<t>thanks guys for your views. .. re reading I realize I have biased my first post toward 1, here is some more downsides on one and more upsides on two.I have similar concerns as the one you guys expressed for option1: enough money is already set aside to get things right. The political structure is...

<t>offer1: european IB, not big. investment banking arm of a quite large banking group in europe. Classic investment bank business model with not much prop trading. They freak out cause they feel they are behind (not even started) to explore seriously the world of algo trading. Mandate to start a gr...

<t>thanks for the comments. I was surprised too as it is from a well known medium-large hedge fund for a position of systematic trader. I am surprised I am the first one seeing this on here. If they do it I must believe other wall street/City of London places do it too, maybe it is a way of treating...

<t>hi all, in offer letters I have usually seen the compensations described as: base salary + bonus (discretionary or formula based against pnl performance). I have received an offer where the base is not really a base and it is described as: "your annual draw (against your annual discretionary bonu...

<t>QuoteOriginally posted by: DominicConnorRiskCapital and Zmei are right, but instead of making it public, I wonder what price you would pay for what is on paper or disk ?It's not zero, and it's less valuable than the process & people, so there is a value.Is anyone going to wipe all the disks w...

<t>QuoteOriginally posted by: headlocal Hanging out with high-risk-tolerance types (public safety - cops and firefighters; military elite operators (SEALS SAS fighter pilots); surfers, skydivers) will be fine, and an antidote to the hesitant, collegial, mean-regressing behavior that most students ac...

<r>Zeta,For the finite volume method you might want to have a look at these:the bible: Hirsh, C. (1990) Numerical Computation of Internal and External Flows, Volumes 1 and 2, Wiley.Simple introduction: Ferziger, J.H. and Peric, M. (1995) Computational Methods for Fluid Dynamics, Springer-Verlag.This...

Yes it is ….. Then someone could argue that if you have got that possibility you should do what your problem requires the most, without caring which of the two has worse computational requirements Sorry if I wasn't more clear in my 1st post,Regards,M.

<t>My view is that stability analysis is the starting point: you have to acknowledge the CFL condition, however I would say that is only a starting point, in the real practice of explicit schemes it is rather customary not to stay at the value of (deltaX,deltaT) given by the CFL condition, but to us...

<t>QuoteThe recruitment agency is correct.I don't think so....QuoteIn a stable explicit scheme, for a given space step size there is a maximum time step sizeSo you agree that a comparison makes sense only between 2 couples of timesteps /grid spacing for which the scheme is stable … Now if you think ...

<t>Dear all,I was looking at the power spectra of various historic time series: stocks, indexes (once these are filtered of very high frequency movements and of jumps and trends…) …in practice to the mid band frequency (say one week couple of months). Well, for all the cases the power spectra of the...

<t>Quote3. If you are solving a parabolic partial differential equation by using the explicit finite difference method, is it worse to have too many time steps or too fine a grid in the space dimension?I personally think that a comparison between explicit schemes makes sense only if your (dt, dx) st...

<t>Thanks, Sierp. From a quick search in the literature it seems people have applied Karhunen-Loeve expansion (or proper Orthogonal Decomposition) to basket of stock prices series (more often to just 1 price and that seems not very useful). Simulation of reduced order systems seem less easy to find....

<t>Hi crowlogic,Many Thanks for sharing your experience. At least I have one more confirmation that there has not been developed some kind of bubbly mathematical approach to converts pde in “processes” to generalize Monte Carlo integration… I think your suggestions are all very useful; I probably ne...

<t> Very good idea, SSA is an application of the Karhunen-Loeve transform to the time-lagged autocorrelation matrix - however it´s a LINEAR approach, no matter how sophisticated the subsequent postfiltering is. It can be useful under certain circumstances, but it has proven useless for Financial ret...