SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by cryptic26
April 20th, 2016, 2:54 pm
Forum: Careers Forum
Topic: Job search as experienced candidate
Replies: 2
Views: 1892

Job search as experienced candidate

<t>yes, get in touch with head hunters. Go to some meet ups like bloomberg seminars and try to interact with some people. Introduce yourself and see if you can grab a coffee with anyone later to talk more in detail about you. But there are some good recruiters out there - I know a few but there are ...
by cryptic26
April 15th, 2016, 2:53 pm
Forum: General Forum
Topic: Combining short term with long term alpha
Replies: 0
Views: 1081

Combining short term with long term alpha

<t>a problem for which I do have a solution but not the most elegant. Would like your all 2 or more cents :-)I have 1 month alpha on around 200 stocks. I also have a 30 minute alpha and 1 day alpha, let's say. What would be a good way to combine them together. Let's assume that I could re balance ev...
by cryptic26
April 15th, 2016, 2:51 pm
Forum: General Forum
Topic: Portfolio optimizer software
Replies: 5
Views: 1651

Portfolio optimizer software

<r>QuoteOriginally posted by: HansiWhat vendors do you have a relationship with already? BBG is pretty common to have, they offer PORT had a look at that?Almost everything in this space is expensive because it's only targeted as enterprise solutions.Want to build your own, R has a lot of options for...
by cryptic26
April 8th, 2016, 2:35 pm
Forum: General Forum
Topic: Portfolio optimizer software
Replies: 5
Views: 1651

Portfolio optimizer software

quantigic cost of 100k is also expensive.
by cryptic26
April 7th, 2016, 3:47 am
Forum: General Forum
Topic: Portfolio optimizer software
Replies: 5
Views: 1651

Portfolio optimizer software

Is anyone using a third party vendor portfolio optimizer that I could purchase - need to run several simulations and also experiment with factor models. I know barra and axioma exist but they are expensive. Anything else?
by cryptic26
February 12th, 2016, 1:47 pm
Forum: Trading Forum
Topic: Implicit Risk Factors
Replies: 0
Views: 2614

Implicit Risk Factors

Any one knows a good paper on using implicit risk factors (PCA for example) to manage risk and portfolio optimization? Looking for a good literature review here. The more recent the better.
by cryptic26
June 4th, 2014, 10:40 pm
Forum: Student Forum
Topic: Semi Parametric Methods
Replies: 0
Views: 4178

Semi Parametric Methods

Has anyone worked with semi parametric methods like Cosslett (1983) or Ichimura or Klein-Spady for binary outcomes? I was wondering if anyone has any code that he/she could share?thanks,
by cryptic26
July 27th, 2013, 2:52 pm
Forum: Technical Forum
Topic: Pooling Stocks in high frequency.
Replies: 0
Views: 6908

Pooling Stocks in high frequency.

<t>I have two questions:1) I have around 140 stocks and not all stocks are poolable meaning the distribution is quite different. I am using the standard F test to test for poolability. Just wanted to know if there is any better way to pool stocks together for analysis rather than a hit and trial met...
by cryptic26
January 27th, 2012, 4:43 am
Forum: Careers Forum
Topic: finding the time to study while working full time
Replies: 154
Views: 28557

finding the time to study while working full time

<t>QuoteOriginally posted by: farmerQuoteOriginally posted by: mynetselffarmer, thank you. Your comments are making my day. And I don't know if it's what you say or that you are completely delusional about it. But thank you anyway.Next time you are at the gym, just consider that you could instead be...
by cryptic26
January 8th, 2012, 3:41 pm
Forum: Careers Forum
Topic: CFA or FRM???
Replies: 23
Views: 28093

CFA or FRM???

<t>It is most likely better to do the CFA mainly because most buy sides like you to have that designation. It is not hard but time consuming. FRM/PRM is not going to be of any real use. However, neither CFA or FRM would help you do any real research. If you publish a paper in fixed income (even an e...
by cryptic26
November 21st, 2011, 7:07 pm
Forum: Careers Forum
Topic: Msc in Fin Math: Stanford vs NYU
Replies: 26
Views: 86984

Msc in Fin Math: Stanford vs NYU

Stanford location is not a con. There are enough firms in the bay area and in the LA area that need quants and traders. This is also partly due to the HFT boom.They can't find many because most want to flock to NYC or Chicago.
by cryptic26
November 18th, 2011, 5:24 pm
Forum: Careers Forum
Topic: 10k bonus
Replies: 31
Views: 21575

10k bonus

<t>QuoteOriginally posted by: AnalyStratWell, given how useful a quant trader is for the society, you deserve 0 as bonus. So 10k is good, yes.Then janitors should make the most. and analysts like yourself and many more on this web site should pay for jobs. Having said that, it definitely looks like ...
by cryptic26
November 17th, 2011, 8:42 pm
Forum: Careers Forum
Topic: Hiring freeze on wall street
Replies: 8
Views: 18164

Hiring freeze on wall street

At least till end of Q1 2012
by cryptic26
November 16th, 2011, 8:05 pm
Forum: Careers Forum
Topic: 10k bonus
Replies: 31
Views: 21575

10k bonus

QuoteOriginally posted by: JimLet me guess...European bank, has offices in NYC, pays terrible bonuses.Must be HSBC!!!RUN, don't walk, to the nearest exit.UBS, Credit Su, Deutche bank, Barclays.UBS pays terrible bonus too.
by cryptic26
October 20th, 2011, 12:47 am
Forum: Careers Forum
Topic: QUANT FINANCE IS DEAD
Replies: 54
Views: 30608

QUANT FINANCE IS DEAD

True.Evidence Goldman has shutdown its global alpha fund.
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