guess you then integrate with respect to y (to get the EV for any given x assuming a uniform distribution for the opponent's choice of y) and then differentiate the result with respect to x to find the maximum? If the solution is along those lines that would explain the problem's supposed accessibility to good high school students.
And no, you don't assume that every strategy is equally likely. You assume that the opponent plays optimally with full knowledge of your own strategy, which means you're looking for a Nash equilibrium http://en.wikipedia.org/wiki/Nash_equilibrium
That's fine if you already know game theory, but then the problem is not quite as accessible as you made out. You can't expect someone to just invent the concept of a Nash Equilibrium on the spot from the words "best strategy". (Although I understand that you may expect your interviewees to already be familiar with game theory.)
In this case, the candidate's thesis work explicitly dealt with game theory. In addition, this doesn't require much knowledge of game theory... if you think about the problem for a bit, you can re-derive the concept fairly easily.
Nash's brilliance was in proving that under reasonable conditions, a mixed equilibrium always exists, which is far less obvious.
Nash's brilliance was in proving that under reasonable conditions, a mixed equilibrium always exists, which is far less obvious.
The issue isn't the difficulty of the concept but the ambiguity of "best strategy".
Makes sense. I didn't realize the problem description was for a game that would be played repeatedly with the same opponent -- i.e. one where you can gather information. If we were doing this in person instead of on a internet forum and async post/response we'd probably iron that out quickly. Thanks for elaborating.
The reason maximizing EV isn't the answer is that you care about having a larger number than your opponent, not about having the largest number possible.
Imagine we play a die game where whoever rolls the largest number wins. Which die would you rather play with?
1-1-1-1-1-10^250 or 2-2-2-2-2-2
The first die has an EV of about 1.67e249, the second die an EV of 2. Yet, the second die will win 5 out of 6 games against the other one.
To solve the problem, you must find the Nash equilibrium of the game. That is, you must find a strategy which the opponent cannot exploit, no matter what he does.
Imagine we play a die game where whoever rolls the largest number wins. Which die would you rather play with?
1-1-1-1-1-10^250 or 2-2-2-2-2-2
The first die has an EV of about 1.67e249, the second die an EV of 2. Yet, the second die will win 5 out of 6 games against the other one.
To solve the problem, you must find the Nash equilibrium of the game. That is, you must find a strategy which the opponent cannot exploit, no matter what he does.
There's two ways of interpreting that result, though. Maybe it shows that mathematical brain teasers aren't a good way of testing for mathematical ability.
I wouldn't describe this as a brainteaser. It's a well-defined math problem, not some BS question about manhole covers or barbers in Chicago.
I suppose it depends on the industry then... These are what we tend to call brainteasers in quant finance, and they're the type of problems you'll find in the book "Heard on the street" recommended above.
hey murbard is the answer to this 1-goldenratio? (.618...)
to get this I computed the function f(x,y) which is my expected value if I reroll if roll <= x and my opponent re-rerolls if roll <= y. let p be the optimal value. by symmetry f(p,p) = 0.5 so there must be a local minimum around that point. solving by taking a one sided derivative gives me (sqrt(5)-1)/2
to get this I computed the function f(x,y) which is my expected value if I reroll if roll <= x and my opponent re-rerolls if roll <= y. let p be the optimal value. by symmetry f(p,p) = 0.5 so there must be a local minimum around that point. solving by taking a one sided derivative gives me (sqrt(5)-1)/2
Indeed it is, isn't it a nice result? :)
(to be thorough, you also need to show that re-rolling based on a single threshold dominates other strategies, but it's fairly intuitive and not too hard to prove)
(to be thorough, you also need to show that re-rolling based on a single threshold dominates other strategies, but it's fairly intuitive and not too hard to prove)
In my experience in finance it's all about the interviewer showing the interviewee how smart she is.
There's smart quants/programmers/traders/etc and people good at solving brainteasers. You need the former, but people who use brainteasers in the interview process typically only find the small sliver of overlap in the venn diagram.
There's smart quants/programmers/traders/etc and people good at solving brainteasers. You need the former, but people who use brainteasers in the interview process typically only find the small sliver of overlap in the venn diagram.
Brainteasers in an interview is a red flag that you probably don't want to work for the company. In my experience.
If you're interviewing someone and you're lazy enough (or not confident enough) in your skills at assessing a candidate, that's a weakness.
If you're interviewing someone and you're lazy enough (or not confident enough) in your skills at assessing a candidate, that's a weakness.
Hedge funds have a hard-on for these kind of questions regardless of the role. I got a few of them in the interviews I had for the one I did IT support for...
They also liked taking Ivy grads with BAs and giving them receptionist jobs.
They also liked taking Ivy grads with BAs and giving them receptionist jobs.
It's the perfect market at work, I tell you. The private industry can do no wrong because then people would stop investing in the company and/or stop buying their services.
/s
/s
I don't see why the sarcasm. Hedge funds are not banks; they live or die by the brains of the people they hire. If they perform well, they get more investors. If they fail to perform, they go bust, and noone is there to bail them out.
As in most industries, I think you are undervaluing the importance of sales. It's true that long term performance dips will cause a fund to go bust, looking at the number of funds that don't outperform (or only marginally outperform) the market, year after year, makes it obvious that sales are an important part of the hedge fund industry.
Right, but it's not sales in the sense of "lets convince stupid people to waste money by giving it to us", it's more in the sense of "trust us, we're smart, have a good strategy and good past performance". Of course, the average hedge fund under-performs the market (for a particular measure of performance), but rich people might have other investment goals (the chance of finding alpha & beating the market, diversification, negative beta (anti-cyclic returns), ...). Same as with casinos/lottery, they need little sales, people know it in average underperforms just keeping the money, but you're not gambling for the average, you're gambling for the variance.
Interesting point, but given that the average performance is ... average, most rich people would be better off investing in an inside edge on a deal. Which is what I suppose they do.
They're definitely important but hedge funds depend on investor confidence. Ours made an untimely bad decision that not only resulted in significant losses but caused investors to flee.
Sales is tied to performance. Hedge funds' customers are even more conservative than they are.
Sales is tied to performance. Hedge funds' customers are even more conservative than they are.
The sarcasm's there because the market clearly doesn't work as it should here, just as it doesn't work in many other industries. The free market works for commodities trading, but not much else.
That's basically it though. The company can do no wrong so it tries to hire people who are extreme serial achievers. They're very sensitive to what people in the company say externally.
Brainteasers are somewhat common in consulting interviews (at the undergraduate level). The idea behind giving brainteasers is more to see how you would structure and break down a problem, and whether you can communicate your structure and solution effectively.
Interviewers are (should) not interested in the correct answer. They are interested in seeing the candidate think out loud. They want to see how you start tackling difficult problems.
I second this, we almost never use brainteasers but they can be useful for seeing how people think about solving problems. Once people have 2+ years of experience it becomes less relevant because it's more useful to talk about actual work they've done rather than some puzzles.
commenting to bookmark (hope this is permissible here)
FYI: if you upvote the article, it will be listed under the "saved stories" link on your profile:
https://news.ycombinator.com/saved?id=kofejnik
(which I can't see, by the way)
https://news.ycombinator.com/saved?id=kofejnik
(which I can't see, by the way)
Upvoting also bookmarks, under "threads"
great quant info in here
I'm filled with envy and rage over the fact I'm not good enough at math for this. I barely did above average in my grad level math courses in college (studied aerospace engineering). I worked my ass off; I should have breezed through it if I had the ability to be a quant.
Math classes I've noticed just take more time because there is more detail to them, but if you keep up with the workload and go ask TAs questions at labs, it can be done. Out of all of my university courses, the math classes were the most workload heavy. They were 2x the workload of almost any CS class I took.
The whole industry is in recession. Those stuck in it just mental masterbate about crap, knowing that automation/ai will destroy their paradigm. In reality it's boring and nothing like the energy and passion in start ups/creative tech.
Thanks a lot for writing/posting this. I enjoyed the read.
One thing I had to chuckle at was this:
>Mark Joshi obtained a B.A. in mathematics (top of year) from the University of Oxford in 1990, and a Ph.D. in pure mathematics from the Massachusetts Institute of Technology in 1994. He was an assistant lecturer in the department of pure mathematics and mathematical statistics at Cambridge University from 1994 to 1999. Following which he worked for the Royal Bank of Scotland from 1999 to 2005 as a quantitative analyst at a variety of levels, finishing as the Head of Quantitative Research for Group Risk Management. He joined the Centre for Actuarial Studies at the University of Melbourne in November 2005 as an associate professor and is now a full professor.
Pure math to quant to actuary. It's kind of funny how I see/have met so many people that have gone this route. It's like they got sucked into pure mathematics, then thought: shoot I really need to get some practical work done with this math! And afterwards, at a later stage in life they wanted to back out and wanted a stable, high paying, but still math heavy job (actuary!).
Does anybody here have any experiences with being on the 'front office'? I'd love to hear them.