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by dirtdog
March 9th, 2016, 1:05 pm
Forum: Careers Forum
Topic: Bank or HFT prop shop?
Replies: 8
Views: 4543

Bank or HFT prop shop?

Thanks for the replies guys.My experience with the smaller prop firm has been, that while they all promise you can make a lot of money with them, they always find ways to screw you over. (Next year the bonus will be better, blah blah blah.)The bank it is.
by dirtdog
March 8th, 2016, 10:28 pm
Forum: Careers Forum
Topic: Bank or HFT prop shop?
Replies: 8
Views: 4543

Bank or HFT prop shop?

<t>thanks for your reply mtsm!it is an algo quant role with one of the banks you listed.As for the prop shop it is hard to say. They have been focusing on markets not dominated by the big firms, so I recon there should be a bit of lead time before competition ramps up.Do you recon that working in a ...
by dirtdog
March 8th, 2016, 8:21 pm
Forum: Careers Forum
Topic: Bank or HFT prop shop?
Replies: 8
Views: 4543

Bank or HFT prop shop?

<t>I've received an offer as a quant from a European bank in London with a 20% jump in base. I am also at the final stages of interviewing with a HFT shop in Singapore. (I have 10 years total experience. All in small prop shops).I am inclined to go with the bank, but the recruiter believes I am craz...
by dirtdog
September 7th, 2013, 9:23 am
Forum: Student Forum
Topic: Maximum cross correlation two time series
Replies: 10
Views: 7666

Maximum cross correlation two time series

Haha - this line cleared it up for me:"if its returns then you have an equal weights of 0.5 and you need to modify your variance formula".Guess I was tired when I posted the question.Thanks again
by dirtdog
September 6th, 2013, 4:14 pm
Forum: Student Forum
Topic: Maximum cross correlation two time series
Replies: 10
Views: 7666

Maximum cross correlation two time series

@daveangel, I now see the errors of my ways ;DThanks so much for your help!
by dirtdog
September 6th, 2013, 2:17 pm
Forum: Student Forum
Topic: Maximum cross correlation two time series
Replies: 10
Views: 7666

Maximum cross correlation two time series

<t>Thanks for the hints:I am coming up with the following:var(T1 + T2) = var(T1) + var(T2) + 2*std(T1)*std(T2)*cor(T1,T2)= 0.36 + 0.09 + 2*0.6*0.3*cor(T1,T2)Which gives 0.81 for cor(T1,T2)=1 and 0.09 for cor(T1,T2)=-1.Why are these numbers different from "daveangel"s? Where did I go wrong?Thanks aga...
by dirtdog
September 6th, 2013, 10:21 am
Forum: Student Forum
Topic: Maximum cross correlation two time series
Replies: 10
Views: 7666

Maximum cross correlation two time series

max/min variance of T3
by dirtdog
September 6th, 2013, 6:18 am
Forum: Student Forum
Topic: Maximum cross correlation two time series
Replies: 10
Views: 7666

Maximum cross correlation two time series

Suppose I have two time series T1 and T2.T1 has a std. dev. of 0.3 and T2 has a std. dev. of 0.6.Can we say anything about the max/min covariance of the combined time series T3=T1+T2?Thanks EDIT: Title is slightly wrongly worded, but I can't change it
by dirtdog
August 31st, 2013, 5:59 am
Forum: Student Forum
Topic: Simple portfolio optimization
Replies: 3
Views: 6698

Simple portfolio optimization

Thanks for your help guys. I arrived at the same conclusions, but I was fearing that I was missing something obvious when the exercise didn't state a cross correlation.
by dirtdog
August 30th, 2013, 3:11 pm
Forum: Student Forum
Topic: Simple portfolio optimization
Replies: 3
Views: 6698

Simple portfolio optimization

<t>I know this is a simple question, but I am unable to come up with an answer - can someone push me in the right direction?What is the maximum return of the following portfolio?Stock 1 return 15% volatility 15%Stock 2 return 30% volatility 30%I am guessing if you allocate all your funds to stock 2 ...