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Search found 22 matches

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by Commodore
June 20th, 2016, 2:36 am
Forum: Careers Forum
Topic: Ranking quant trading group prestige
Replies: 5
Views: 4826

Ranking quant trading group prestige

Thank you for your thoughts, liam. I appreciate what you said about the importance of liking the role. That's probably the advice I'll follow.
by Commodore
June 17th, 2016, 3:44 pm
Forum: Careers Forum
Topic: Ranking quant trading group prestige
Replies: 5
Views: 4826

Ranking quant trading group prestige

<t>Hi everyone. Yesterday I told someone that I was interested in finding a small quant trading group to work for when I finish my PhD, ideally in a place with a relatively low cost of living. I've got kids, so I'm thinking about their quality of life. He advised against it, saying I should try to g...
by Commodore
October 26th, 2015, 3:15 am
Forum: Careers Forum
Topic: To PhD or not to PhD when you are 30
Replies: 27
Views: 11554

To PhD or not to PhD when you are 30

<t>Do the PhD! I also did a masters of financial mathematics, and now I'm in a CS PhD program. I'll be 38 when I graduate next year. I don't know whether my age will be a disadvantage when interviewing. But, I've had former coworkers call to stay connected, and we've talked about jobs in the future....
by Commodore
July 28th, 2015, 5:24 am
Forum: Careers Forum
Topic: Compensation at large Quant hedge funds
Replies: 4
Views: 5535

Compensation at large Quant hedge funds

<t>I'll make a guess to get the conversation going, but I'm interested in what others have to say. I'd guess a new PhD would get $150k and a bonus between $50-100k. After a while, it will be more clear what contribution his/her research has made to the PnL, and the bonus will rise accordingly.If you...
by Commodore
May 25th, 2015, 7:49 pm
Forum: Trading Forum
Topic: Backtest performance measure
Replies: 18
Views: 10675

Backtest performance measure

<t>Just closing the loop on this. I said I'd post all the data I collected, so here it is: rank.zipHere is my short writeup about the experiment: performance-measure.pdf. To the extent that people can look at two charts and prefer one over the other, I showed that it is possible to learn their prefe...
by Commodore
May 11th, 2015, 2:38 am
Forum: Careers Forum
Topic: AI or QF path for an aspiring algo trader
Replies: 10
Views: 5018

AI or QF path for an aspiring algo trader

<t>I agree with the consensus here. I did an MFE, and I learned nothing that would help with trading. Now that I'm studying CS, I'm often finding myself wishing I could apply these newfound techniques to the old datasets I used to have access to. I suspect that by the time you finish your AI degree,...
by Commodore
April 21st, 2015, 2:31 am
Forum: Careers Forum
Topic: Distance BSc in Computer Sci?
Replies: 14
Views: 6529

Distance BSc in Computer Sci?

Why not do a masters? Georgia Tech has one: http://www.omscs.gatech.edu/
by Commodore
April 5th, 2015, 3:47 am
Forum: Careers Forum
Topic: Starting compensation for a developer
Replies: 23
Views: 8661

Starting compensation for a developer

<t>Glassdoor has seemed low to me every time I've looked up my own past jobs. I also don't think they include bonuses, which could be large. You should absolutely go for Two Sigma and Jane Street. You might also be interested in Quantlab in Houston.I'm not sure why people are attracted to Google. A ...
by Commodore
March 3rd, 2015, 5:42 pm
Forum: Trading Forum
Topic: News feed specifically for quantitative traders
Replies: 2
Views: 4475

News feed specifically for quantitative traders

I'm curating a list of interesting things to read, including papers, news, and blog postings: Quant News. Any suggestions on good sources I should include?
by Commodore
March 2nd, 2015, 4:31 pm
Forum: Book And Research Paper Forum
Topic: Open-access papers with trade ideas
Replies: 3
Views: 4141

Open-access papers with trade ideas

I'm looking for papers with empirical results suggesting potential trade opportunities. SSRN always has some, and sometimes the forthcoming papers from the Journal of Finance are interesting. Are there other places I should be looking?
by Commodore
February 27th, 2015, 12:30 am
Forum: Trading Forum
Topic: statistical arbitrage
Replies: 2
Views: 5312

statistical arbitrage

I heard Marco Avellaneda speak at a conference once. He seemed pretty open with his statarb strategy. It's a little dated, but it might still give you ideas. Try this link: Statistical Arbitrage in the U.S. Equities Market
by Commodore
September 15th, 2014, 6:00 pm
Forum: Trading Forum
Topic: HFT Industry standard/preferred News Feed Market Data API???
Replies: 4
Views: 33738

HFT Industry standard/preferred News Feed Market Data API???

<t>I experimented with automatic news trading a few years ago. I used Reuters. My stuff didn't need low latency, so I just captured the news from the API that was intended to keep the desktop Reuters software updated with current news. It was a fairly complicated API, if I remember. News comes in ch...
by Commodore
September 10th, 2014, 4:59 pm
Forum: Trading Forum
Topic: Stupid Data Miner Tricks in Quantitative Finance
Replies: 9
Views: 5368

Stupid Data Miner Tricks in Quantitative Finance

<r>Thank you. That is a good paper. The author seems somewhat well known on this topic. Here is another paper I found of his that is interesting: <URL url="http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2326253"><LINK_TEXT text="http://papers.ssrn.com/sol3/papers.cfm? ... id=2326253">http://pape...
by Commodore
September 2nd, 2014, 1:49 am
Forum: Trading Forum
Topic: Stupid Data Miner Tricks in Quantitative Finance
Replies: 9
Views: 5368

Stupid Data Miner Tricks in Quantitative Finance

<t>I was just reading a funny book chapter: Nerds on Wall StreetI'll quote from the section called, "Your Mama Is a Data Miner -- Getting a Bad Name in Computational Finance":It wasn't too long ago that calling someone a data miner was a very bad thing. You could start a fist fight at a convention o...
by Commodore
June 26th, 2014, 9:37 pm
Forum: Trading Forum
Topic: Backtest performance measure
Replies: 18
Views: 10675

Backtest performance measure

<t>I wonder if our different backgrounds are coloring our perceptions here. My experience has been on quantitative strategy desks at hedge funds. We never shot from the hip or picked up the phone to call other market participants. We researched systematic trades, testing ideas by running backtests. ...
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